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Computational Economics

1993 - 2021

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

From:
Springer
Society for Computational Economics
Contact information at EDIRC.

Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

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Volume 57, issue 2, 2021

Leveraging Social Media to Predict Continuation and Reversal in Asset Prices pp. 433-453 Downloads
Patrick Houlihan and Germán G. Creamer
Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework pp. 455-479 Downloads
Antonio A. F. Santos
Robust Solutions to the Life-Cycle Consumption Problem pp. 481-499 Downloads
Lorenzo Reus and Frank J. Fabozzi
Correction to: Robust Solutions to the Life-Cycle Consumption Problem pp. 501-502 Downloads
Lorenzo Reus and Frank J. Fabozzi
Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH pp. 503-527 Downloads
Indranil Ghosh, Manas K. Sanyal and R. K. Jana
A Guide to Using the R Package “multiColl” for Detecting Multicollinearity pp. 529-536 Downloads
Román Salmerón-Gómez, Catalina García-García and José García-Pérez
Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms pp. 537-575 Downloads
Julien Chevallier, Bangzhu Zhu and Lyuyuan Zhang
The Success of the Deferred Acceptance Algorithm Under Heterogenous Preferences with Endogenous Aspirations pp. 577-591 Downloads
Ismail Saglam
An Intelligent System for Insider Trading Identification in Chinese Security Market pp. 593-616 Downloads
Shangkun Deng, Chenguang Wang, Zhe Fu and Mingyue Wang
A New Appraisal Model of Second-Hand Housing Prices in China’s First-Tier Cities Based on Machine Learning Algorithms pp. 617-637 Downloads
Lulin Xu and Zhongwu Li
Optimizing Algorithmic Strategies for Trading Bitcoin pp. 639-654 Downloads
Gil Cohen
Stationarity Statistics on Rolling Windows pp. 655-691 Downloads
Joseph Ross
An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering pp. 693-718 Downloads
Zhijian He and Xiaoqun Wang
Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks pp. 719-742 Downloads
Qianjie Geng and Yudong Wang
Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting pp. 743-771 Downloads
Leandro Maciel and Rosangela Ballini
R-Squared-Bootstrapping for Gegenbauer-Type Long Memory pp. 773-790 Downloads
Yixun Xing and Wayne A. Woodward

Volume 57, issue 1, 2021

Machine Learning in Economics and Finance pp. 1-4 Downloads
Periklis Gogas and Theophilos Papadimitriou
Gold Against the Machine pp. 5-28 Downloads
Vasilios Plakandaras, Periklis Gogas and Theophilos Papadimitriou
Forecasting Realized Volatility of Bitcoin: The Role of the Trade War pp. 29-53 Downloads
Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch
Support Vector Machine Algorithms: An Application to Ship Price Forecasting pp. 55-87 Downloads
Theodore Syriopoulos, Michael Tsatsaronis and Ioannis Karamanos
Monitoring Liquidity Management of Banks With Recurrent Neural Networks pp. 89-112 Downloads
Ron Triepels, Hennie Daniels and Ron Berndsen
Modelling Stock Markets by Multi-agent Reinforcement Learning pp. 113-147 Downloads
Johann Lussange, Ivan Lazarevich, Sacha Bourgeois-Gironde, Stefano Palminteri and Boris Gutkin
Time-Varying Dictionary and the Predictive Power of FED Minutes pp. 149-181 Downloads
Luiz Renato Lima, Lucas Lúcio Godeiro and Mohammed Mohsin
Unemployment Rate Forecasting: A Hybrid Approach pp. 183-201 Downloads
Tanujit Chakraborty, Ashis Kumar Chakraborty, Munmun Biswas, Sayak Banerjee and Shramana Bhattacharya
Explainable Machine Learning in Credit Risk Management pp. 203-216 Downloads
Niklas Bussmann, Paolo Giudici, Dimitri Marinelli and Jochen Papenbrock
Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting pp. 217-245 Downloads
Firat Melih Yilmaz and Ozer Arabaci
Forecasting of Real GDP Growth Using Machine Learning Models: Gradient Boosting and Random Forest Approach pp. 247-265 Downloads
Jaehyun Yoon
The Determinants of Bitcoin’s Price: Utilization of GARCH and Machine Learning Approaches pp. 267-280 Downloads
Ting-Hsuan Chen, Mu-Yen Chen and Guan-Ting Du
A Synthetic Penalized Logitboost to Model Mortgage Lending with Imbalanced Data pp. 281-309 Downloads
Jessica Pesantez-Narvaez, Montserrat Guillen and Manuela Alcañiz
Predicting Stock Price Falls Using News Data: Evidence from the Brazilian Market pp. 311-340 Downloads
Juvenal José Duarte, Sahudy Montenegro González and José César Cruz
A New Scalable Bayesian Network Learning Algorithm with Applications to Economics pp. 341-367 Downloads
Michail Tsagris
Textual Machine Learning: An Application to Computational Economics Research pp. 369-385 Downloads
Christos Alexakis, Michael Dowling, Konstantinos Eleftheriou and Michael Polemis
Nowcasting US GDP Using Tree-Based Ensemble Models and Dynamic Factors pp. 387-417 Downloads
Barış Soybilgen and Ege Yazgan
A New Hybrid Instance-Based Learning Model for Decision-Making in the P2P Lending Market pp. 419-432 Downloads
Golnoosh Babaei and Shahrooz Bamdad

Volume 56, issue 4, 2020

The Use of Partial Fractional Form of A-Stable Padé Schemes for the Solution of Fractional Diffusion Equation with Application in Option Pricing pp. 695-709 Downloads
H. Ghafouri, M. Ranjbar and A. Khani
ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets pp. 711-721 Downloads
Vasilios N. Katsikis and Spyridon D. Mourtas
Multiple Shooting Method for Solving Black–Scholes Equation pp. 723-746 Downloads
Somayeh Abdi-Mazraeh, Ali Khani and Safar Irandoust-Pakchin
Forecasting with Second-Order Approximations and Markov-Switching DSGE Models pp. 747-771 Downloads
Sergey Ivashchenko, Semih Emre Çekin, Kevin Kotze and Rangan Gupta
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection pp. 773-794 Downloads
Mårten Gulliksson and Stepan Mazur
Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters pp. 795-841 Downloads
Sanha Noh
Measuring Spatio-temporal Efficiency: An R Implementation for Time-Evolving Units pp. 843-864 Downloads
Georgios Digkas, Konstantinos Petridis, Alexander Chatzigeorgiou, Emmanouil Stiakakis and Ali Emrouznejad
Fast Monte Carlo Simulation for Pricing Equity-Linked Securities pp. 865-882 Downloads
Hanbyeol Jang, Sangkwon Kim, Junhee Han, Seongjin Lee, Jungyup Ban, Hyunsoo Han, Chaeyoung Lee, Darae Jeong and Junseok Kim
Optimal Grid Selection for the Numerical Solution of Dynamic Stochastic Optimization Problems pp. 883-928 Downloads
Karsten O. Chipeniuk
Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean pp. 929-952 Downloads
Argimiro Arratia and Henryk Gzyl
Degrees of Rationality in Agent-Based Retail Markets pp. 953-973 Downloads
Georgios Methenitis, Michael Kaisers and Han Poutré
Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method pp. 975-1054 Downloads
D. Th. Vezeris, C. J. Schinas, Th. S. Kyrgos, V. A. Bizergianidou and I. P. Karkanis
Liquidity Constraints for Portfolio Selection Based on Financial Volume pp. 1055-1077 Downloads
Eduardo Bered Fernandes Vieira and Tiago Pascoal Filomena

Volume 56, issue 3, 2020

Guest Editorial: Special Issue on Experimentation in Economics pp. 599-600 Downloads
Hans Amman and Marco P. Tucci
Heterogeneous Expectations and Uncertain Inflation Target pp. 601-621 Downloads
Stefano Marzioni and Guido Traficante
Heuristic Switching Model and Exploration-Exploitation Algorithm to Describe Long-Run Expectations in LtFEs: a Comparison pp. 623-658 Downloads
Annarita Colasante, Simone Alfarano and Eva Camacho-Cuena
An Evolutionary Approach to Passive Learning in Optimal Control Problems pp. 659-673 Downloads
D. Blueschke, Ivan Savin and V. Blueschke-Nikolaeva
How Active is Active Learning: Value Function Method Versus an Approximation Method pp. 675-693 Downloads
Hans Amman and Marco P. Tucci

Volume 56, issue 2, 2020

Crises Beyond Belief: Findings on Contagion, the Role of Beliefs, and the Eurozone Debt Crisis from a Borrower–Lender Game pp. 263-317 Downloads
Jonathan W. Welburn
Multifractal Analysis of Realized Volatilities in Chinese Stock Market pp. 319-336 Downloads
Yufang Liu, Weiguo Zhang, Junhui Fu and Xiang Wu
Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price pp. 337-353 Downloads
Jin-Bom Han, Sun-Hak Kim, Myong-Hun Jang and Kum-Sun Ri
Equilibrium Working Curves with Heterogeneous Agents pp. 355-372 Downloads
Atle Oglend and Vesa-Heikki Soini
Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics pp. 373-389 Downloads
B. Zhang, J. Wang, W. Zhang and G. C. Wang
Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate pp. 391-429 Downloads
Chaoqun Ma, Shengjie Yue, Hui Wu and Yong Ma
Distributional Assumptions and the Estimation of Contingent Valuation Models pp. 431-460 Downloads
James McDonald, Daniel B. Walton and Bryan Chia
A Non-parametric Test and Predictive Model for Signed Path Dependence pp. 461-498 Downloads
Fabio S. Dias and Gareth W. Peters
An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes pp. 499-528 Downloads
Junkee Jeon, Jeonggyu Huh and Kyunghyun Park
Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets pp. 529-545 Downloads
Sang Hoon Kang, Seong-Min Yoon, Stelios Bekiros and Gazi Uddin
Optimal Filter Approximations for Latent Long Memory Stochastic Volatility pp. 547-568 Downloads
Grace Lee Ching Yap
Machine learning with parallel neural networks for analyzing and forecasting electricity demand pp. 569-597 Downloads
Yi-Ting Chen, Edward Sun and Yi-Bing Lin

Volume 56, issue 1, 2020

Introduction to Topics in Modelling Financial and Macroeconomic Time Series pp. 1-3 Downloads
Fredj Jawadi
Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain pp. 5-20 Downloads
Mondher Bellalah, Detao Zhang and Panpan Zhang
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity pp. 21-57 Downloads
Hachmi Ben Ameur, Mouna Boujelbène, Jean-Luc Prigent and Emna Triki
Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping pp. 59-75 Downloads
Philip Hans Franses and Thomas Wiemann
Conditional Correlation Demand Systems pp. 77-86 Downloads
Apostolos Serletis and Libo Xu
Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle pp. 87-114 Downloads
Mariam Camarero, Juan Sapena and Cecilio Tamarit
A Monte Carlo Study of Time Varying Coefficient (TVC) Estimation pp. 115-130 Downloads
Stephen Hall, Heather D. Gibson, George Tavlas and Mike G. Tsionas
Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns pp. 131-143 Downloads
Nabila Jawadi, Fredj Jawadi and Abdoulkarim Idi Cheffou
OPTCON3: An Active Learning Control Algorithm for Nonlinear Quadratic Stochastic Problems pp. 145-162 Downloads
V. Blueschke-Nikolaeva, D. Blueschke and Reinhard Neck
A Testing Procedure for Constant Parameters in Stochastic Volatility Models pp. 163-186 Downloads
Juan Hoyo, Guillermo Llorente and Carlos Rivero
Predicting Extreme Financial Risks on Imbalanced Dataset: A Combined Kernel FCM and Kernel SMOTE Based SVM Classifier pp. 187-216 Downloads
Xun Huang, Cheng-Zhao Zhang and Jia Yuan
Technological Change and Catching-Up in the Indian Banking Sector: A Time-Dependent Nonparametric Frontier Approach pp. 217-237 Downloads
Sushanta Mallick, Aarti Rughoo, Nickolaos Tzeremes and Wei Xu
About Long-Term Cross-Currency Bermuda Swaption Pricing pp. 239-262 Downloads
Bünyamin Erkan and Jean-Luc Prigent
Page updated 2021-04-15