Eric M. Aldrich

University of California, Santa Cruz

Assistant Professor

Santa Cruz, CA 95064

United States

http://ealdrich.com

  • University of California, Santa Cruz

    • Email
    • Tel: 831-459-4247
SCHOLARLY PAPERS

15

DOWNLOADS
Rank 9,024

SSRN RANKINGS

Top 9,024

in Total Papers Downloads

4,839

CITATIONS
Rank 18,545

SSRN RANKINGS

Top 18,545

in Total Papers Citations

17

Scholarly Papers (15)

Actions:
Email selected abstracts
1.

The Flash Crash: A New Deconstruction

Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 10 May 2017
Eric M. Aldrich, Joseph Grundfest and Gregory Laughlin
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads 1,869 (7,568)

Abstract:

Loading...

High-frequency trading, market microstructure, Flash Crash, financial market regulation.

2.

A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016
Eric M. Aldrich, Indra Heckenbach and Gregory Laughlin
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads 661 (36,450)

Abstract:

Loading...

High-frequency trading, US Equities, News arrival

3.

Computational Methods for Production-Based Asset Pricing Models with Recursive Utility

Downloads 369 ( 75,703)

Computational Methods for Production-Based Asset Pricing Models with Recursive Utility

Economic Research Initiatives at Duke (ERID) Working Paper No. 87
Number of pages: 45 Posted: 15 Dec 2010 Last Revised: 10 May 2017
Eric M. Aldrich and Howard Kung
University of California, Santa Cruz and London Business School
Downloads 313 (90,782)

Abstract:

Loading...

DSGE Models, Nonlinear Solution Methods, Numerical Dynamic Program- ming, Recursive Utility, Asset Pricing

Computational Methods for Production-Based Asset Pricing Models with Recursive Utility

Number of pages: 45 Posted: 26 Sep 2009 Last Revised: 10 May 2017
Eric M. Aldrich and Howard Kung
University of California, Santa Cruz and London Business School
Downloads 56 (356,619)

Abstract:

Loading...

DSGE Models, Nonlinear Solution Methods, Numerical Dynamic Programming, Recursive Utility, Asset Pricing.

4.

Experiments in High-Frequency Trading: Testing the Frequent Batch Auction

Number of pages: 54 Posted: 04 May 2018 Last Revised: 03 Aug 2018
Eric M. Aldrich and Kristian López Vargas
University of California, Santa Cruz and University of California, Santa Cruz
Downloads 328 (86,979)

Abstract:

Loading...

Market Design, Auctions, High-Frequency Trading, Continuous Double Auction, Frequent Batch Auction

5.

GPU Computing in Economics

Number of pages: 54 Posted: 28 Oct 2014
Eric M. Aldrich
University of California, Santa Cruz
Downloads 313 (91,335)

Abstract:

Loading...

Parallel Computing, GPU Computing, Dynamic Programming, Asset Pricing, Heterogeneous Beliefs, General Equilibrium.

6.

Relative Spread and Price Discovery

Number of pages: 42 Posted: 30 Apr 2016 Last Revised: 23 Jun 2018
Eric M. Aldrich and Seung Lee
University of California, Santa Cruz and University of California, Santa Cruz
Downloads 255 (113,718)

Abstract:

Loading...

Market microstructure, market design, high-frequency trading

7.

Order Protection through Delayed Messaging

Number of pages: 47 Posted: 15 Jul 2017 Last Revised: 22 Jul 2018
Eric M. Aldrich and Daniel Friedman
University of California, Santa Cruz and University of California, Santa Cruz - Department of Economics
Downloads 217 (134,163)

Abstract:

Loading...

Market design, high-frequency trading, continuous double auction, IEX, lab experiments

8.

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

Downloads 213 (135,939)
Citation 2

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

Economic Research Initiatives at Duke Working Paper No. 86
Number of pages: 17 Posted: 15 Dec 2010
Eric M. Aldrich, Jesús Fernández-Villaverde, A. Ronald Gallant and Juan Francisco Rubio-Ramirez
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University and Federal Reserve Bank of Atlanta - Research Department
Downloads 183 (156,568)
Citation 2

Abstract:

Loading...

CUDA, Dynamic Programming, Parallelization, Growth Model, Business Cycles

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

NBER Working Paper No. w15909
Number of pages: 13 Posted: 19 Apr 2010
Eric M. Aldrich, Jesús Fernández-Villaverde, A. Ronald Gallant and Juan Francisco Rubio-Ramirez
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University and Federal Reserve Bank of Atlanta - Research Department
Downloads 30 (456,792)
Citation 2

Abstract:

Loading...

9.

Habit, Long-Run Risks, Prospect? A Statistical Inquiry

Downloads 162 (174,260)
Citation 2

Habit, Long-Run Risks, Prospect? A Statistical Inquiry

Economic Research Initiatives at Duke (ERID) Working Paper Series No. 58
Number of pages: 40 Posted: 09 Sep 2010 Last Revised: 27 Feb 2011
Eric M. Aldrich and A. Ronald Gallant
University of California, Santa Cruz and Duke University - Fuqua School of Business, Economics Group
Downloads 112 (234,486)
Citation 2

Abstract:

Loading...

Statistical Tests, Habit, Long-Run Risks, Prospect Theory, Asset Pricing

Habit, Long Run Risks, Prospect? A Statistical Inquiry

Journal of Financial Econometrics, Forthcoming
Number of pages: 39 Posted: 30 Nov 2009 Last Revised: 30 Nov 2010
Eric M. Aldrich and A. Ronald Gallant
University of California, Santa Cruz and Duke University - Fuqua School of Business, Economics Group
Downloads 50 (376,225)
Citation 2

Abstract:

Loading...

Statistical Tests, Habit, Long-Run Risks, Prospect Theory, Asset Pricing

10.

Trading Volume in General Equilibrium with Complete Markets

Number of pages: 33 Posted: 23 Oct 2012 Last Revised: 28 Oct 2014
Eric M. Aldrich
University of California, Santa Cruz
Downloads 109 (239,433)

Abstract:

Loading...

trading volume, asset pricing, heterogeneous beliefs, general equilibrium

11.

Applying Relative Distribution Methods in R

University of Washington Working Paper No. 27
Number of pages: 22 Posted: 25 Feb 2011
Mark S. Handcock and Eric M. Aldrich
Pennsylvania State University - Department of Statistics and University of California, Santa Cruz
Downloads 100 (252,607)
Citation 8

Abstract:

Loading...

12.

Calibrated Probabilistic Forecasting at the Stateline Wind Energy Center: The Regime-Switching Space–Time Method

Journal of the American Statistical Association, Vol. 101, pp. 968-979
Number of pages: 12 Posted: 22 Dec 2012
Tilmann Gneiting, Kristin Larson, Kenneth Westrick, Marc Genton and Eric M. Aldrich
University of Washington - Department of Statistics and Biostatistics, 3TIER Environmental Forecast Group, Inc., 3TIER Environmental Forecast Group, Inc., Texas A&M University (TAMU) - Department of Statistics and University of California, Santa Cruz
Downloads 90 (270,396)
Citation 1

Abstract:

Loading...

continuous ranked probability score, minimum continuous ranked probability score estimation, predictive distribution, Spatiotemporal, truncated normal, weather prediction

13.

Alternative Estimators of Wavelet Variance

Number of pages: 61 Posted: 30 Nov 2009
Eric M. Aldrich
University of California, Santa Cruz
Downloads 66 (323,775)

Abstract:

Loading...

14.

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models With Graphics Processors

PIER Working Paper No. 10-014
Number of pages: 13 Posted: 12 Apr 2010
Eric M. Aldrich, Jesús Fernández-Villaverde, A. Ronald Gallant and Juan Francisco Rubio-Ramirez
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business, Economics Group and Federal Reserve Bank of Atlanta - Research Department
Downloads 61 (337,147)
Citation 2

Abstract:

Loading...

GPU computing, Dynamic Equilibrium models

15.

Do People Value Racial Diversity? Evidence from Nielsen Ratings

Downloads 26 (464,730)
Citation 2

Do People Value Racial Diversity? Evidence from Nielsen Ratings

Topics in Economic Analysis and Policy, Vol. 5, Article 4
Number of pages: 24 Posted: 30 Nov 2009 Last Revised: 25 Feb 2011
Eric M. Aldrich, Peter Arcidiacono and Jacob L. Vigdor
University of California, Santa Cruz, Duke University - Department of Economics and National Bureau of Economic Research (NBER)
Downloads 26 (478,148)
Citation 2

Abstract:

Loading...

Customer Discrimination, Racial Diversity, Learning

Do People Value Racial Diversity? Evidence from Nielsen Ratings

Posted: 30 Nov 2009
Eric M. Aldrich, Peter Arcidiacono and Jacob L. Vigdor
University of California, Santa Cruz, Duke University - Department of Economics and National Bureau of Economic Research (NBER)

Abstract:

Loading...

Customer Discrimination, Racial Diversity, Learning