Economics and Finance

  1. B. Park and B. Van Roy, ``Adaptive Execution: Exploration and Learning of Price Impact,'' submitted. Appendix.

  2. Y.-H. Kao and B. Van Roy, ``Directed Principal Component Analysis,'' submitted.

  3. Y.-H. Kao and B. Van Roy, ``Learning a Factor Model via Regularized PCA,'' submitted.

  4. M. T. Padilla and B. Van Roy, ``Intermediated Blind Portfolio Auctions,'' Management Science, Vol. 58, No. 9, pp. 1747-1760, 2012.

  5. C. C. Moallemi, B. Park, and B. Van Roy, ``Strategic Execution in the Presence of an Uninformed Arbitrageur,'' Journal of Financial Markets, Vol. 15, pp. 361-391, 2012.

  6. A. Chairawongse, S. Kiatsupaibul, S. Tirapat, and B. Van Roy, ``Portfolio Selection with Qualitative Input,'' Journal of Banking and Finance, Vol. 36, No. 2, pp. 489-496, 2012.

  7. G. Y. Weintraub, C. L. Benkard, and B. Van Roy, ``Industry Dynamics: Foundations for Models with an Infinite Number of Firms,'' Journal of Economic Theory, Vol 146, No. 5, pp. 1965-1994, 2011.

  8. J. Han and B. Van Roy, ``Control of Diffusions via Linear Programming,'' in Stochastic Programming: The State of the Art, in Honor of George B. Dantzig, edited by Gerd Infanger, pp. 329-354, Springer, 2011.

  9. B. Van Roy, ``On Regression-Based Stopping Times,'' Discrete Event Dynamic Systems, Vol. 20, No. 3, pp. 307-324, 2010.

  10. R. Johari, G. Y. Weintraub, and B. Van Roy, ``Investment and Market Structure in Industries with Congestion,'' Operations Research, Vol. 58, No. 5, 2010, pp. 1303-1317.

  11. G. Y. Weintraub, C. L. Benkard, and B. Van Roy, ``Computational Methods for Oblivious Equilibrium,'' Operations Research, Vol. 58, No. 4, 2010, pp. 1247-1265. [Matlab code (updated July 2012)]

  12. G. Y. Weintraub, C. L. Benkard, and B. Van Roy, ``Markov Perfect Industry Dynamics with Many Firms,'' Econometrica, Vol. 76, No. 6, 2008, pp. 1375-1411. [Technical Appendix]

  13. N. O. Keohane, B. Van Roy, and R. J. Zeckhauser, ``Managing the Quality of a Resource with Stock and Flow Controls,'' Journal of Public Economics, Vol. 91, 2007, pp. 541-569.

  14. J. N. Tsitsiklis and B. Van Roy, ``Regression Methods for Pricing Complex American-Style Options,'' IEEE Transactions on Neural Networks, Vol. 12, No. 4 (special issue on computational finance), July 2001, pp. 694-703.

  15. J. N. Tsitsiklis and B. Van Roy, ``Optimal Stopping of Markov Processes: Hilbert Space Theory, Approximation Algorithms, and an Application to Pricing High-Dimensional Financial Derivatives,'' IEEE Transactions on Automatic Control, Vol. 44, No. 10, October 1999, pp. 1840-1851.