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. Stan Miles issued this report. It is usually issued weekly.

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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 1903.09536, arXiv.org, 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 1903.11275, arXiv.org, revised Dec 2019.
• Antoine Jacquier & Emma R. Malone & Mugad Oumgari, 2019. "Stacked Monte Carlo for option pricing," Papers 1903.10795, arXiv.org.
• Susan Athey & Guido Imbens, 2019. "Machine Learning Methods Economists Should Know About," Papers 1903.10075, arXiv.org.
• Liyang Han & Thomas Morstyn & Constance Crozier & Malcolm McCulloch, 2019. "Improving the Scalability of a Prosumer Cooperative Game with K-Means Clustering," Papers 1903.10965, arXiv.org, revised Jul 2020.
• Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
• 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 CARF-F-456, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• 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 1903.11047, arXiv.org.
• Cinzia Daraio & Léopold Simar & Paul W. Wilson, 2019. "Quality and its Impact on Efficiency," DIAG Technical Reports 2019-01, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
• 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 1903.11686, arXiv.org, revised Aug 2020.