Advances in computer software and in agent-based computational finance allow the use of numerical methods in order to optimize different type of functions. In this paper we propose a numerical method in order to find the level of leverage that maximizes the geometric mean of a series of historical daily returns. One of the advantages of the use of numerical methods is that it requires less assu...

Both science and engineering rely on the use of high-level descriptions. These go under various names, including “macrostates,” “coarse-grainings,” and “effective theories”. The ideal gas is a high-level description of a large collection of point particles, just as a a set of interacting firms is a high-level description of individuals participating in an economy and just as a cell a high-level...

In bivariate density representation there is an extensive literature on level set estimation when the level is fixed, but this is not so much the case when choosing which level is (or which levels are) of most interest. This is an important practical question which depends on the kind of problem one has to deal with as well as the kind of feature one wishes to highlight in the density, the answ...

Abstract: This paper develops a global game model that allows for a rigorous analysis of partial deposit insurance and provides the first comparative statics of the optimal level of deposit coverage. The optimal amount of coverage increases with lower bank liquidity requirements, with a higher precision of depositors’ information, and with a lower relevance of large, uninsured creditors, and it...

An important step in laying out hierarchical network diagrams is to order the nodes on each level. The usual approach is to minimize the number of edge crossings. This problem is NP-hard even for two layers when the first layer is fixed. Hence, in practice crossing minimization is performed using heuristics. Another suggested approach is to maximize the planar subgraph, i.e. find the least numb...