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WCE
2007
14 years 11 months ago
Comparing Risk Neutral Density Estimation Methods using Simulated Option Data
Abstract—In this paper I use Monte Carlo simulated option data to investigate the empirical power of six Risk Neutral Density (RND) estimation techniques. Three alternative appro...
Amine Bouden
CORR
2010
Springer
146views Education» more  CORR 2010»
14 years 10 months ago
Adaptive Submodularity: A New Approach to Active Learning and Stochastic Optimization
Solving stochastic optimization problems under partial observability, where one needs to adaptively make decisions with uncertain outcomes, is a fundamental but notoriously diffic...
Daniel Golovin, Andreas Krause
ENDM
2010
130views more  ENDM 2010»
14 years 10 months ago
Experimental Analysis of an Online Trading Algorithm
Trading decisions in financial markets can be supported by the use of online algorithms. We evaluate the empirical performance of a threat-based online algorithm and compare it to...
Günter Schmidt, Esther Mohr, Mike Kersch
DSS
2008
100views more  DSS 2008»
14 years 10 months ago
Designing online selling mechanisms: Transparency levels and prices
Sellers increasingly compete with innovative Internet-based selling mechanisms, revealing or concealing market information. Transparency strategy involves design choices by firms ...
Nelson F. Granados, Alok Gupta, Robert J. Kauffman
DSS
2006
91views more  DSS 2006»
14 years 10 months ago
Exploring auction databases through interactive visualization
We introduce AuctionExplorer, a suite of tools for exploring databases of online auctions. The suite combines tools for collecting, processing, and interactively exploring auction...
Galit Shmueli, Wolfgang Jank, Aleks Aris, Catherin...