Simon Scheidegger

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

SCHOLARLY PAPERS

24

DOWNLOADS
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Top 6,947

in Total Papers Downloads

13,318

TOTAL CITATIONS
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SSRN RANKINGS

Top 7,929

in Total Papers Citations

220

Scholarly Papers (24)

1.

Deep Equilibrium Nets

Number of pages: 81 Posted: 10 Jun 2019 Last Revised: 22 Jan 2022
Marlon Azinovic, Luca Gaegauf and Simon Scheidegger
University of Pennsylvania, University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 2,138 (15,935)
Citation 47

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computational economics, deep learning, deep neural networks, global solution method, life-cycle, occasionally binding constraints, overlapping generations

2.

Deep Surrogates for Finance: With an Application to Option Pricing

Number of pages: 59 Posted: 12 Mar 2021 Last Revised: 29 Jan 2025
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, University of Melbourne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,642 (24,061)
Citation 4

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surrogate, deep neural network, tail risk index, parameter instability, illiquidity, distribution of option return, VaR

3.

The Climate in Climate Economics

Number of pages: 52 Posted: 14 Jul 2021 Last Revised: 10 May 2023
Doris Folini, Felix Kubler, Aleksandra Friedl and Simon Scheidegger
ETH Zurich, Institute for Atmospheric and Climate Science, University of Zurich, University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,174 (39,592)
Citation 9

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climate change, social cost of carbon, carbon taxes, environmental policy, deep learning, integrated assessment models, DICE-2016

4.

Machine Learning for Dynamic Incentive Problems

Number of pages: 65 Posted: 13 Nov 2018 Last Revised: 19 Jan 2025
Philipp Renner and Simon Scheidegger
Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,100 (43,667)
Citation 9

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Dynamic Contracts, Principal-Agent Model, Heterogeneous Agents, Dynamic Programming, Machine Learning, Gaussian Processes, Reinforcement Learning

5.

Machine Learning for High-Dimensional Dynamic Stochastic Economies

Number of pages: 38 Posted: 06 Mar 2017 Last Revised: 10 Aug 2017
Simon Scheidegger and Ilias Bilionis
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Purdue University
Downloads 991 (50,446)
Citation 18

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Machine Learning, Gaussian Process, Active Subspaces, High-Performance Computing, Neoclassical Growth, Dynamic Programming

6.

A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs

Swiss Finance Institute Research Paper No. 23-114
Number of pages: 70 Posted: 18 Aug 2023 Last Revised: 27 Nov 2023
Luca Gaegauf, Simon Scheidegger and Fabio Trojani
University of Zurich, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Geneva
Downloads 921 (55,920)

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Machine learning, computational finance, computational economics, Gaussian process regression, dynamic portfolio optimization, transaction costs, liquidity premia

7.

Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models

Number of pages: 37 Posted: 04 Nov 2013 Last Revised: 25 May 2017
Johannes Brumm and Simon Scheidegger
Karlsruhe Institute of Technology and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 895 (58,076)
Citation 51

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Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Menu Costs, Occasionally Binding Constraints

8.

Detecting Edgeworth Cycles

Number of pages: 74 Posted: 05 Oct 2021 Last Revised: 15 Nov 2023
Timothy Holt, Mitsuru Igami and Simon Scheidegger
Università della Svizzera italiana, University of Toronto - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 733 (75,984)
Citation 1

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Deep neural networks, Edgeworth cycles, Fuel prices, Machine learning, Markups, Nonparametric methods, Spectral analysis

9.

Sparse Grids for Dynamic Economic Models

Number of pages: 29 Posted: 14 Dec 2021 Last Revised: 02 May 2022
Karlsruhe Institute of Technology, affiliation not provided to SSRN, Columbia Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 671 (85,143)
Citation 9

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parse Grids, Smolyak Sparse Grids, Adaptive Sparse Grids, International Real Business Cycles, Occasionally Binding Constraints, Dynamic Programming, Time Iteration, Hamilton-Jacobi-Bellman Equations, Heterogeneous Agent Models

10.

Deep Replication

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 07 Feb 2023
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
University of Melbourne, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 541 (111,786)
Citation 1

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Deep Learning, Agent Preferences, Risk Aversion, Volatility Smile, Asset Pricing

Monetary Policy with Persistent Supply Shocks

Number of pages: 64 Posted: 05 Dec 2024
Galo Nuño, Philipp Renner and Simon Scheidegger
Banco de España, Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 423 (149,013)

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Deep Learning, Markov switching model, cost-push shocks

Monetary Policy with Persistent Supply Shocks

CESifo Working Paper Series No. 11463
Number of pages: 67 Posted: 05 Dec 2024
Galo Nuño, Philipp Renner and Simon Scheidegger
Banco de España, Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 69 (739,437)

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deep learning, Markov switching model, cost-push shocks

12.

Ricardian Business Cycles

Swiss Finance Institute Research Paper No. 23-43
Number of pages: 62 Posted: 22 Nov 2022 Last Revised: 22 Aug 2023
Swiss Finance Institute - HEC Lausanne, University of Pennsylvania - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 407 (156,975)

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International Trade, Business Cycles, General Equilibrium, Comparative Advantage, Deep Learning

13.

High-Dimensional Dynamic Stochastic Model Representation

Number of pages: 26 Posted: 11 Jun 2020 Last Revised: 10 Feb 2022
Aryan Eftekhari and Simon Scheidegger
Universita della Svizzera Italiana (USI Lugano) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 250 (264,575)
Citation 2

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Generalized ANOVA, Dimensional Decomposition, High-Dimensional Model Representation, Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Occasionally Binding Constraints

14.

Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations

Number of pages: 49 Posted: 11 Nov 2016 Last Revised: 30 Aug 2018
Simon Scheidegger and Adrien Treccani
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Zurich
Downloads 247 (267,778)
Citation 7

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American Options, Derivatives, Pricing, High-dimension, Adaptive sparse grids

15.

Self-Justified Equilibria: Existence and Computation

Number of pages: 46 Posted: 16 Dec 2019 Last Revised: 10 Dec 2024
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 224 (294,579)
Citation 4

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Dynamic General Equilibrium, Rational Expectations, Active Subspaces

16.

A Dynamic Model of Private Asset Allocation

Number of pages: 52 Posted: 01 May 2025
Hui Chen, Giovanni Gambarotta, Simon Scheidegger and Yu Xu
Massachusetts Institute of Technology, Liberty Mutual Investments, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Delaware
Downloads 174 (383,998)

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alternative assets, business cycle, liquidity, machine learning, portfolio choice, private equity, return smoothing, risk-based capital

17.

Large-Scale Precision Matrix Estimation With SQUIC

Number of pages: 18 Posted: 16 Aug 2021 Last Revised: 17 Feb 2023
Universita della Svizzera Italiana (USI Lugano), Universita della Svizzera Italiana (USI Lugano), Universita della Svizzera Italiana (USI Lugano), TU Braunschweig, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Universita della Svizzera Italiana (USI Lugano)
Downloads 161 (398,493)

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SQUIC, precision matrix, LASSO, maximum likelihood,R,Python

Scalable Global Solution Techniques for High-Dimensional Models in Dynare

Number of pages: 27 Posted: 31 Mar 2025
Aryan Eftekhari, Michel Juillard, Normann Rion and Simon Scheidegger
Universita della Svizzera Italiana (USI Lugano), Banque de France - Economic Study and Research Division, CY Cergy Paris Université and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 108 (558,986)

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JEL classification: C63, E30, F44 Adaptive Sparse Grids, High-dimensional Model Representation, Global Solution Methods, International Real Business Cycles, Time Iteration

19.

Building Interpretable Climate Emulators for Economics

Number of pages: 57 Posted: 12 Dec 2024 Last Revised: 24 Jan 2025
Universita della Svizzera Italiana (USI Lugano), ETH Zurich, Institute for Atmospheric and Climate Science, University of Lausanne, University of Zurich, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Universita della Svizzera Italiana (USI Lugano)
Downloads 88 (627,449)
Citation 8

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climate change, social cost of carbon, carbon taxes, environmental policy, deep learning, integrated assessment models, DICE-2016 JEL classification: C61, E27, Q5, Q51, Q54, Q58

20.

Making Carbon Taxation a Generational Win Win

NBER Working Paper No. w25760
Number of pages: 57 Posted: 24 Apr 2019 Last Revised: 22 May 2022
Boston University - Department of Economics, University of Zurich, Gaidar Institute for Economic Policy, Columbia University - Columbia Earth Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 85 (640,870)
Citation 36

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Climate Change Through the Lens of Macroeconomic Modeling

CESifo Working Paper No. 11346
Number of pages: 43 Posted: 29 Oct 2024
University of Pennsylvania - Department of Economics, Yale University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 66 (751,807)

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climate change, integrated assessment model, dynamic stochastic general equilibrium

Climate Change Through the Lens of Macroeconomic Modeling

NBER Working Paper No. w32963
Number of pages: 42 Posted: 17 Sep 2024 Last Revised: 19 Sep 2024
University of Pennsylvania - Department of Economics, Yale University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 11 (1,313,424)
Citation 2
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22.

Uniformly Self-Justified Equilibria

Number of pages: 30 Posted: 28 Dec 2021 Last Revised: 26 Jul 2023
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 77 (678,853)

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Dynamic General Equilibrium, dynamically simple equilibrium

23.

Pareto-Improving Carbon-Risk Taxation

NBER Working Paper No. w26919
Number of pages: 37 Posted: 06 Apr 2020 Last Revised: 22 Jul 2023
Boston University - Department of Economics, University of Zurich, Gaidar Institute for Economic Policy and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 64 (751,052)
Citation 12

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24.

Can Today's and Tomorrow's World Uniformly Gain from Carbon Taxation?

NBER Working Paper No. w29224
Number of pages: 57 Posted: 13 Sep 2021 Last Revised: 08 May 2023
Boston University - Department of Economics, University of Zurich, Gaidar Institute for Economic Policy and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 58 (789,954)

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