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Moumita Saha Anirban Santara Pabitra Mitra Arun Chakraborty Ravi S. Nanjundiah 《International Journal of Forecasting》2021,37(1):58-71
The study of climatic variables that govern the Indian summer monsoon has been widely explored. In this work, we use a non-linear deep learning-based feature reduction scheme for the discovery of skilful predictors for monsoon rainfall with climatic variables from various regions of the globe. We use a stacked autoencoder network along with two advanced machine learning techniques to forecast the Indian summer monsoon. We show that the predictors such as the sea surface temperature and zonal wind can predict the Indian summer monsoon one month ahead, whereas the sea level pressure can predict ten months before the season. Further, we also show that the predictors derived from a combination of climatic variables can outperform the predictors derived from an individual variable. The stacked autoencoder model with combined predictors of sea surface temperature and sea level pressure can predict the monsoon (June-September) two months ahead with a 2.8% error. The accuracy of the identified predictors is found to be superior to the state-of-the-art predictions of the Indian monsoon. 相似文献
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Algorithmic traders use their advantage of speed to execute a large number of small-sized trades in a very short time. In the presence of a minimum trading unit (MTU) restriction, they are forced to trade at the smallest possible sizes, often restricted by the MTU. Using a novel data set of single stock futures market obtained from the National Stock Exchange of India, we show that the MTU restriction acts as a binding constraint for traders while optimizing trade sizes. Contrary to expectation, we find weak evidence that liquidity is positively impacted by the contract size revision. 相似文献
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Anirban Kar 《Games and Economic Behavior》2002,38(2):265
This paper axiomatizes the Shapley value on minimum cost spanning tree games by using axioms which are different from those used in network games. Journal of Economic Literature Classification Numbers: C71, A14. 相似文献
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John V. Farr Isaac J. Faber Anirban Ganguly W. Andy Martin Steven L. Larson 《工程经济学家》2016,61(3):207-222
Simulation-based costing (SBC) has been slow to be adopted by the traditional cost estimating community. This can be attributed to many factors, including complexity, how to gather data and develop probabilistic inputs, cost of SBC software, and a lack of understanding of the benefits of developing cost versus risk profiles. This article presents an overview of how SBC can be effectively utilized for early phase life cycle cost (LCC) estimation. A formal process for conducting LCC incorporating SBC is presented not only to provide a structured approach but to also convey to stakeholders how such a study is conducted. This article also presents a case study where total ownership cost versus risk profiles were developed using this proposed process in order to support budgetary and planning considerations for a large environmental remediation project. This research argues that SBC is needed during the concept exploration phase because this is when budgets are often fixed and expectations set. 相似文献
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Anirban Chakraborti Ioane Muni Toke Marco Patriarca Frédéric Abergel 《Quantitative Finance》2013,13(7):1013-1041
This article is the second part of a review of recent empirical and theoretical developments usually grouped under the heading Econophysics. In the first part, we reviewed the statistical properties of financial time series, the statistics exhibited in order books and discussed some studies of correlations of asset prices and returns. This second part deals with models in Econophysics from the point of view of agent-based modeling. Of the large number of multi-agent-based models, we have identified three representative areas. First, using previous work originally presented in the fields of behavioral finance and market microstructure theory, econophysicists have developed agent-based models of order-driven markets that we discuss extensively here. Second, kinetic theory models designed to explain certain empirical facts concerning wealth distribution are reviewed. Third, we briefly summarize game theory models by reviewing the now classic minority game and related problems. 相似文献
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We report results from two different settings of a three-player ultimatum game. Under the “Monocratic” rule, a player is randomly selected to make an offer to two receivers. Under the “Democratic” rule, all three players make a proposal, and one proposal is then randomly selected. A majority vote is required to implement the proposal in either setting. Although the two rules are strategically equivalent, different patterns of behaviour emerge as the number of interactions increase. Under the “Monocratic” rule, proposers seem to be entitled to claim a larger share of the pie, and receivers are more likely to accept, than in the “Democratic” rule. We speculate that institutions allowing more participation in the process of collective choice lead to a more socially responsible behaviour in individuals. 相似文献
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We propose a new cost allocation rule for minimum cost spanning tree games. The new rule is a core selection and also satisfies cost monotonicity. We also give characterisation theorems for the new rule as well as the much-studied Bird allocation. We show that the principal difference between these two rules is in terms of their consistency properties. 相似文献
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Review of Economic Design - We investigate the strategy-proof provision and financing of indivisible club good facilities when individuals are subject to congestion costs that are non-decreasing in... 相似文献
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