Computational Economics

1993 - 2024

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 64, issue 1, 2024

Social Networks and Norms Evolution pp. 1-36

Ankur Tutlani and Dushyant Kumar

Gauging Demand for Cryptocurrency over the Economic Policy Uncertainty and Stock Market Volatility pp. 37-55

Emon Kalyan Chowdhury and Mohammad Nayeem Abdullah

Fast and Accurate Computation of the Regime-Switching Jump-Diffusion Option Prices Using Laplace Transform and Compact Difference with Convergence Guarantee pp. 57-80

Yong Chen

Truncated Dantzig–Wolfe Decomposition for a Class of Constrained Variational Inequality Problems pp. 81-104

William Chung

Explore the Impact Mechanism of Block Chain Technology on China's Carbon Market pp. 105-135

Hanghang Dong, Jun Yang, Xiaoming Li and Lan Xu

Multi-regression Forecast in Stochastic Chaos pp. 137-160

Alexander Musaev, Andrey Makshanov and Dmitry Grigoriev

Understanding Dividend Puzzle Using Machine Learning pp. 161-179

Codruț-Florin Ivașcu

Reference Vector-Based Multiobjective Clustering Ensemble Approach for Time Series Forecasting pp. 181-210

Chao Liu, Fengfeng Gao, Mengwan Zhang, Yuanrui Li and Cun Qian

An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials pp. 211-224

Y. Esmaeelzade Aghdam, H. Mesgarani, A. Amin and J. F. Gómez-Aguilar

Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research pp. 225-262

Efstathios Polyzos and Costas Siriopoulos

Accuracy in Recursive Minimal State Space Methods pp. 263-305

Pierri Damian

Predicting Firm Financial Performance from SEC Filing Changes Using Automatically Generated Dictionary pp. 307-334

Aparna Gupta, Vipula Rawte and Mohammed J. Zaki

Benchmark Analysis of Machine Learning Methods to Forecast the U.S. Annual Inflation Rate During a High-Decile Inflation Period pp. 335-375

Rama K. Malladi

Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil pp. 377-409

Guilherme Schultz Lindenmeyer and Hudson Silva Torrent

After the Split: Market Efficiency of Bitcoin Cash pp. 411-427

Hyeonoh Kim, Eojin Yi, Jooyoung Jeon, Taeyoung Park and Kwangwon Ahn

The Relationship Between Non-additivity Valuations, Cash Flows and Sales Growth pp. 429-459

Maryam Eghbal, Farzaneh Nassirzadeh and Davood Askarany

Incremental Data Envelopment Analysis Model and Applications in Sustainable Efficiency Evaluation pp. 461-486

Ai-bing Ji, Bo-wen Wei and Yi-yi Ma

Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data pp. 487-513

Rangan Gupta, Sayar Karmakar and Christian Pierdzioch

Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options pp. 515-550

S. Sapna and Biju R. Mohan

Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure pp. 551-577

Chunhui Xu and Yinyu Ye

Housing GANs: Deep Generation of Housing Market Data pp. 579-594

Bilgi Yilmaz

A Review of Generalized Hyperbolic Distributions pp. 595-624

Xiao Jiang, Saralees Nadarajah and Thomas Hitchen

Volume 63, issue 6, 2024

The Environmental Consequences of Local Government Competition: Evidence from 209 Chinese Cities pp. 2115-2137

Zhiyang Shen, Yunlong Zhang, Kaifa Wu, Muhammad Irfan and Yu Hao

Unit Roots in Macroeconomic Time Series: A Comparison of Classical, Bayesian and Machine Learning Approaches pp. 2139-2173

Yamin Ahmad, Adam Check and Ming Chien Lo

M-Quantile Estimation for GARCH Models pp. 2175-2192

Patrick F. Patrocinio, Valderio A. Reisen, Pascal Bondon, Edson Z. Monte and Ian M. Danilevicz

Two-Stage Hybrid Feature Selection Approach Using Levy’s Flight Based Chicken Swarm Optimization for Stock Market Forecasting pp. 2193-2224

Satya Verma, Satya Prakash Sahu and Tirath Prasad Sahu

Is cryptocurrency Efficient? A High-Frequency Asymmetric Multifractality Analysis pp. 2225-2246

Kai Meng and Khalid Khan

Portfolio Selection with a Rank-Deficient Covariance Matrix pp. 2247-2269

Mårten Gulliksson, Anna Oleynik and Stepan Mazur

Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model pp. 2271-2305

EnDer Su, Ving-Vunk Mak and Po-Yuk So

volatilityforecastingpackage: A Financial Volatility Package in Mathematica pp. 2307-2324

Noorshanaaz Khodabaccus and Aslam A. E. F. Saib

A Hybrid Parallel Processing Strategy for Large-Scale DEA Computation pp. 2325-2349

Shengqing Chang, Jingjing Ding, Chenpeng Feng and Ruifeng Wang

Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model pp. 2351-2370

Junrong Liu, Zhiping Chen and Qihong Duan

A Novel Modified Binning and Logistics Regression to Handle Shifting in Credit Scoring pp. 2371-2403

Yusuf Priyo Anggodo and Abba Suganda Girsang

Weak aggregating specialist algorithm for online portfolio selection pp. 2405-2434

Jin’an He, Shicheng Yin and Fangping Peng

Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model pp. 2435-2499

Mehmet Sahiner

The Dynamic Relationship Between Gas and Crude Oil Markets and the Causal Impact of US Shale Gas pp. 2501-2524

Sudeshna Ghosh, Aviral Tiwari, Buhari Doğan and Emmanuel Joel Aikins Abakah

From the East-European Regional Day-Ahead Markets to a Global Electricity Market pp. 2525-2557

Adela Bâra, Simona-Vasilica Oprea and Bogdan George Tudorică

Kinetic Models for the Exchange of Production Factors in a Multi-agent Market pp. 2559-2584

Hongjing Chen, Chong Lai and Hanlei Hu

Option Valuation with Conditional Heteroskedastic Hidden Truncation Models pp. 2585-2601

Rachid Belhachemi

Volume 63, issue 5, 2024

In Memoriam David A. Kendrick (1937–2024) pp. 1697-1704

Hans Amman, Ruben Mercado and Berç Rustem

Microfounded Tax Revenue Forecast Model with Heterogeneous Population and Genetic Algorithm Approach pp. 1705-1734

Ariel Alexi, Teddy Lazebnik and Labib Shami

OG-CAT: A Novel Algorithmic Trading Alternative to Investment in Crypto Market pp. 1735-1756

Surinder Singh Khurana, Parvinder Singh and Naresh Kumar Garg

New Unit Root Tests in the Nonlinear ESTAR Framework: The Movement and Volatility Characteristics of Crude oil and Copper Prices pp. 1757-1776

Yanglin Li

A New Boosting Algorithm for Online Portfolio Selection Based on dynamic Time Warping and Anti-correlation pp. 1777-1803

Hongliu He and Hua Li

Prophet-LSTM-BP Ensemble Carbon Trading Price Prediction Model pp. 1805-1825

Fansheng Meng and Rong Dou

Machine Learning Method for Return Direction Forecast of Exchange Traded Funds (ETFs) Using Classification and Regression Models pp. 1827-1852

Raphael Paulo Beal Piovezan, Pedro Paulo Andrade Junior and Sérgio Luciano Ávila

Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion pp. 1853-1878

Jugal Mohapatra, Sudarshan Santra and Higinio Ramos

Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas pp. 1879-1919

Caio Mário Mesquita, Cristiano Arbex Valle and Adriano César Machado Pereira

Analyzing Human Search Behavior When Subjective Returns are Unobservable pp. 1921-1947

Shinji Nakazato, Bojian Yang and Tetsuya Shimokawa

GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks pp. 1949-1979

Mateusz Buczynski and Marcin Chlebus

Research on the Diffusion Mechanism of Green Technology Innovation Based on Enterprise Perception pp. 1981-2010

Jie Mi, Chuanpeng Yao, Xiaoyang Zhao and Fei Li

On Forecasting Realized Volatility for Bitcoin Based on Deep Learning PSO–GRU Model pp. 2011-2033

Xiaolong Tang, Yuping Song, Xingrui Jiao and Yankun Sun

Forecasting the Stock Price of Listed Innovative SMEs Using Machine Learning Methods Based on Bayesian optimization: Evidence from China pp. 2035-2068

Wei Liu, Yoshihisa Suzuki and Shuyi Du

A Practical Monte Carlo Method for Pricing Equity-Linked Securities with Time-Dependent Volatility and Interest Rate pp. 2069-2086

Sangkwon Kim, Jisang Lyu, Wonjin Lee, Eunchae Park, Hanbyeol Jang, Chaeyoung Lee and Junseok Kim

Zero-Adjusted Log-Symmetric Quantile Regression Models pp. 2087-2111

Danúbia R. Cunha, Jose Angelo Divino and Helton Saulo

Correction to: A Bilinear Pseudo‑Spectral Method for Solving Two‑Asset European and American Pricing Options pp. 2113-2113

M. Khasi and J. Rashidinia

Volume 63, issue 4, 2024

Developing a New Multidimensional Index of Bank Stability and Its Usage in the Design of Optimal Policy Interventions pp. 1281-1325

Rachita Gulati, M. Kabir Hassan and Vincent Charles

Option Pricing Based on the Residual Neural Network pp. 1327-1347

Lirong Gan and Wei-han Liu

Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series pp. 1349-1399

Frédy Pokou, Jules Sadefo Kamdem and François Benhmad

Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series pp. 1401-1429

Ao Kong, Robert Azencott, Hongliang Zhu and Xindan Li

A Semi-Closed Form Approximation of Arbitrage-Free Call Option Price Surface pp. 1431-1457

Arindam Kundu, Sumit Kumar and Nutan Kumar Tomar

Implementing Machine Learning Methods in Estimating the Size of the Non-observed Economy pp. 1459-1476

Labib Shami and Teddy Lazebnik

Estimating the Likelihood of Financial Behaviours Using Nearest Neighbors pp. 1477-1491

Tiago Mendes-Neves, Diogo Seca, Ricardo Sousa, Cláudia Ribeiro and João Mendes-Moreira

Fuzzy Portfolio Selection Using Stochastic Correlation pp. 1493-1509

Gumsong Jo, Hyokil Kim, Hoyong Kim and Gyongho Ri

LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios pp. 1511-1542

Andrés García-Medina and Ester Aguayo-Moreno

Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility pp. 1543-1573

Ke Wang and Xunxiang Guo

A Dynamic Trading Model for Use with a One Step Ahead Optimal Strategy pp. 1575-1608

Amit Bhaya, Eugenius Kaszkurewicz and Leonardo Valente Ferreira

A Novel Approach to Fuzzy Based Efficiency Assessment of a Financial System pp. 1609-1626

H. Mesgarani, Y. Esmaeelzade Aghdam, A. Beiranvand and J. F. Gómez-Aguilar

Tobin Tax, Carry Trade, and the Exchange Rate Dynamics pp. 1627-1647

Xiaoping Li and Chunyang Zhou

Does Short-and-Distort Scheme Really Exist? A Bitcoin Futures Audit Scheme through BIRCH & BPNN Approach pp. 1649-1671

Dun Li, Dezhi Han, Zibin Zheng, Tien-Hsiung Weng, Kuan-Ching Li, Ming Li and Shaokang Cai

Feature Selection and Hyperparameters Optimization Employing a Hybrid Model Based on Genetic Algorithm and Artificial Neural Network: Forecasting Dividend Payout Ratio pp. 1673-1693

Fatih Konak, Mehmet Akif Bülbül and Diler Türkoǧlu

Correction to: Role of Comprehensive Income in Predicting Bankruptcy pp. 1695-1695

Asyrofa Rahmi, Hung-Yuan Lu, Deron Liang, Dinda Novitasari and Chih-Fong Tsai

Volume 63, issue 3, 2024

Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets pp. 951-981

Etienne Harb, Charbel Bassil, Talie Kassamany and Roland Baz

Impact of Climate Variables Change on the Yield of Wheat and Rice Crops in Iran (Application of Stochastic Model Based on Monte Carlo Simulation) pp. 983-1000

Akram Javadi, Mohammad Ghahremanzadeh, Maria Sassi, Ozra Javanbakht and Boballah Hayati

An Intelligent Algorithm to Predict GDP Rate and Find a Relationship Between COVID-19 Outbreak and Economic Downturn pp. 1001-1020

Amir Masoud Rahmani and Seyedeh Yasaman Hosseini Mirmahaleh

Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash pp. 1021-1045

Rama K. Malladi

Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage pp. 1047-1070

Miklesh Yadav, Sabia Tabassum, Anas Ali AlQudah, Manaf Al-Okaily, Myriam Aloulou, Nikola Stakic and Marcos Santos

Causal Linkage Effect on Chinese Industries via Partial Cross Mapping Under the Background of COVID-19 pp. 1071-1094

Ding Yongmei and Li Yulian

Post-COVID Recovery and Long-Run Forecasting of Indian GDP with Factor-Augmented Error Correction Model (FECM) pp. 1095-1120

Dibyendu Maiti, Naveen Kumar, Debajit Jha and Soumyadipta Sarkar

Evolution of Complex Network Topology for Chinese Listed Companies Under the COVID-19 Pandemic pp. 1121-1136

Kaihao Liang, Shuliang Li, Wenfeng Zhang, Zhuokui Wu, Jiaying He, Mengmeng Li and Yuling Wang

Measuring the Resilience to the Covid-19 Pandemic of Eurozone Economies with Their 2050 Forecasts pp. 1137-1157

Pierre Rostan, Alexandra Rostan and John Wall

COVID-19 and REITs Crash: Predictability and Market Conditions pp. 1159-1172

Kwangwon Ahn, Hanwool Jang, Jinu Kim and Inug Ryu

The Tourism Industry’s Performance During the Years of the COVID-19 Pandemic pp. 1173-1189

Theodoros Daglis

COVID-19 Impact on Stock Markets: A Multiscale Event Analysis Perspective pp. 1191-1212

Helong Li, Guanglong Xu, Qin Huang, Rubin Ruan and Weiguo Zhang

The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis pp. 1213-1254

Esma Nur Cinicioglu, Gül Huyugüzel Kışla, A. Özlem Önder and Y. Gülnur Muradoğlu

Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis pp. 1255-1279

Onur Özdemir and Anoop S. Kumar

Volume 63, issue 2, 2024

Analyzing the Impact of Strategic Behavior in an Evolutionary Learning Model Using a Genetic Algorithm pp. 437-475

Vinícius Ferraz and Thomas Pitz

Risk Aversion, Reservation Utility and Bargaining Power: An Evolutionary Algorithm Approximation of Incentive Contracts pp. 477-511

Itza Tlaloc Quetzalcoatl Curiel-Cabral, Sonia Giannatale and Giselle Labrador-Badía

Stock Price Ranking by Learning Pairwise Preferences pp. 513-528

Engin Tas and Ayca Hatice Atli

Computational Performance of Deep Reinforcement Learning to Find Nash Equilibria pp. 529-576

Christoph Graf, Viktor Zobernig, Johannes Schmidt and Claude Klöckl

Correction to: Computational Performance of Deep Reinforcement Learning to Find Nash Equilibria pp. 577-577

Christoph Graf, Viktor Zobernig, Johannes Schmidt and Claude Klöckl

Valuing Corporate Securities When the Firm’s Assets are Illiquid pp. 579-598

Hatem Ben-Ameur, Tarek Fakhfakh and Alexandre Roch

Connectedness between Currency Risk Hedging and Firm Value: A Deep Neural Network-based Evaluation pp. 599-638

Yao HongXing, Hafiz Muhammad Naveed, Bilal Ahmed Memon, Shoaib Ali, Muhammad Haris, Muhammad Akhtar and Muhammad Mohsin

Predicting Natural Gas Prices Based on a Novel Hybrid Model with Variational Mode Decomposition pp. 639-678

Qin Lu, Jingwen Liao, Kechi Chen, Yanhui Liang and Yu Lin

A Time-Dependent Markovian Model of a Limit Order Book pp. 679-709

Jonathan A. Chávez Casillas

Intelligent Prediction of Annual CO2 Emissions Under Data Decomposition Mode pp. 711-740

Yelin Wang, Ping Yang, Zan Song, Julien Chevallier and Qingtai Xiao

An Application of Machine Learning to Logistics Performance Prediction: An Economics Attribute-Based of Collective Instance pp. 741-792

Suriyan Jomthanachai, Wai Peng Wong and Khai Wah Khaw

Understanding Covid-19 Mobility Through Human Capital: A Unified Causal Framework pp. 793-833

Fırat Bilgel and Burhan Karahasan

Enhancement of Neural Networks Model’s Predictions of Currencies Exchange Rates by Phase Space Reconstruction and Harris Hawks’ Optimization pp. 835-860

Haider Khan, Shahryar Ghorbani, Elham Shabani and Shahab S. Band

Nonparametric Test for Volatility in Clustered Multiple Time Series pp. 861-876

Erniel Barrios and Paolo Victor T. Redondo

Stocks Opening Price Gaps and Adjustments to New Information pp. 877-891

Aiche Avishay, Cohen Gil and Griskin Vladimir

A Bilinear Pseudo-spectral Method for Solving Two-asset European and American Pricing Options pp. 893-918

M. Khasi and J. Rashidinia

Quantum Optimized Cost Based Feature Selection and Credit Scoring for Mobile Micro-financing pp. 919-950

Chi Ming Chen, Geoffrey Kwok Fai Tso and Kaijian He

Volume 63, issue 1, 2024

Detecting Collusive Shill Bidding in Commercial Online Auctions pp. 1-20

L. A. Gerritse and C. F. A. Wesenbeeck

On ESG Portfolio Construction: A Multi-Objective Optimization Approach pp. 21-45

Panos Xidonas and Eric Essner

Modeling the Paths of China’s Systemic Financial Risk Contagion: A Ripple Network Perspective Analysis pp. 47-73

Fuwei Xu

Comparison of Value at Risk (VaR) Multivariate Forecast Models pp. 75-110

Fernanda Maria Müller and Marcelo Brutti Righi

Directed association network analysis on the Standard and Poor’s 500 Index pp. 111-127

Zhaoyang Li and Yuehan Yang

Efficiency Evaluation of Assets and Optimal Portfolio Generation by Cross Efficiency and Cumulative Prospect Theory pp. 129-158

Sweksha Srivastava, Abha Aggarwal and Pooja Bansal

Convertible Bond Arbitrage Smart Beta pp. 159-192

Peter J. Zeitsch

Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm pp. 193-220

Rubing Liang, Binbin Qin and Qiang Xia

Statistical Evaluation of Deep Learning Models for Stock Return Forecasting pp. 221-244

Firat Melih Yilmaz and Engin Yildiztepe

Method of Lines for Valuation and Sensitivities of Bermudan Options pp. 245-270

Purba Banerjee, Vasudeva Murthy and Shashi Jain

Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis pp. 271-304

Emmanuel Afuecheta, Idika E. Okorie, Saralees Nadarajah and Geraldine E. Nzeribe

Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers pp. 305-338

Alexey Mikhaylov, Ishaq M. Bhatti, Hasan Dinçer and Serhat Yüksel

On the Dynamics of Relative Prices and the Relationship with Inflation: An Empirical Approach pp. 339-355

Emiliano Alvarez, Juan Brida and Pablo Mones

Uncertainty Optimization Based Feature Selection Model for Stock Marketing pp. 357-389

Arvind Kumar Sinha and Pradeep Shende

Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion pp. 391-421

Kuangxi Su, Yinhong Yao, Chengli Zheng and Wenzhao Xie

Simulating and Pricing CAT Bonds Using the Spectral Method Based on Chebyshev Basis pp. 423-435

Y. Esmaeelzade Aghdam, A. Neisy and A. Adl