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Report NEP-CMP-2019-04-01
This is the archive for NEP-CMP, a report on new working papers in the area of Computational Economics. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-CMP
The following items were announced in this report:
- Daniel Poh & Stephen Roberts & Martin Tegn'er, 2019, "A Machine Learning approach to Risk Minimisation in Electricity Markets with Coregionalized Sparse Gaussian Processes," Papers, arXiv.org, number 1903.09536, Mar, revised Apr 2019.
- Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2019, "Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension," Papers, arXiv.org, number 1903.11275, Mar, revised Dec 2019.
- Antoine Jacquier & Emma R. Malone & Mugad Oumgari, 2019, "Stacked Monte Carlo for option pricing," Papers, arXiv.org, number 1903.10795, Mar.
- Susan Athey & Guido Imbens, 2019, "Machine Learning Methods Economists Should Know About," Papers, arXiv.org, number 1903.10075, Mar.
- Liyang Han & Thomas Morstyn & Constance Crozier & Malcolm McCulloch, 2019, "Improving the Scalability of a Prosumer Cooperative Game with K-Means Clustering," Papers, arXiv.org, number 1903.10965, Mar, revised Jul 2020.
- Matteo Mogliani, 2019, "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers, Banque de France, number 713.
- Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi, 2019, "Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-456, Mar.
- Liyang Han & Thomas Morstyn & Malcolm McCulloch, 2019, "Estimation of the Shapley Value of a Peer-to-Peer Energy Sharing Game using Coalitional Stratified Random Sampling," Papers, arXiv.org, number 1903.11047, Mar.
- Cinzia Daraio & Léopold Simar & Paul W. Wilson, 2019, "Quality and its Impact on Efficiency," DIAG Technical Reports, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza", number 2019-01.
- Bernardo D'Auria & Eduardo Garc'ia-Portugu'es & Abel Guada, 2019, "Discounted optimal stopping of a Brownian bridge, with application to American options under pinning," Papers, arXiv.org, number 1903.11686, Mar, revised Aug 2020.