# A Survey of Some Recent Applications of Optimal Transport Methods to Econometrics

@article{Galichon2017ASO, title={A Survey of Some Recent Applications of Optimal Transport Methods to Econometrics}, author={Alfred Galichon}, journal={Wiley-Blackwell: Econometrics Journal}, year={2017} }

This paper surveys recent applications of methods from the theory of optimal transport to econometric problems.

## 21 Citations

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Multidimensional matching: theory and empirics∗

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We present a general analysis of multidimensional matching problems with transferable utility, paying particular attention to the case in which agents on one side of the market are multidimensional…

Beckmann's approach to multi-item multi-bidder auctions

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It is shown that the auction-design problem can be reduced to the problem of continuous optimal transportation introduced by Beckmann (1952) and a new numerical approximation scheme is developed that combines multi-to-single-agent reduction and the majorization theory insights to characterize the solution.

Approximation of optimal transport problems with marginal moments constraints

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This work investigates the relaxation of the OT problem when the marginal constraints are replaced by some moment constraints, using Tchakaloff's theorem to show that the Moment Constrained Optimal Transport problem (MCOT) is achieved by a finite discrete measure.

Stochastic equilibrium, the Phillips curve and Keynesian economics

- Economics
- 2019

I uncover serious problems with the benchmark New Keynesian Phillips curve linearized
around its non-stochastic zero inflation steady state when the underlying
model features a subset of prices…

Wasserstein Gradients for the Temporal Evolution of Probability Distributions

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- 2018

Many studies have been conducted on flows of probability measures, often in terms of gradient flows. We introduce here a novel approach for the modeling of the instantaneous evolution of empirically…

On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective

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- 2021

We showcase some unexplored connections between saddlepoint approximations, measure transportation, and some key topics in information theory. To bridge these different areas, we review selectively…

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A unified set of distance-based performance metrics, derived as the square root of the sum of squared alphas and squared standard errors, are proposed, to help the Bayesian investor alleviate his prior concern of model mispricing.

Multivariate Ranks and Quantiles using Optimal Transportation and Applications to Goodness-of-fit Testing

- Mathematics, Computer Science
- 2019

A Glivenko-Cantelli type theorem is proved that shows the asymptotic stability of the empirical rank map in any direction, and proposes multivariate (nonparametric) goodness-of-fit tests based on the notion of quantiles and ranks.

Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests

- Economics
- 2018

These metrics identify Fama and French (2015) factor model (augmented with the momentum factor and/or without the value factor) as the best model and thus highlight the importance of the momentum factors.

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