Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
DOI10.1137/21m1412517zbMath1520.91428arXiv2104.04960OpenAlexW3154717277MaRDI QIDQ6165221
Stefano Marmi, Anton V. Solomko, Sandro Vaienti, Giulia Livieri, Fabrizio Lillo
Publication date: 4 July 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.04960
neural networksLyapunov exponentsrandom dynamical systemsrisk managementunimodal mapssystemic riskleverage cycles
Applications of stochastic analysis (to PDEs, etc.) (60H30) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Neural nets and related approaches to inference from stochastic processes (62M45) Financial networks (including contagion, systemic risk, regulation) (91G45)
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