Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty

Pruned Wasserstein Index Generation Model and wigpy Package

Recent proposal of Wasserstein Index Generation model (WIG) has shown a new direction for automatically generating indices. However, it is challenging in practice to fit large datasets for two reasons. First, the Sinkhorn distance is notoriously expensive to compute and suffers from dimensionality severely. Second, it requires to compute a full $N\times N$ matrix to be fit into memory, where $N$ is the dimension of vocabulary. When the dimensionality is too large, it is even impossible to compute at all. I hereby propose a Lasso-based shrinkage method to reduce dimensionality for the vocabular…

Assessing the use of transaction and location based insights derived from Automatic Teller Machines (ATMs) as near real time sensing systems of economic shocks

Big data sources provide a significant opportunity for governments and development stakeholders to sense and identify in near real time, economic impacts of shocks on populations at high spatial and temporal resolutions. In this study, we assess the potential of transaction and location based measures obtained from automatic teller machine (ATM) terminals, belonging to a major private sector bank in Indonesia, to sense in near real time, the impacts of shocks across income groups. For each customer and separately for years 2014 and 2015, we model the relationship between aggregate measures of …

基于数据的非参数分布自动离散化

Data-based Automatic Discretization of Nonparametric Distributions

本文提出了一种基于Golub-Welsch算法的非参数校准方法，用于从数据中校准离散分布，解决了在经济模型中使用非高斯分布时缺乏系统校准方法的问题，并通过最优投资组合问题展示了其在投资决策中的应用价值。

模型崩溃的经济学：均衡、福利与合成数据市场中的最优来源补贴

The Economics of Model Collapse: Equilibrium, Welfare, and Optimal Provenance Subsidies in Synthetic Data Markets

本文研究了合成数据市场中模型崩溃的微观经济学问题，提出了合成数据污染均衡理论，推导了福利分解公式，并得出了最优来源补贴和水印强度的闭式表达式，同时证明了信息约束下的实现不可能性。

财政机制中的相机抉择与非相机抉择：非自动财政稳定器与自动财政稳定器

Discretionary vs nondiscretionary in fiscal mechanism. Non-automatic fiscal stabilisers vs automatic fiscal stabilisers

本研究探讨财政稳定器的相机抉择与非相机抉择特性，界定相关概念，提出通过常规预算余额结构量化财政政策属性的方法，构建量化均衡模型明确自动财政稳定器的数学前提并开展影响因素定性分析。