arXiv subjects

Madars Virza

Publications and source records attributed to Madars Virza.

6 recordsLinked to original sources

arXiv2026

TradeMech: A Method to Multilaterally Net Trades Without Altering Counterparty Exposure

Financial markets such as bond, derivatives, and repo markets form networks of interdependent obligations. Existing multilateral netting methods typically trade off the extent of netting against preservation of counterparty exposure: central clearing reallocates exposure to a central counterparty, while trade compression may alter bilateral counterparty relationships. TradeMech is a mechanism for markets in which one or two homogeneous fungible objects are traded. The mechanism transforms a network of initial bilateral contracts into chains and cycles, nets the designated object multilaterally on those chains and cycles, and replaces initial contracts with multiparty contracts whose assigned trades remain fractions of the original bilateral trades. The construction achieves maximal multilateral netting of the designated object while preserving each agent's contractual profit and preserving the location of counterparty risk. When a party fails to pre-commit a required object, the affected assigned trade is recovered as a bilateral contract between the same original counterparties and the remaining assigned trades are re-netted on residual chains, so no new counterparty exposure is created.

q-fin.TR↗

arXiv2025

RepoMech: A Method to Reduce the Balance-Sheet Impact of Repo Intermediation

A repo trade involves the sale of a security coupled with a contract to repurchase at a later time. Following the 2008 financial crisis, accounting standards were updated to require repo intermediaries, who are mostly banks, to increase recorded assets at the time of the first transaction. Concurrently, US bank regulators implemented a supplementary leverage ratio constraint that reduces the volume of assets a bank is allowed record. The interaction of the new accounting rules and bank regulations limits the volume of repo trades that banks can intermediate. To reduce the balance-sheet impact of repo, the SEC has mandated banks to centrally clear all Treasuries trades. This achieves multilateral netting but shifts counterparty risk onto the clearinghouse, which can distort monitoring incentives and raise trading cost through the imposition of fees. We present RepoMech, a method that avoids these pitfalls by multilaterally netting repo trades without altering counterparty risk.

econ.GN↗

arXiv2018

Interventions over Predictions: Reframing the Ethical Debate for Actuarial Risk Assessment

Actuarial risk assessments might be unduly perceived as a neutral way to counteract implicit bias and increase the fairness of decisions made at almost every juncture of the criminal justice system, from pretrial release to sentencing, parole and probation. In recent times these assessments have come under increased scrutiny, as critics claim that the statistical techniques underlying them might reproduce existing patterns of discrimination and historical biases that are reflected in the data. Much of this debate is centered around competing notions of fairness and predictive accuracy, resting on the contested use of variables that act as "proxies" for characteristics legally protected against discrimination, such as race and gender. We argue that a core ethical debate surrounding the use of regression in risk assessments is not simply one of bias or accuracy. Rather, it's one of purpose. If machine learning is operationalized merely in the service of predicting individual future crime, then it becomes difficult to break cycles of criminalization that are driven by the iatrogenic effects of the criminal justice system itself. We posit that machine learning should not be used for prediction, but rather to surface covariates that are fed into a causal model for understanding the social, structural and psychological drivers of crime. We propose an alternative application of machine learning and causal inference away from predicting risk scores to risk mitigation.

cs.LG↗

arXiv2011

Quantum strategies are better than classical in almost any XOR game

We initiate a study of random instances of nonlocal games. We show that quantum strategies are better than classical for almost any 2-player XOR game. More precisely, for large n, the entangled value of a random 2-player XOR game with n questions to every player is at least 1.21... times the classical value, for 1-o(1) fraction of all 2-player XOR games.

quant-ph↗

arXiv2011

Worst case analysis of non-local games

Non-local games are studied in quantum information because they provide a simple way for proving the difference between the classical world and the quantum world. A non-local game is a cooperative game played by 2 or more players against a referee. The players cannot communicate but may share common random bits or a common quantum state. A referee sends an input $x_i$ to the $i^{th}$ player who then responds by sending an answer $a_i$ to the referee. The players win if the answers $a_i$ satisfy a condition that may depend on the inputs $x_i$. Typically, non-local games are studied in a framework where the referee picks the inputs from a known probability distribution. We initiate the study of non-local games in a worst-case scenario when the referee's probability distribution is unknown and study several non-local games in this scenario.

quant-ph↗

arXiv2010

Sensitivity versus block sensitivity of Boolean functions

Determining the maximal separation between sensitivity and block sensitivity of Boolean functions is of interest for computational complexity theory. We construct a sequence of Boolean functions with bs(f) = 1/2 s(f)^2 + 1/2 s(f). The best known separation previously was bs(f) = 1/2 s(f)^2 due to Rubinstein. We also report results of computer search for functions with at most 12 variables.

cs.CC↗