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Researchers use machine learning algorithm to analyze consumer data（图）
machine learning algorithm analyze consumer data
2020/6/19
With electric vehicles making their way into the mainstream, building out the nationwide network of charging stations to keep them going will be increasingly important.Electric vehicles are considered...
An Algorithm to Estimate the Two-Way Fixed Effects Model
Frisch-Waugh-Lovell theorem GMM OLS panel data two-way fixed effects
2015/7/31
We present an algorithm to estimate the two-way fixed effect linear model. The algorithm relies on
the Frisch-Waugh-Lovell theorem and applies to ordinary least squares (OLS), two-stage least square...
Parameterized Expectations Algorithm and the Moving Bounds
Nonlinear models Numerical solutions methods Optimal growth Parameterized expectations algorithm
2015/7/21
The Parameterized Expectations Algorithm (PEA) is a powerful tool for solving nonlinear stochastic dynamic models. However, it has an important shortcoming:it is not a contraction mapping technique an...
Parameterized Expectations Algorithm: How to Solve for Labor Easily
Monte Carlo simulation nonlinear models numerical solution parameterized expectations PEA
2015/7/21
Euler-equation methods for solving nonlinear dynamic models involve parameterizing some policy functions. We argue that in the typical macroeconomic model with valuable leisure, labor function is part...
Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations
Nonlinear stochastic models Value function Parameterized expectations Monte Carlo simulations Numerical solutions
2015/7/21
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...
Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm
Dynamic stochastic models Heterogeneous agents Aggregate uncertainty Euler-equation methods Simulations Numerical solutions
2015/7/21
This paper studies the properties of the solution to the heterogeneous agents model in Den Haan et al. [2009. Computational suite of models with heterogeneous agents: incomplete markets and aggregate ...
An algorithm for the orthogonal decomposition of financial return data
portfolio selection mean-variance analysis principal components of risk
2012/9/14
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and “systemic”, “productive”, and “nonproductive”risk. Generally, when the nu...
Asymptotically Optimal Algorithm for Short-Term Trading Based on the Method of Calibration
Asymptotically Optimal Algorithm Short-Term Trading the Method of Calibration Artificial Intelligence
2012/6/5
A trading strategy based on a natural learning process, which asymptotically outperforms any trading strategy from RKHS (Reproduced Kernel Hilbert Space), is presented. In this process, the trader rat...
Belief Propagation Algorithm for Portfolio Optimization Problems
Belief Propagation Algorithm Portfolio Optimization Problems
2010/10/21
The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti and...
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Asset allocation Stochastic Lagrangian algorithm reinforcement principle monotone dynamic system
2010/11/2
Evolutions of the trading landscape lead to the capability to exchange the same financial
instrument on different venues. Because of liquidity issues, the trading firms split large orders across seve...
Detrending moving average algorithm for multifractals
Detrending moving average algorithm multifractals
2010/10/20
The detrending moving average (DMA) algorithm is a widely used technique to quantify the long-term correlations of non-stationary time series and the long-range correlations of fractal surfaces, which...
Segmentation algorithm for non-stationary compound Poisson processes
Segmentation algorithm non-stationary compound Poisson processes
2010/10/18
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of th...
Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
Markowitz Model Multiobjective Optimization NSGA Portfolio Selection
2013/2/23
We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio ...
Heterogeneous Agents Model with the Worst Out Algorithm
efficient markets hypothesis fractal market hypothesis agents’ investment horizons
2009/7/17
Heterogeneous agents’ model with the stochastic beliefs formation is considered. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. Chartis...