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Differentiable State Space Models with Application to Estimating with Hamiltonian Monte-Carlo

Exploiting Symmetry in High-Dimensional Dynamic Programming

We provide a new method for solving high-dimensional dynamic programming problems, and recursive competitive equilibria with a large (but finite) number of heterogenous agents.

Information, Trading Technology, and Financial Sector Profits

Common wisdom in financial markets is that there is temporary arbitrage, or at least a skewed split of surplus, that can be exploited by agents using private information. This is reflected in the enormous investment in market data and trading …

Technology Adoption and the Big Pull

Why doesn't migration, joint ventures and foreign direct investment rapidly diffuse technology by investing in or moving to cheaper locations?

Complexity Constrained Walrasian Equilibria: Welfare Loss and Market Structure

Walrasian market clearing requires solving a large-scale optimization (or, potentially, fixed-point) problem. Algorithms for the auctioneer to solve these problems may be bounded by the curse-of-dimensionality - known in computer science as …