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Capital account policies, IMF programs and growth in developing regions

Bicaba, Zorobabel; Brixiova, Zuzana; Ncube, Mthuli - 2015

This paper develops an adaptive learning model under uncertainty that examines evolution of capital account polices over time and across developing regions. In the framework, countries' past experiences and IMF programs influence policymakers' beliefs about the impact of capital account...

Persistent link: https://www.econbiz.de/10010469677

Chapter 7 Learning dynamics

Evans, George W.; Honkapohja, Seppo - In: Handbook of macroeconomics : volume 1, part A, (pp. 449-542). 1999

approximation based on an associated differential equation. Global stability, local stability and instability results for SRAs are … presented. For a wide range of solutions to economic models the stability conditions for REE under statistical learning rules … are given by the expectational stability principle, which is treated as a unifying principle for the results presented …

Persistent link: https://www.econbiz.de/10014024243

Deep Hedging : Learning to Simulate Equity Option Markets

Wiese, Magnus - 2019

We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state compression. Option market simulators are highly relevant because they allow us to extend the...

Persistent link: https://www.econbiz.de/10012861067

Model of the United States Economy with Learning MUSEL

Baumann, Ursel - 2014

The model presented here is an estimated medium-scale model for the United States (US) economy developed to forecast and analyse policy issues for the US. The model is specified to track the deviation of the medium-run developments from the balanced-growth-path via an estimated CES production...

Persistent link: https://www.econbiz.de/10013043829

SISTA: learning optimal transport costs under sparsity constraints

Carlier, Guillaume; Dupuy, Arnaud; Galichon, Alfred; … - 2021

In this paper, we describe a novel iterative procedure called SISTA to learn the underlying cost in optimal transport problems. SISTA is a hybrid between two classical methods, coordinate descent ("S"-inkhorn) and proximal gradient descent ("ISTA"). It alternates between a phase of exact...

Persistent link: https://www.econbiz.de/10012519120

Robustifying Learnability

Tetlow, Robert - 2009

A treatment of policy design for learnability in worlds where agents have potentially misspecified their learning models has yet to surface. This paper provides such a treatment. We begin with the notion that because the profession has yet to settle on a consensus model of the economy, it is...

Persistent link: https://www.econbiz.de/10012765184

A Machine Learning Efficient Frontier

Clark, Brian J. - 2020

We propose a simple approach to bridge between portfolio theory and machine learning. The outcome is an out-of-sample machine learning efficient frontier based on two assets, high risk and low risk. By rotating between the two assets, we show that the proposed frontier dominates the...

Persistent link: https://www.econbiz.de/10012841156

Deep Hedging : Learning Risk-Neutral Implied Volatility Dynamics

Buehler, Hans; Phillip, Murray; Pakkanen, Mikko; Wood, Ben - 2021

We present a numerically efficient approach for machine-learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be used to implement a stochastic implied volatility...

Persistent link: https://www.econbiz.de/10013236469

(A)symmetric Equilibria And Adaptive Learning Dynamics in Small-Committee Voting

Chernomaz, Kirill; Goertz, Johanna - 2021

We study equilibrium selection in a common-interest voting model with three alternatives. In the model, symmetric Bayesian Nash Equilibria (BNE) of varying efficiency are known to exist. Employing evolutionary adaptive learning simulations, we find interesting new equilibria. In simulations, we...

Persistent link: https://www.econbiz.de/10013322584

Dynamic voluntary contribution to a public good : learning to be a free rider

Clemens, Christiane - 2001

Persistent link: https://www.econbiz.de/10013416443