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Adaptive and Sophisticated Learning in Repeated Normal Form Games
Adaptive Sophisticated Learning Repeated Normal
2015/7/21
Adaptive and Sophisticated Learning in Repeated Normal Form Games.
Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
Smolyak method Sparse grid Adaptive domain Projection Anisotropic grid High-dimensional problem
2015/7/21
We show how to enhance the performance of a Smolyak method for solving dynamic economic models. First, we propose a more efficient implementation of the Smolyak
method for interpolation, namely, we s...
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
Adaptive Execution: Exploration and Learning of Price Impact
adaptive execution price impact reinforcement learning regret bound
2012/9/14
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change isa linear combination of observed factors, impact...
Adaptive Economics and Natural Resources Policy
economics general equilibrium theory economic theory
2011/10/23
Discusses an approach to economics related to optimality and general equilibrium theory that is relevant to natural resources policy. View of some economists on resource shortages; Basic problem of ad...
A Macroeconomic Policy Game for a Monetary Union with Adaptive Expectations
Dynamic game Nash equilibrium Pareto solution Macroeconomics .
2011/8/21
We consider a dynamic game model of a two-country monetary union. Governments (fiscal policies) pursue national goals while the common central bank’s monetary policy aims at union-wide objectives. For...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
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...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Adaptive Trading Strategy Discrete Trading
2010/4/28
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...
Adaptive financial networks with static and dynamic thresholds
Adaptive financial networks static and dynamic thresholds
2010/10/18
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the ...
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance samp...
Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches
Black--Scholes option pricing adaptive nonlinear Schr\"odinger equation
2010/10/18
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian mo...
Bayesian Inference on QGARCH Model Using the Adaptive Construction Scheme
Bayesian Adaptive Construction Scheme
2010/11/1
We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics.In the adaptive construction s...
Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
Markov Chain Monte Carlo Bayesian inference
2010/11/2
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the
construction ...