Simon Scheidegger

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

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

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

SCHOLARLY PAPERS

19

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Scholarly Papers (19)

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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 1,895 (15,393)
Citation 27

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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: 48 Posted: 12 Mar 2021 Last Revised: 28 Oct 2023
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, The University of Melbourne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,007 (39,588)
Citation 1

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

3.

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 911 (45,412)
Citation 18

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

4.

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 848 (50,095)
Citation 44

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

5.

Machine Learning for Dynamic Incentive Problems

Number of pages: 57 Posted: 13 Nov 2018 Last Revised: 14 Nov 2022
Philipp Renner and Simon Scheidegger
Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 799 (54,344)
Citation 9

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

6.

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 798 (54,529)
Citation 4

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

7.

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, Yale University - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 611 (76,924)
Citation 1

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

8.

Sparse Grids for Dynamic Economic Models

Number of pages: 29 Posted: 14 Dec 2021 Last Revised: 02 May 2022
Johannes Brumm, Christopher Krause, Andreas Schaab and Simon Scheidegger
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology - Department of Economics and Management, Columbia Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 477 (104,493)
Citation 3

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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

9.

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 473 (106,562)

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

10.

Deep Replication

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 07 Feb 2023
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
The University of Melbourne, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 420 (121,351)
Citation 1

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

11.

Ricardian Business Cycles

Swiss Finance Institute Research Paper No. 23-43
Number of pages: 62 Posted: 22 Nov 2022 Last Revised: 22 Aug 2023
Lorenzo Bretscher, Jesús Fernández-Villaverde and Simon Scheidegger
Swiss Finance Institute - HEC Lausanne, University of Pennsylvania - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 221 (237,647)

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

12.

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 212 (247,001)
Citation 5

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

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
Università della Svizzera italiana - Institute of Computational Science and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 205 (254,757)
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.

Large-Scale Precision Matrix Estimation With SQUIC

Number of pages: 18 Posted: 16 Aug 2021 Last Revised: 17 Feb 2023
Aryan Eftekhari, Lisa Gaedke-Merzhaeuser, Dimosthenis Pasadakis, Matthias Bollhoefer, Simon Scheidegger and Olaf Schenk
Università della Svizzera italiana - Institute of Computational Science, 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 156 (323,455)

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

15.

Self-Justified Equilibria: Existence and Computation

Number of pages: 37 Posted: 16 Dec 2019 Last Revised: 06 Aug 2023
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 140 (353,006)
Citation 4

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Dynamic General Equilibrium, Rational Expectations, Active Subspaces

16.

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 64 (588,044)
Citation 2

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Dynamic General Equilibrium, dynamically simple equilibrium

17.

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
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin, Jeffrey D. Sachs and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Columbia University - Columbia Earth Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 53 (644,146)
Citation 21

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18.

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
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 27 (821,969)

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19.

Pareto-Improving Carbon-Risk Taxation

NBER Working Paper No. w26919
Number of pages: 37 Posted: 06 Apr 2020 Last Revised: 22 Jul 2023
Laurence J. Kotlikoff, Felix Kubler, Andrey Vladimirovitch Polbin and Simon Scheidegger
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 22 (865,836)
Citation 9

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