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Computational Economics

1993 - 2023

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

Society for Computational Economics
Contact information at EDIRC.

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Volume 62, issue 1, 2023

A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options pp. 1-28 Downloads
Fei Ren, Mei-Ling Cai, Sai-Ping Li, Xiong Xiong and Zhang-HangJian Chen
Spatio-Temporal Instrumental Variables Regression with Missing Data: A Bayesian Approach pp. 29-47 Downloads
Marcus L. Nascimento, Kelly C. M. Gonçalves and Mario Jorge Mendonça
Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach pp. 49-89 Downloads
Paolo Massimo Buscema, Francesca Della Torre, Giulia Massini, Guido Ferilli and Pier Luigi Sacco
Ensuring Mutual Benefit in a Trans-boundary Industrial Pollution Control Problem pp. 91-128 Downloads
Ryle S. Perera and Kimitoshi Sato
Modeling Tail Dependence Using Stochastic Volatility Model pp. 129-147 Downloads
See-Woo Kim, Yong-Ki Ma and Ciprian Necula
A Deep Learning Based Numerical PDE Method for Option Pricing pp. 149-164 Downloads
Xiang Wang, Jessica Li and Jichun Li
Predict Stock Prices Using Supervised Learning Algorithms and Particle Swarm Optimization Algorithm pp. 165-186 Downloads
Mohammad Javad Bazrkar and Soodeh Hosseini
A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization pp. 187-204 Downloads
Bernardo K. Pagnoncelli, Domingo Ramírez, Hamed Rahimian and Arturo Cifuentes
Exploring Uncertainty, Sensitivity and Robust Solutions in Mathematical Programming Through Bayesian Analysis pp. 205-227 Downloads
Mike G. Tsionas, Dionisis Philippas and Constantin Zopounidis
Forecasting Forex Trend Indicators with Fuzzy Rough Sets pp. 229-287 Downloads
J. C. Garza Sepúlveda, F. Lopez-Irarragorri and S. E. Schaeffer
Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset pp. 289-324 Downloads
Burcu Aydoğan, Ömür Uğur and Ümit Aksoy
Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks pp. 325-360 Downloads
Chao Yu and Xiaoqun Wang
Portfolio Optimization Via Online Gradient Descent and Risk Control pp. 361-381 Downloads
J. D. M. Yamim, C. C. H. Borges and R. F. Neto
Spatial Interactions and the Spread of COVID-19: A Network Perspective pp. 383-405 Downloads
Cui Zhang and Dandan Zhang
Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors pp. 407-424 Downloads
Jan G. De Gooijer
Reinforcement Learning in Economics and Finance pp. 425-462 Downloads
Arthur Charpentier, Romuald Élie and Carl Remlinger
Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data pp. 463-485 Downloads
Vladimír Holý and Petra Tomanová

Volume 61, issue 4, 2023

Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US pp. 1305-1330 Downloads
Lei Wang, Provash Kumer Sarker and Elie Bouri
A Dynamic Baseline Calibration Procedure for CGE models pp. 1331-1368 Downloads
Johannes Ziesmer, Ding Jin, Sneha D Thube and Christian Henning
The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions pp. 1369-1402 Downloads
Martín Egozcue, Luis Fuentes García and Ričardas Zitikis
Resilient Control for Macroeconomic Models pp. 1403-1431 Downloads
David Hudgins and Patrick M. Crowley
Incentives for Research Effort: An Evolutionary Model of Publication Markets with Double-Blind and Open Review pp. 1433-1476 Downloads
Mantas Radzvilas, Francesco De Pretis, William Peden, Daniele Tortoli and Barbara Osimani
Personal Finance Decisions with Untruthful Advisors: An Agent-Based Model pp. 1477-1522 Downloads
Loretta Mastroeni, Maurizio Naldi and Pierluigi Vellucci
Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model pp. 1523-1544 Downloads
Johann Lussange, Stefano Vrizzi, Sacha Bourgeois-Gironde, Stefano Palminteri and Boris Gutkin
Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation pp. 1545-1560 Downloads
Daniel Suescún-Díaz and Luis Eduardo Girón
Analytic Method for Pricing Vulnerable External Barrier Options pp. 1561-1591 Downloads
Donghyun Kim and Ji-Hun Yoon
Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains pp. 1593-1616 Downloads
Sheng Cheng, Wei Liu, Qisheng Jiang and Yan Cao
Bitcoin Price Prediction: A Machine Learning Sample Dimension Approach pp. 1617-1636 Downloads
Sumit Ranjan, Parthajit Kayal and Malvika Saraf
Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals pp. 1637-1664 Downloads
Giuseppe Luca, Jan R. Magnus and Franco Peracchi
A New Neural Network Approach for Predicting the Volatility of Stock Market pp. 1665-1679 Downloads
Eunho Koo and Geonwoo Kim
Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion pp. 1681-1705 Downloads
Changhong Guo, Shaomei Fang and Yong He
Auctions: A New Method for Selling Objects with Bimodal Density Functions pp. 1707-1743 Downloads
Javier Castro, Rosa Espínola, Inmaculada Gutiérrez and Daniel Gómez
A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model pp. 1745-1763 Downloads
Mohamed Kharrat and Hassen Arfaoui
Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression pp. 1765-1790 Downloads
Yushu Li and Hyunjoo Kim Karlsson

Volume 61, issue 3, 2023

Editorial to the Special Issue on Game Theory pp. 901-903 Downloads
Marta Biancardi and Giovanni Villani
Optimal Abatement Technology Licensing in a Dynamic Transboundary Pollution Game: Fixed Fee Versus Royalty pp. 905-935 Downloads
Hao Xu and Deqing Tan
Non-Cooperative Bargaining with Unsophisticated Agents pp. 937-974 Downloads
Kristal K. Trejo, Ruben Juarez, Julio B. Clempner and Alexander S. Poznyak
Non-cooperative Mode, Cost-Sharing Mode, or Cooperative Mode: Which is the Optimal Mode for Desertification Control? pp. 975-1008 Downloads
Jiayi Sun and Deqing Tan
Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions pp. 1009-1035 Downloads
Paulo Fagandini and Ingemar Dierickx
Correction: Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions pp. 1037-1037 Downloads
Paulo Fagandini and Ingemar Dierickx
Collaborative Innovation Strategy of Supply Chain in the Context of MCU Domestic Substitution: A Differential Game Analysis pp. 1039-1074 Downloads
Yaxin Wang, Haoyu Wen, ZhongQuan Hu and Yuntao Zhang
An Evolutionary Game to Study Banks–Firms Relationship: Monitoring Intensity and Private Benefit pp. 1075-1093 Downloads
Giovanni Villani and Marta Biancardi
Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting pp. 1095-1114 Downloads
Kerolly Kedma Felix do Nascimento, Fábio Sandro dos Santos, Jader Silva Jale, Silvio Fernando Alves Xavier Júnior and Tiago A. E. Ferreira
Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump pp. 1115-1135 Downloads
Yayun Wang
Prediction of Loan Rate for Mortgage Data: Deep Learning Versus Robust Regression pp. 1137-1150 Downloads
Donglin Wang, Don Hong and Qiang Wu
A Dynamic Mechanism Design for Controllable and Ergodic Markov Games pp. 1151-1171 Downloads
Julio B. Clempner
Evaluation of Non-survey Methods for the Construction of Regional Input–Output Matrices When There is Partial Historical Information pp. 1173-1205 Downloads
Cristian Mardones and Darling Silva
Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions pp. 1207-1224 Downloads
Chaeyoung Lee, Soobin Kwak, Youngjin Hwang and Junseok Kim
Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions pp. 1225-1250 Downloads
Adem Gök and Nihat Tak
Threshold Moving Approach with Logit Models for Bankruptcy Prediction pp. 1251-1272 Downloads
Michaela Staňková
Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques pp. 1273-1303 Downloads
Bart H. L. Overes and Michel Wel

Volume 61, issue 2, 2023

Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets pp. 487-511 Downloads
Ruzhen Yan, Ding Yue, Xu Wu and Wei Gao
The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option pp. 513-528 Downloads
Y. Esmaeelzade Aghdam, H. Mesgarani, A. Adl and B. Farnam
Recursive Computation of the Conditional Probability Function of the Quadratic Exponential Model for Binary Panel Data pp. 529-557 Downloads
Francesco Bartolucci, Francesco Valentini and Claudia Pigini
Integrating Wavelet Decomposition and Fuzzy Transformation for Improving the Accuracy of Forecasting Crude Oil Price pp. 559-591 Downloads
Faramarz Saghi and Mustafa Jahangoshai Rezaee
A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems pp. 593-610 Downloads
Karolos Arapakis
Finite-State Markov Chains with Flexible Distributions pp. 611-644 Downloads
Damba Lkhagvasuren and Erdenebat Bataa
COVID 19 Pandemic, Socio-Economic Behaviour and Infection Characteristics: An Inter-Country Predictive Study Using Deep Learning pp. 645-676 Downloads
Srinka Basu and Sugata Sen
Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market pp. 677-713 Downloads
Changtai Li, Weihong Huang, Wei-Siang Wang and Wai-Mun Chia
Bankruptcy Prediction using the XGBoost Algorithm and Variable Importance Feature Engineering pp. 715-741 Downloads
Sami Ben Jabeur, Nicolae Stef and Pedro Carmona
Use of Econometric Predictors and Artificial Neural Networks for the Construction of Stock Market Investment Bots pp. 743-773 Downloads
Ciniro A. L. Nametala, Jonas Villela de Souza, Alexandre Pimenta and Eduardo Gontijo Carrano
CO2 Emission Allowances Risk Prediction with GAS and GARCH Models pp. 775-805 Downloads
Nader Trabelsi and Aviral Kumar Tiwari
Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes pp. 807-853 Downloads
Farshid Mehrdoust and Idin Noorani
The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets pp. 855-873 Downloads
Bilgi Yilmaz, Ralf Korn and A. Sevtap Selcuk-Kestel
Quantitative Macroeconomics: Lessons Learned from Fourteen Replications pp. 875-896 Downloads
Robert Kirkby
Correction to: Generalized, Partial and Canonical Correlation Coefficients pp. 897-897 Downloads
H. D. Vinod
Correction to: $$\ell_{1}$$ ℓ 1 Common Trend Filtering pp. 899-900 Downloads
Hiroshi Yamada and Ruoyi Bao

Volume 61, issue 1, 2023

A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems pp. 1-34 Downloads
Christelle Dleuna Nyoumbi and Antoine Tambue
Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method pp. 35-55 Downloads
Jian Ni and Yue Xu
A Study of the International Stock Market Behavior During COVID-19 Pandemic Using a Driven Iterated Function System pp. 57-68 Downloads
Aman Gupta, Cyril Shaju, Pratibha and Kamal
DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors pp. 69-111 Downloads
Siddhartha Chib, Minchul Shin and Fei Tan
Finding the Impact of Market Visibility and Monopoly on Wealth Distribution and Poverty Using Computational Economics pp. 113-137 Downloads
Kashif Zia, Umar Farooq and Sakeena Al Ajmi
Multivariate Picture Fuzzy Time Series: New Definitions and a New Forecasting Method Based on Pi-Sigma Artificial Neural Network pp. 139-164 Downloads
Eren Bas, Erol Egrioglu and Taner Tunc
Multivariate Regime Switching Model Estimation and Asset Allocation pp. 165-196 Downloads
Kai Zheng, Weidong Xu and Xili Zhang
Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach pp. 197-231 Downloads
Awatef Ourir, Elie Bouri and Essahbi Essaadi
Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing pp. 233-265 Downloads
Tolga Omay and Perihan Iren
Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR pp. 267-294 Downloads
Xue Deng and Ying Liang
An Application of the IFM Method for the Risk Assessment of Financial Instruments pp. 295-315 Downloads
Adrià Pons, Eduard Cristobal-Fransi, Carla Vintrò, Josep Rius, Oriol Querol and Jordi Vilaplana
Unfolding Beijing in a Hedonic Way pp. 317-340 Downloads
Wei Lin, Zhentao Shi, Yishu Wang and Ting Hin Yan
Diversification and Systemic Risk of Networks Holding Common Assets pp. 341-388 Downloads
Yajing Huang and Taoxiong Liu
Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency? pp. 389-427 Downloads
Dalia Mansour-Ibrahim
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model pp. 429-450 Downloads
Youngin Yoon and Jeong-Hoon Kim
Classifying the Variety of Customers’ Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression pp. 451-485 Downloads
Petra P. Šimović, Claire Y. T. Chen and Edward W. Sun
Page updated 2023-06-03