Computational Economics

1993 - 2009

Edited by Hans Amman

from Springer

This journal is a continuation of Computer Science in Economics & Management.
Series data maintained by Christopher F. Baum ().

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Volume 34, issue 4, 2009

Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models pp. 323-364

Mohamed SAIDANE and Christian Lavergne

Tests of Random Walk: A Comparison of Bootstrap Approaches pp. 365-382

Eduardo Lima and Benjamin Tabak

Network Formation in the Political Blogosphere: An Application of Agent Based Simulation and e-Research Tools pp. 383-398

Robert J Ackland and Jamsheed Shorish

Particle Swarm Optimization Algorithm for Agent-Based Artificial Markets pp. 399-417

Tong Zhang and B Wade Brorsen

Volume 34, issue 2, 2009

Multiagent System Simulations of Signal Averaging in English Auctions with Two-Dimensional Value Signals pp. 119-143

Alan Mehlenbacher

Which Econometric Specification to Characterize the U.S. Inflation Rate Process? pp. 145-172

Mohamed Boutahar and David Sedo Gbaguidi

Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm pp. 173-193

Massimiliano Kaucic

Structural Change and Long Memory in the Dynamic of U.S. Inflation Process pp. 195-216

Mustapha Belkhouja and Mohamed Boutahar

Volume 33, issue 4, 2009

Heterogeneous Labour Markets in a Microsimulation–AGE Model: Application to Welfare Reform in Germany pp. 305-335

Stefan Boeters and Michael Feil

The Neutrality of Money Revisited with a Bottom-Up Approach: Decentralisation, Limited Information and Bounded Rationality pp. 337-360

Gabriel Galand

Foreign Ownership Restrictions: A Numerical Approach pp. 361-388

Bilgehan Karabay, Gernot Pulverer and Ewa Weinmüller

Solving House Allocation Problems with Risk-Averse Agents pp. 389-401

Tommy Andersson and Christer Andersson

Volume 33, issue 3, 2009

Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach pp. 209-236

Flavia Cortelezzi and Giovanni Villani

Models and Simulations for Portfolio Rebalancing pp. 237-262

Gianfranco Guastaroba, Renata Mansini and M. Speranza

Impacts of Interval Computing on Stock Market Variability Forecasting pp. 263-276

Ling He and Chenyi Hu

Block Kalman Filtering for Large-Scale DSGE Models pp. 277-304

Ingvar Strid and Karl Walentin

Volume 33, issue 2, 2009

A Trade Algorithm for Multi-Region Models Subject to Spillover Externalities pp. 107-130

Marian Leimbach and Klaus Eisenack

Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm pp. 131-154

Armin Shmilovici, Yoav Kahiri, Irad Ben-Gal and Shmuel Hauser

Local and Global Interactions in an Evolutionary Resource Game pp. 155-173

Joëlle Noailly, Jeroen C.J.M. van den Bergh and Cees Withagen

Economic Policy in a Growth Model with Human Capital, Heterogenous Agents and Unemployment pp. 175-192

Alfred Greiner and Peter Flaschel

Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation pp. 193-207

Lorenzo Garlappi and Georgios Skoulakis

Volume 33, issue 1, 2009

Smart Forward Shooting pp. 1-30

Manoj Atolia and Edward Buffie

Shocks and Endogenous Institutions: An Agent-based Model of Labor Market Performance in Turbulent Times pp. 31-46

Christian Martin and Michael Neugart

Learning to Collude Tacitly on Production Levels by Oligopolistic Agents pp. 47-78

Steven Kimbrough and Frederic Murphy

The Two-Period Rational Inattention Model: Accelerations and Analyses pp. 79-97

Kurt F. Lewis

Robust Evolutionary Algorithm Design for Socio-Economic Simulation: A Correction pp. 99-101

Floortje Alkemade, Han Poutré and Hans Amman

Robust Evolutionary Algorithm Design for Socio-Economic Simulation: Some Comments pp. 103-105

Ludo Waltman and Nees Eck

Volume 32, issue 4, 2008

Using Parallelization to Solve a Macroeconomic Model: A Parallel Parameterized Expectations Algorithm pp. 343-352

Michael Creel

Multi-core CPUs, Clusters, and Grid Computing: A Tutorial pp. 353-382

Michael Creel and William Goffe

Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures pp. 383-406

Khurshid Kiani and Terry Kastens

Network Formation Under Cumulative Advantage: Evidence from The Cambridge High-Tech Cluster pp. 407-413

Hinnerk Gnutzmann

Volume 32, issue 3, 2008

Numerical Solutions of Asymmetric, First-Price, Independent Private Values Auctions pp. 245-278

Wayne-Roy Gayle and Jean Richard

Optimal Exchange Rate Policy Under Unknown Pass-through and Learning With Applications to Korea pp. 279-293

David Hudgins and C. Chan

The Strategic Exploitation of Limited Information and Opportunity in Networked Markets pp. 295-315

Dan Ladley and Seth Bullock

The Effects of Customer Value on Loyalty and Profits in a Dynamic Competitive Market pp. 317-339

Ting-Hua Chang, Jun-Yen Lee and Ru-Hwa Chen

A Correction of Misstated Equations in Hespeler (2008) pp. 341-342

Frank Hespeler

Volume 32, issue 1, 2008

New Advances in Financial Economics: Heterogeneity and Simulation pp. 1-2

Silvano Cincotti, Laura Gardini and Thomas Lux

Asset Price Dynamics When Behavioural Heterogeneity Varies pp. 3-20

Domenico Colucci and Vincenzo Valori

Complex Price Dynamics in a Financial Market with Imitation pp. 21-36

Ilaria Foroni and Anna Agliari

Modeling and Simulation of an Artificial Stock Option Market pp. 37-53

Sabrina Ecca, Michele Marchesi and Alessio Setzu

A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence pp. 55-72

Carl Chiarella, Roberto Dieci, Laura Gardini and Lucia Sbragia

Learning Agents in an Artificial Power Exchange: Tacit Collusion, Market Power and Efficiency of Two Double-auction Mechanisms pp. 73-98

Eric Guerci, Stefano Ivaldi and Silvano Cincotti

The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach pp. 99-119

Erika Corona, Sabrina Ecca, Michele Marchesi and Alessio Setzu

A Statistical Mechanic View of Macro-dynamics in Economics pp. 121-146

Simone Landini and Mariacristina Uberti

Integrating Real and Financial Markets in an Agent-Based Economic Model: An Application to Monetary Policy Design pp. 147-162

Marco Raberto, Andrea Teglio and Silvano Cincotti

Asset Pricing and Productivity Growth: The Role of Consumption Scenarios pp. 163-181

Volker Böhm, Tomoo Kikuchi and George Vachadze

Optimal Monetary Policy and Long-term Interest Rate Dynamics: Taylor Rule Extensions pp. 183-198

Simone Casellina and Mariacristina Uberti

An R&D Investment Game under Uncertainty in Real Option Analysis pp. 199-219

Giovanni Villani

E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics pp. 221-244

Cees Diks, Cars Hommes, Valentyn Panchenko and Roy Weide

Volume 31, issue 4, 2008

Economics of Reciprocal Networks: Collaboration in Knowledge and Emergence of Industrial Clusters pp. 307-339

Haruo Horaguchi

Matching Heterogeneous Traders in Quantity-Regulated Markets pp. 341-362

Yuya Sasaki and Arthur Josef Caplan

Can Consumer Software Selection Code for Digital Cameras Improve Consumer Performance? pp. 363-380

A. Norman, M. Aberty, K. Brehm, M. Drake, S. Gour, C. Govil, B. Gu, J. Hart, G. Kadiri, J. Ke, S. Keyburn, M. Kulkarni, N. Mehta, A. Robertson, J. Sanghai, V. Shah, J. Schieck, Y. Sivakumaran, J. Sussman, C. Tillmanns, K. Yan and F. Zahradnic

A Pricing Mechanism for Resource Management in Grid Computing pp. 381-395

Panos Parpas and Berç Rustem

Two Dimensional Aggregation Procedure: An Alternative to the Matrix Algebraic Algorithm pp. 397-408

Rodolphe Buda

Volume 31, issue 3, 2008

Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design pp. 207-223

Frank Hespeler

A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t pp. 225-241

Mohamed Boutahar, Gilles Dufrénot and Anne PEGUIN-FEISSOLLE

Seasonal Nonlinear Long Memory Model for the US Inflation Rates pp. 243-254

Ahdi Ajmi, Adnen Ben Nasr and Mohamed Boutahar

Pricing Risky Debts Under a Markov-modudated Merton Model with Completely Random Measures pp. 255-288

John Lau and Tak Kuen Siu

The Impact of Interaction and Social Learning on Aggregate Expectations pp. 289-306

Mark Bowden and Stuart McDonald

Volume 31, issue 2, 2008

Solving Linear Rational Expectations Models: A Horse Race pp. 95-113

Gary Anderson

Analysing DSGE Models with Global Sensitivity Analysis pp. 115-139

Marco Ratto

Continuous State Dynamic Programming via Nonexpansive Approximation pp. 141-160

John Stachurski

A New Approach for Firm Value and Default Probability Estimation beyond Merton Models pp. 161-180

Maria Giuli, Dean Fantazzini and Mario Maggi

Numerical Solution of Optimal Control Problems with Constant Control Delays pp. 181-206

Ulrich Brandt-Pollmann, Ralph Winkler, Sebastian Sager, Ulf Moslener and Johannes Schlöder

Volume 31, issue 1, 2008

Optimal Policy Response with Control Parameter and Intercept Covariance pp. 1-20

Fidel Gonzalez

Stochastic Ceteris Paribus Simulations pp. 21-43

Dag Kolsrud

Decentralized Allocation of Human Capital and Nonlinear Growth pp. 45-75

Orlando Gomes

The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications pp. 77-94

Daiki Maki