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Deferred Acceptance Algorithms:History,Theory,Practice,and Open Questions
Diasporas Developing Countries and Economies Entrepreneurship Financing and Loans Cross-Cultural and Cross-Border Issues
2015/4/21
The deferred acceptance algorithm proposed by Gale and Shapley (1962) has had a profound influence on market design, both directly, by being adapted into practical matching mechanisms, and, indirectly...
Dynamic Model Pooling Methodology for Improving Aberration Detection Algorithms
algorithm syndromic surveillance health
2014/11/11
Syndromic surveillance is defined generally as the collection and statistical analysis of data which are believed to be leading indicators for the presence of deleterious activities developing within ...
Dynamic Model Pooling Methodology for Improving Aberration Detection Algorithms
Dynamic Model Pooling Methodology Aberration Detection Algorithms
2014/10/21
Syndromic surveillance is defined generally as the collection and statistical analysis of data which are believed to be leading indicators for the presence of deleterious activities developing within ...
A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
Minimum Variance Portfolios Coordinate-Wise Descent Algorithms
2010/10/20
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms,...
Robust and Adaptive Algorithms for Online Portfolio Selection
Portfolio Selection Mean-Variance Portfolios Adaptive Filtering
2010/10/20
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrive...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
Financial Markets Majority Minority Games Genetic Algorithms
2010/10/18
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial...
On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
optimal stopping simulation based algorithms entropy with bracketing increments of empirical processes
2010/11/2
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of qu...
System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations
system reduction algorithm models solutions in practice
2014/3/18
A first-order linear difference system under rational expectations is,AEyt+1|It =Byt +C(F)Ext|It ,Whereyt is a vector of endogenous variables; xt is a vector of exogenous variables; Eyt+1|It is the ex...
ALTERNATIVE ALGORITHMS FOR THE ESTIMATION OF DYNAMIC FACTOR, MIMIC AND VARYING COEFFICIENT REGRESSION MODELS
Alternative AlgorithmsEstimation of Dynamic MIMICFactorTime Varying Coefficient Regression Models
2014/3/18
This paper provides a general approach to the formulation and estimation of dynamic unobserved component models. After introducing the general model, two methods for estimating ...