Computational Economics

1993 - 2025

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

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Springer
Society for Computational Economics
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Volume 65, issue 4, 2025

Copper Price Forecasting Based on Improved Least Squares Support Vector Machine with Butterfly Optimization Algorithm pp. 1795-1817

Jialu Ling, Ziyu Zhong and Helin Wei

An experiment with ANNs and Long-Tail Probability Ranking to Obtain Portfolios with Superior Returns pp. 1819-1853

Alexandre Silva Oliveira, Paulo Sergio Ceretta and Daniel Pastorek

Correction to: An experiment with ANNs and Long‑Tail Probability Ranking to Obtain Portfolios with Superior Returns pp. 1855-1855

Alexandre Silva Oliveira, Paulo Sergio Ceretta and Daniel Pastorek

Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning pp. 1857-1899

Davood Pirayesh Neghab, Mucahit Cevik, M. I. M. Wahab and Ayse Basar

Stability and Chaos of the Duopoly Model of Kopel: A Study Based on Symbolic Computations pp. 1901-1935

Xiaoliang Li, Kongyan Chen, Wei Niu and Bo Huang

Forecasting Stock Indices: Stochastic and Artificial Neural Network Models pp. 1937-1969

Naman Krishna Pande, Arun Kumar and Arvind Kumar Gupta

Pricing Convertible Bonds with the Penalty TF Model Using Finite Element Method pp. 1971-1998

Rakhymzhan Kazbek, Yogi Erlangga, Yerlan Amanbek and Dongming Wei

Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model pp. 1999-2028

Siyao Wei, Pengfei Luo, Jiashan Song and Kunliang Jiang

Implementing a Hierarchical Deep Learning Approach for Simulating Multilevel Auction Data pp. 2029-2056

Igor Sadoune, Marcelin Joanis and Andrea Lodi

Improving Sliding Window Effect of LSTM in Stock Prediction Based on Econometrics Theory pp. 2057-2080

Xiaoxiao Liu and Wei Wang

Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries pp. 2081-2113

Oleksandr Castello and Marina Resta

Analyzing Stationarity in World Coffee Prices pp. 2115-2131

C. Flores Komatsu and Luis Gil-Alana

A Hybrid Multi-population Optimization Algorithm for Global Optimization and Its Application on Stock Market Prediction pp. 2133-2178

Ali Alizadeh, Farhad Soleimanian Gharehchopogh, Mohammad Masdari and Ahmad Jafarian

On a Black–Scholes American Call Option Model pp. 2179-2204

Morteza Garshasbi and Shadi Malek Bagomghaleh

Dynamic Modeling and Simulation of Option Pricing Based on Fractional Diffusion Equations with Double Derivatives pp. 2205-2225

Lina Song

Bitcoin Price Prediction Using Sentiment Analysis and Empirical Mode Decomposition pp. 2227-2248

Serdar Arslan

PCA-ICA-LSTM: A Hybrid Deep Learning Model Based on Dimension Reduction Methods to Predict S&P 500 Index Price pp. 2249-2315

Mehmet Sarıkoç and Mete Celik

On the Efficiency of the Informal Currency Markets: The Case of the Cuban Peso pp. 2317-2350

Alejandro García-Figal, Alejandro Lage-Castellanos, Daniel A. Amaro and R. Mulet

Predicting the Brazilian Stock Market with Sentiment Analysis, Technical Indicators and Stock Prices: A Deep Learning Approach pp. 2351-2378

Arthur Emanuel de Oliveira Carosia, Ana Estela Antunes Silva and Guilherme Palermo Coelho

Perturbating and Estimating DSGE Models in Julia pp. 2379-2396

Alvaro Salazar-Perez and Hernán D. Seoane

An Efficient IMEX Compact Scheme for the Coupled Time Fractional Integro-Differential Equations Arising from Option Pricing with Jumps pp. 2397-2422

Yong Chen and Liangliang Li

Estimating Input Coefficients for Regional Input–Output Tables Using Deep Learning with Mixup pp. 2423-2448

Shogo Fukui

Correction to: The Spherical Parametrisation for Correlation Matrices and its Computational Advantages pp. 2449-2450

Riccardo (Jack) Lucchetti and Luca Pedini

Volume 65, issue 3, 2025

Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices pp. 1147-1168

Changwoo Yoo, Soobin Kwak, Youngjin Hwang, Hanbyeol Jang, Hyundong Kim and Junseok Kim

Applying Machine Learning Algorithms to Predict the Size of the Informal Economy pp. 1169-1189

João Felix, Michel Alexandre and Gilberto Lima

Prediction and Allocation of Stocks, Bonds, and REITs in the US Market pp. 1191-1230

Ana Sofia Monteiro, Helder Sebastião and Nuno Silva

Determinants and Pathways for Inclusive Growth in China: Investigation Based on Artificial Intelligence (AI) Algorithm pp. 1231-1264

Shuangshuang Fan, Yichao Li, William Mbanyele and Xiufeng Lai

Can Text-Based Statistical Models Reveal Impending Banking Crises? pp. 1265-1298

Emile du Plessis

Cross-Correlation Analysis of Crude Oil-Related Stock Markets in China Caused by the Conflict Between Russia and Ukraine pp. 1299-1317

Jian Wang, Wenjing Jiang, Menghao Huang and Wei Shao

Brazilian Selic Rate Forecasting with Deep Neural Networks pp. 1319-1339

Rodrigo Moreira, Larissa Ferreira Rodrigues Moreira and Flávio Oliveira Silva

A Novel Hybrid Model by Integrating Gated Recurrent Unit Network with Weighted Error-Based Fuzzy Candlestick Model for Stock Market Forecasting pp. 1341-1371

Yameng Zhang, Yan Song and Guoliang Wei

A Novel Pythagorean Approach Based Sine-Shaped Fuzzy Data Envelopment Analysis Model: An Assessment of Indian Public Sector Banks pp. 1373-1395

Mohammad Aqil Sahil, Meenakshi Kaushal and Q. M. Danish Lohani

Stackelberg Solutions in an Opinion Dynamics Game with Stubborn Agents pp. 1397-1428

Yulia Kareeva, Artem Sedakov and Mengke Zhen

A Bayesian Time-Varying Coefficient Model for Cobb–Douglas Production Function pp. 1429-1455

Jongwoo Choi, Seongil Jo and Jaeoh Kim

Can Machine Learning Explain Alpha Generated by ESG Factors? pp. 1457-1477

Vittorio Carlei, Piera Cascioli, Alessandro Ceccarelli and Donatella Furia

Portfolio Optimization with Prediction-Based Return Using Long Short-Term Memory Neural Networks: Testing on Upward and Downward European Markets pp. 1479-1504

Xavier Martínez-Barbero, Roberto Cervelló-Royo and Javier Ribal

The Art of Temporal Approximation: An Investigation into Numerical Solutions to Discrete- and Continuous-Time Problems in Economics pp. 1505-1547

Keyvan Eslami and Thomas Phelan

Greymodels: A Shiny Package for Grey Forecasting Models in R pp. 1549-1565

Havisha Jahajeeah and Aslam A. E. F. Saib

Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model pp. 1567-1615

Hongyu An and Boping Tian

Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning pp. 1617-1642

Alexandre Momparler, Pedro Carmona and Francisco Climent

Stock Market Efficiency of the BRICS Countries Pre-, During, and Post Covid-19 Pandemic: A Multifractal Detrended Fluctuation Analysis pp. 1643-1705

Syed Moudud-Ul-Huq and Md. Shahriar Rahman

Analysis of Frequent Trading Effects of Various Machine Learning Models pp. 1707-1740

Jiahao Chen, Xiaofei Li and Junjie Du

Monitoring the Dynamic Networks of Stock Returns with an Application to the Swedish Stock Market pp. 1741-1758

Elena Farahbakhsh Touli, Hoang Nguyen and Olha Bodnar

Going a Step Deeper Down the Rabbit Hole: Deep Learning Model to Measure the Size of the Unregistered Economy Activity pp. 1759-1774

Teddy Lazebnik

Stock Price Prediction with Heavy-Tailed Distribution Time-Series Generation Based on WGAN-BiLSTM pp. 1775-1794

Ming Kang

Volume 65, issue 2, 2025

Introduction to the Special Issue on Nonlinear Dynamics and Complex Systems pp. 579-583

Andrea Caravaggio, Gianluca Iannucci, Mauro Sodini and Fabio Tramontana

Size-Dependent Enforcement, Tax Evasion and Dimensional Trap pp. 585-611

Raffaella Coppier, Elisabetta Michetti and Luisa Scaccia

Correction to: Size‑Dependent Enforcement, Tax Evasion and Dimensional Trap pp. 613-614

Raffaella Coppier, Elisabetta Michetti and Luisa Scaccia

Convergence Speed and Growth Patterns: A Dynamical Systems Approach pp. 615-636

Javier García-Algarra, Gonzalo Gómez-Bengoechea and Mary Luz Mouronte-López

Pollution Abatement and Lobbying in a Cournot Game: An Agent-Based Modelling Approach pp. 637-664

Marco Catola and Silvia Leoni

Dynamic Investigations of an Endogenous Business Cycle Model with Heterogeneous Agents pp. 665-689

Spiros Bougheas, Pasquale Commendatore, Laura Gardini and Ingrid Kubin

Dynamic Multilayer Network for Systemic Risk and Bank Regulation Based on CDS pp. 691-715

Miao Tang and Hong Fan

Insights on the Theory of Robust Games pp. 717-761

G. P. Crespi, D. Radi and M. Rocca

Two-Population Evolutionary Oligopoly with Partial Cooperation and Partial Hostility pp. 763-794

F. Lamantia, D. Radi and T. Tichy

A Novel Window Analysis and Its Application to Evaluating High-Frequency Trading Strategies pp. 795-818

Ha Che-Ngoc, Thach Nguyen-Ngoc and Thao Nguyen-Trang

Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework pp. 819-843

David Neděla, Sergio Ortobelli Lozza and Tomáš Tichý

Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model pp. 845-876

Sarah Mignot and Frank Westerhoff

Asymptotic Dynamics in a Multi-market Delayed Cobweb Model pp. 877-912

Akio Matsumoto and Ferenc Szidarovszky

Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities pp. 913-935

Luca Gori, Francesco Purificato and Mauro Sodini

Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model pp. 937-961

Yuhe Zhao and Ronghua Ju

Household Financial Fragility, Debt and Income in a Dynamic Model pp. 963-988

Giorgio Calcagnini, Federico Favaretto, Germana Giombini and Fabio Tramontana

Pricing of Vulnerable Timer Options pp. 989-1014

Donghyun Kim, Mijin Ha, Sun-Yong Choi and Ji-Hun Yoon

Interacting Cobweb Demands pp. 1015-1050

Lorenzo Pinna and Giorgio Ricchiuti

Consumption Dynamics in Mixed-Income Neighborhoods with Connected Households pp. 1051-1082

Jochen Jungeilges, Trygve Kastberg Nilssen, Makar Pavletsov and Tatyana Perevalova

Polynomial Chaos Expansion: Efficient Evaluation and Estimation of Computational Models pp. 1083-1146

Daniel Fehrle, Christopher Heiberger and Johannes Huber

Volume 65, issue 1, 2025

On Using Proportional Representation Methods as Alternatives to Pro-rata Based Order Matching Algorithms in Stock Exchanges pp. 1-20

Sanjay Bhattacherjee and Palash Sarkar

A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation pp. 21-67

Hali̇l Gündüz, Furkan Emirmahmutoglu and Mustafa Yücel

Standard Errors for Regression-Based Causal Effect Estimates in Economics Using Numerical Derivatives pp. 69-89

Joseph Terza

Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible? pp. 91-116

Andrés Navarro-Galera, Juan Lara-Rubio, Pavel Novoa-Hernández and Carlos A. Cruz Corona

Tales of Turbulence: BERT-based Multimodal Analysis of FED Communication Dynamics Amidst COVID-19 Through FOMC Minutes pp. 117-146

Bilal Taskin and Fuat Akal

Correction to: Tales of Turbulence: BERT‑based Multimodal Analysis of FED Communication Dynamics Amidst COVID‑19 Through FOMC Minutes pp. 147-147

Bilal Taskin and Fuat Akal

Designing Ensemble-Based Models Using Neural Networks and Temporal Financial Profiles to Forecast Firms’ Financial Failure pp. 149-209

Philippe Jardin

Multi-Scale Event Detection in Financial Time Series pp. 211-239

Diego Silva Salles, Cristiane Gea, Carlos E. Mello, Laura Assis, Rafaelli Coutinho, Eduardo Bezerra and Eduardo Ogasawara

Design of Neuro-Stochastic Bayesian Networks for Nonlinear Chaotic Differential Systems in Financial Mathematics pp. 241-270

Farwah Ali Syed, Kwo-Ting Fang, Adiqa Kausar Kiani, Muhammad Shoaib and Muhammad Asif Zahoor Raja

A Consolidated MCDM Framework for Overall Performance Assessment of Listed Insurance Companies Based on Ranking Strategies pp. 271-312

Özcan Işık, Ahmet Çalık and Mohsin Shabir

Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis pp. 313-335

P. S. Niveditha

A Redefined Variance Inflation Factor: Overcoming the Limitations of the Variance Inflation Factor pp. 337-363

Román Salmerón-Gómez, Catalina B. García-García and José García-Pérez

Trade Friction in Two-Country HANK with Financial Friction pp. 365-394

Chenxin Zhang, Yujie Yang and Wenwen Hou

Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers pp. 395-428

Lucas Mussoi Almeida, Fernanda Maria Müller and Marcelo Scherer Perlin

A Smooth Transition Autoregressive Model for Matrix-Variate Time Series pp. 429-458

Andrea Bucci

Correction to: A Smooth Transition Autoregressive Model for Matrix-Variate Time Series pp. 459-462

Andrea Bucci

Stochastic Exchange Rate Dynamics, Intervention Dynamics and the Market Efficiency Hypothesis pp. 463-481

Emmanouil Drakonakis and Stelios Kotsios

Determining Drivers of Private Equity Return with Computational Approaches pp. 483-505

Prosper Lamothe-Fernández, Eduardo García-Argüelles, Sergio Manuel Fernández-Miguélez and Omar Hassani-Zerrouk

Building an Annual Retrospective for French Labor Market (1959–1975) As a Complement of the INSEE’s Time Series (1975–2021) pp. 507-542

Rodolphe Buda

A Study of Controlling Shareholders’ Equity Pledge Rate Based on Dividend Policy and Barrier Option pp. 543-578

Liang Wang, Junjie He and Qian Liu