This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modern computers to solve dynamic equilibrium models in economics. In particular, we rely on the compute uni.ed device architecture (CUDA) of NVIDIA GPUs. We illustrate the power of the approach...

Relative distribution methods are a nonparametric statistical approach to the comparison of distributions. These methods combine the graphical tools of exploratory data analysis with statistical summaries, decomposition, and inference. This report demonstrates software for implementing relative...

The wavelet variance is a scale-based decomposition of the process variance that is particularly well suited for analyzing intrinsically stationary processes. This decomposition has proven to be useful for studying various geophysical time series, including some related to sub-tidal sea level...

We compare local and global polynomial solution methods for DSGE models with Epstein-Zin-Weil utility. We show that model implications for macroeconomic quantities are relatively invariant to choice of solution method but that a global method can yield substantial improvements for asset prices...

This paper investigates asset trade in a general-equilibrium complete-markets endowment economy with heterogeneous agents. It shows that standard no-trade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a...

This paper discusses issues related to GPU for Economic problems. It highlights new methodologies and resources that are available for solving and estimating economic models and emphasizes situations when they are useful and others where they are impractical. Two examples illustrate the...

The “Flash Crash” of May 6th, 2010 comprised an unprecedented, rapid decline in the Dow Jones Industrial Average that was followed by a rapid, disorderly recovery of prices. We illuminate the causes of this singular event with the first analysis of all order book activity at millisecond...

This document presents an architecture for experiments in finance. The architecture builds on oTree, a modern platform for behavioral experiments, allowing for sophisticated economic environments, market institutions, and trader strategies. The system supports both continuous- and discrete-time...