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上海财经大学微观经济学课件Chapter 35 Information Technology
上海财经大学 微观经济学 课件 Chapter 35 Information Technology
2017/4/1
上海财经大学微观经济学课件Chapter 35 Information Technology。
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Market making limit order book pro-rata microstructure inventory risk marked point process stochastic control
2012/6/4
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the c...
Information Theoretic Limits on Learning Stochastic Differential Equations
drift high dimensional vector interaction coefficients
2011/3/31
Consider the problem of learning the drift coefficient of a stochastic differential equation from a sample path. In this paper, we assume that the drift is parametrized by a high dimensional vector.
Information geometries and Microeconomic Theories
Information geometries Microeconomic Theories
2010/10/29
More than thirty years ago, Charnes, Cooper and Schinnar (1976)established an enlightening contact between economic production functions (epfs) — a cornerstone of neoclassical economics — and informat...
Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
Bias reduction Weak instruments Panel data
2011/4/2
We show that independently repeated cross-sectional data can reduce the asymptotic bias when instruments are weakly correlated to the endogenous variables. When both N and T go to infinite, we can obt...