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Prediction, Judgment and Complexity : A Theory of Decision Making and Artificial Intelligence
Agrawal, Ajay K. - 2018
. In this paper, we explore the consequences of improved prediction in decision-making. To do so, we adapt existing models … of decision-making under uncertainty to account for the process of determining payoffs. We label this process of … on whether the improvements in prediction enable automated decision-making. We discuss the implications of improved …
Persistent link: https://www.econbiz.de/10012453471
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889
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The Technological Elements of Artificial Intelligence
Taddy, Matt - 2018
We have seen in the past decade a sharp increase in the extent that companies use data to optimize their businesses. Variously called the `Big Data' or `Data Science' revolution, this has been characterized by massive amounts of data, including unstructured and nontraditional data like text and...
Persistent link: https://www.econbiz.de/10012453413
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Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives
Diebold, Francis X. - 2018
Despite the clear success of forecast combination in many economic environments, several important issues remain incompletely resolved. The issues relate to selection of the set of forecasts to combine, and whether some form of additional regularization (e.g., shrinkage) is desirable. Against...
Persistent link: https://www.econbiz.de/10012480620
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Machine-Learning the Skill of Mutual Fund Managers
Kaniel, Ron; Lin, Zihan; Pelger, Markus; Nieuwerburgh, … - National Bureau of Economic Research - 2022
We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, as well as identify funds with net-of-fees abnormal returns. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance,...
Persistent link: https://www.econbiz.de/10012938692
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Selecting Directors Using Machine Learning
Erel, Isil - 2018
Can an algorithm assist firms in their hiring decisions of corporate directors? This paper proposes a method of selecting boards of directors that relies on machine learning. We develop algorithms with the goal of selecting directors that would be preferred by the shareholders of a particular...
Persistent link: https://www.econbiz.de/10012453279
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Managing Intelligence : Skilled Experts and AI in Markets for Complex Products
Gruber, Jonathan - 2020
-optimal. Our analysis leverages the large-scale implementation of an AI-based decision support tool in a private Medicare exchange … consumers $1260 on average. The addition of AI-based decision support improves outcomes by $278 on average and substantially … decision support associated with a 21% reduction in call time for enrollment …
Persistent link: https://www.econbiz.de/10012481995
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Using Neural Networks to Predict Micro-Spatial Economic Growth
Khachiyan, Arman; Thomas, Anthony; Zhou, Huye; Hanson, … - National Bureau of Economic Research - 2021
We apply deep learning to daytime satellite imagery to predict changes in income and population at high spatial resolution in US data. For grid cells with lateral dimensions of 1.2km and 2.4km (where the average US county has dimension of 55.6km), our model predictions achieve R2 values of 0.85...
Persistent link: https://www.econbiz.de/10012794597
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A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
Stock, James H. - 1998
A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...
Persistent link: https://www.econbiz.de/10012472204
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On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even...
Persistent link: https://www.econbiz.de/10012814410