A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a “gold-standard" estimate of a particular treatment, but only of that treatment. Structural...

Model selection and model combination is a general problem in many areas. Especially, when we have several different candidate models and also have gathered a new data set, we want to construct a more accurate and precise model in order to help predict future events. In this paper, we propose a...

A general statistical modeling problem is that given a class of competing models and new data, how one can improve the overall model performance. In general, there exist two solutions for this problem, namely model selection and model combination. Model selection is to select a single best model...

Abstract A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of Optimal Predictive Ability generalizes the Superior Predictive Ability hypothesis from a single given loss function to an entire class of loss functions. Distinction is drawn...

Medium frequency trading strategies include all trading activities, that do not require market microstructure analysis on one side and signi cantly depend on market impact on the other side. The most important di erence from high frequency trading is the ability to analyze big amount of data...

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of 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...

We suggest a simple practical method to combine the human and artificial intelligence to both learn best investment practices of fund managers, and provide recommendations to improve them. Our approach is based on a combination of Inverse Reinforcement Learning (IRL) and RL. First, the IRL...

A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a "gold-standard'' estimate of a particular treatment, but only of that treatment. Structural estimation...