In this paper we investigate the profitability of a simple technical trading rule based on Artificial Neural Networks (ANNs). Our results, based on applying this investment strategy to the General Index of the Madrid Stock Market, suggest that, in absence of trading costs, the technical trading...

We model the systemic risk associated with the so-called balance-sheet amplification mechanism in a system of banks with interlocked balance sheets and with positions in real-economy-related assets. Our modeling framework integrates a stochastic price dynamics with an active balance-sheet...

We explore the dynamics of default cascades in a network of credit interlinkages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture in...

We consider the problem of designing a multivehicle automated guided vehicle system (AGVS) to supplement an existing nonautomated material handling system. The AGVS consists of a pool of vehicles that deliver raw components from a central storage area to workcenters throughout the factor floor....

How can a large building with many occupants be evacuated in minimum time, and where are bottlenecks likely to occur in such an evacuation? In order to address this question we have constructed a family of three network building evacuation models. The most general model of interest, called the...

Many important problems can be modeled as dynamic (time-expanded) network flow problems. For example, in building evacuation we might use twenty nodes to represent a room at 3 minute intervals over an hour, and use arcs to indicate the feasible passages, over time, among the various rooms. The...