data:data_science

See also Computing

A wide variety of empirical methods are popular, such as

- general method of moments (GMM), and

However, they do the same thing: * they pick free parameters of the model to make it fit best*, which usually means to minimize model fitting errors; and they evaluate the model by examining how big those errors are.

(time-series)

- Jacobian matrix and determinant (Linear map)
- Measure (mathematics) - Probability
- Probability density function
- Wiener process
- Geometric Brownian motion

(cross-secitonal)

Machine Learning deals with Data mining, Pattern recognition, Learning (supervised, unsupervised, reinforcement)

See the full document at Machine Learning

In economics, a model is a theoretical construct representing economic processes by a set of variables and a set of logical and/or quantitative relationships between them (parameters and endogenous/exogenous variables). The economic model is a simplified framework designed to illustrate complex processes, often using mathematical techniques.

- observe empirically the
*Data*, thus inducing*Facts*(**Fact Finding**) - develop a
**theoretic model**on the top of*Facts*. - test the model
**empirically**with*Data*or simulate the model to see the impact. (**Testing**)

- Cobb–Douglas model of production
- Solow–Swan model of economic growth
- Lucas islands model of money supply
- Heckscher–Ohlin model of international trade
- Black–Scholes model of option pricing

- Stochastic vs. Deterministic
- Accounting model
- Optimization models (unconstrained and constrained)
- Aggregate models

- Assumptions - Restrictive, unrealistic
- Omitted details
- Are economic models falsifiable?

Accounting models, which are built around financial statements

- Business valuation -

Financial models

- Contingent Claims Pricing
- Portfolio optimization
- Real Options
- Risk modeling - Market, credit, operational VaR (Value at Risk)

- Although spreadsheets are widely used here also (almost always requiring extensive VBA), custom C++ or numerical analysis software such as MATLAB is often preferred

- Unordered List Item

data/data_science.txt · Last modified: 2016/09/21 16:58 by admin

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