Eric M. Aldrich

University of California, Santa Cruz

Assistant Professor

Santa Cruz, CA 95064

United States

http://ealdrich.com

SCHOLARLY PAPERS

17

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5,377

SSRN CITATIONS
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Top 18,457

in Total Papers Citations

24

CROSSREF CITATIONS

21

Scholarly Papers (17)

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 1,979 (7,671)
Citation 13

Abstract:

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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 682 (38,231)
Citation 1

Abstract:

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High-frequency trading, US Equities, News arrival

3.

Experiments in High-Frequency Trading: Comparing Two Market Institutions

Number of pages: 40 Posted: 04 May 2018 Last Revised: 01 Mar 2019
Eric M. Aldrich and Kristian López Vargas
University of California, Santa Cruz and University of California, Santa Cruz
Downloads 454 (64,906)
Citation 1

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

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 354 (85,894)
Citation 2

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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 59 (375,544)
Citation 1

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

5.

GPU Computing in Economics

Number of pages: 54 Posted: 28 Oct 2014
Eric M. Aldrich
University of California, Santa Cruz
Downloads 343 (89,710)
Citation 1

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

6.

Order Protection through Delayed Messaging

Number of pages: 60 Posted: 15 Jul 2017 Last Revised: 30 Jun 2019
Eric M. Aldrich and Daniel Friedman
University of California, Santa Cruz and University of California, Santa Cruz - Department of Economics
Downloads 282 (111,527)
Citation 5

Abstract:

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

7.

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 282 (111,085)
Citation 2

Abstract:

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Market microstructure, market design, high-frequency trading

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
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University and Federal Reserve Bank of Atlanta - Research Department
Downloads 194 (160,854)
Citation 6

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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
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University and Federal Reserve Bank of Atlanta - Research Department
Downloads 32 (483,443)

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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 116 (247,288)
Citation 2

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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 52 (399,305)

Abstract:

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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 122 (237,104)
Citation 4

Abstract:

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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 109 (257,239)
Citation 6

Abstract:

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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
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 93 (286,260)

Abstract:

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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 72 (333,694)
Citation 2

Abstract:

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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
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 63 (358,372)
Citation 2

Abstract:

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GPU computing, Dynamic Equilibrium models

15.

An oTree-Based Flexible Architecture for Financial Market Experiments

Number of pages: 24 Posted: 12 Apr 2019
University of California, Santa Cruz, University Of California, Santa Cruz and University of California, Santa Cruz
Downloads 44 (421,243)

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Market Design, Experimental Finance, Algorithmic Trading, Laboratory Experiments, Economic Software

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 31 (488,693)

Abstract:

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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)

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Customer Discrimination, Racial Diversity, Learning

17.

Experiments in High-Frequency Trading: Comparing Two Market Institutions, Online Appendices

Number of pages: 23 Posted: 22 Mar 2019
Eric M. Aldrich and Kristian López Vargas
University of California, Santa Cruz and University of California, Santa Cruz
Downloads 14 (573,917)
Citation 2

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