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Recent Trends and Developments in Econophysics

Argyrakis, Panos (contributor) - 2024

The current Special Issue brought out the newest trends in Econophysics that have made use of the most recent available tools, such as Big Data. The emphasis of the reprint is on deciphering the effects of current world events, such as the repercussions of the recent war conflicts, the oil and...

Persistent link: https://www.econbiz.de/10015324883

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17

measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to … econometrics, they address, and may be better suited for, problems of prediction. While some ML methods have been applied in … econometrics for decades, their success in prediction has been limited, and examples of this abound in the asset pricing literature …

Persistent link: https://www.econbiz.de/10014332691

Speeding up MCMC by efficient data subsampling

Quiroz, Matias; Villani, Mattias; Kohn, Robert - 2015

The computing time for Markov Chain Monte Carlo (MCMC) algorithms can be prohibitively large for datasets with many observations, especially when the data density for each observation is costly to evaluate. We propose a framework where the likelihood function is estimated from a random subset of...

Persistent link: https://www.econbiz.de/10011442889

Fast, approximate MCMC for Bayesian analysis of large data sets: A design based approach

Kaeding, Matthias - 2016

We propose a fast approximate Metropolis-Hastings algorithm for large data sets embedded in a design based approach. Here, the loglikelihood ratios involved in the Metropolis-Hastings acceptance step are considered as data. The building block is one single subsample from the complete data set,...

Persistent link: https://www.econbiz.de/10011567127

Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application

Paserman, Marco Daniele - 2004

This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how...

Persistent link: https://www.econbiz.de/10010276176

Voluntary turnover: What we measure and what it (really) means

Will, Matthias Georg - 2017

In this paper, we run regression analyses to explain voluntary turnover intentions with data from more than 5,000 employees and with about 250 explanatory variables. The findings of our multi-factor approach highlight the fact that previous empirical research might have over-estimated the impact...

Persistent link: https://www.econbiz.de/10011733913

Trip-Level Analysis of Efficiency Changes in Oregons Deepwater Trawl Fishery

Tomberlin, David; Holloway, Garth - 2007

In 2003, an industry-financed, government-administered buyback of trawl fishing permits and vessels took place on the US West Coast, resulting in the retirement of about one-third of the limited-entry trawl fleet. The lack of cost data in this fishery precludes an analysis of how the buyback has...

Persistent link: https://www.econbiz.de/10010312658

Nonparametric identification and estimation with non-classical errors-in-variables

Evdokimov, Kirill S.; Zeleneev, Andrei - 2024

This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and...

Persistent link: https://www.econbiz.de/10014581847

Machbarkeitsstudie zur Nutzung der Daten der Markttransparenzstelle für Strom und Gas für die Erzeugerpreisstatistik

Erdemsiz, Baran - In: WISTA – Wirtschaft und Statistik 75 (2023) 3, pp. 38-50

Die Markttransparenzstelle für den Großhandel mit Strom und Gas verwaltet Daten zu Absatzmengen und Preisen von Verträgen zu Strom und Gas. Diese Daten werden zur Verhinderung von Marktmanipulationen erhoben; sie stellen gleichzeitig eine neue vielversprechende Quelle für die Preisstatistik...

Persistent link: https://www.econbiz.de/10014305298

Zukunft gestalten mit amtlicher Statistik – Möglichkeiten aus der Perspektive des Datenproduzenten

Hagenkort-Rieger, Susanne - In: WISTA – Wirtschaft und Statistik 75 (2023) 6, pp. 42-55

Die Zeiten, in denen die amtliche Statistik ein Monopol auf statistische Fakten hatte, sind vorbei. Stattdessen wächst die Datenmenge durch die Digitalisierung exponentiell. Permanent entstehen neue Daten und neue Datenanbieter. Der Aufsatz zeigt die konkrete Antwort der amtlichen Statistik auf...

Persistent link: https://www.econbiz.de/10014452238