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Computational Economics

1993 - 2018

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

Society for Computational Economics
Contact information at EDIRC.

Series data maintained by Sonal Shukla ().

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Volume 51, issue 4, 2018

Dynamics Evolution of Trading Strategies of Investors in Financial Market pp. 743-760 Downloads
Binghui Wu, Tingting Duan and Jianmin He
Profitability Edge by Dynamic Back Testing Optimal Period Selection for Technical Parameters Optimization, in Trading Systems with Forecasting pp. 761-807 Downloads
D. Th. Vezeris, C. J. Schinas and G. Papaschinopoulos
DEA-Based Piecewise Linear Discriminant Analysis pp. 809-820 Downloads
Ai-bing Ji, Ye Ji and Yanhua Qiao
Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data pp. 821-846 Downloads
Ya-Chi Huang and Chueh-Yung Tsao
Network Topology and Systemically Important Firms in the Interfirm Credit Network pp. 847-864 Downloads
Ohsung Kwon, Sung-guan Yun, Seung Hun Han, Yang Hon Chung and Duk Hee Lee
The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market pp. 865-892 Downloads
Filip Stanek and Jiri Kukacka
Fiscal Policy Design in Greece in the Aftermath of the Crisis: An Algorithmic Approach pp. 893-911 Downloads
Ilias Kostarakos and Stelios Kotsios
Short-Term Price Overreactions: Identification, Testing, Exploitation pp. 913-940 Downloads
Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun
A New Predictive Measure Using Agent-Based Behavioral Finance pp. 941-959 Downloads
Todd Feldman and Shuming Liu
Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions pp. 961-972 Downloads
Darae Jeong, Minhyun Yoo and Junseok Kim
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events pp. 973-990 Downloads
Cheng- Der Fuh, Huei-Wen Teng and Ren-Her Wang
Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals pp. 991-1020 Downloads
Vivien Lespagnol and Juliette Rouchier
A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection pp. 1021-1032 Downloads
Davi Michel Valladão, Álvaro Veiga and Alexandre Street
Evaluation of a DSGE Model of Energy in the United Kingdom Using Stationary Data pp. 1033-1068 Downloads
Nasir Aminu
Information and Efficiency in Thin Buyer–Seller Markets over Random Networks pp. 1069-1095 Downloads
Michiel Leur
Visual Economic Modelling System (VEMS) for Computable General Equilibrium Models pp. 1097-1121 Downloads
Nico Vellinga
Sparse Bayesian Variable Selection in Probit Model for Forecasting U.S. Recessions Using a Large Set of Predictors pp. 1123-1138 Downloads
Yang Aijun, Xiang Ju, Yang Hongqiang and Lin Jinguan

Volume 51, issue 3, 2018

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models pp. 339-378 Downloads
Michele Leonardo Bianchi, Svetlozar T. Rachev and Frank J. Fabozzi
Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach pp. 379-406 Downloads
Alessandro Andreoli, Luca Vincenzo Ballestra and Graziella Pacelli
A Discontinuity Model of Technological Change: Catastrophe Theory and Network Structure pp. 407-425 Downloads
Torsten Heinrich
A Dynamic Model of Unemployment with Migration and Delayed Policy Intervention pp. 427-462 Downloads
Liliana Harding and Mihaela Neamţu
Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods pp. 463-492 Downloads
Alexander Ludwig and Matthias Schön
Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets pp. 493-511 Downloads
Hazem Krichene and Mhamed-Ali El-Aroui
Advantages of an Ellipse when Modeling Leisure Utility pp. 513-533 Downloads
Richard W. Evans and Kerk L. Phillips
Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note pp. 535-539 Downloads
Gang Yu, Wei Gao, Weiguo Wang and Shaoping Wang
Pollution Control with Time-Varying Model Mistrust of the Stock Dynamics pp. 541-569 Downloads
Fidel Gonzalez
A New Vision of Classical Multi-regional Input–Output Models pp. 571-594 Downloads
George Halkos and Kyriaki Tsilika
An Integrated Matching-Immunization Model for Bond Portfolio Optimization pp. 595-605 Downloads
P. Xidonas, C. Hassapis, G. Bouzianis and C. Staikouras
Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks pp. 607-635 Downloads
Gang-Jin Wang, Chi Xie and H. Eugene Stanley
A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence pp. 637-675 Downloads
Panayotis G. Michaelides, Efthymios G. Tsionas, Angelos T. Vouldis, Konstantinos N. Konstantakis and Panagiotis Patrinos
Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model pp. 677-696 Downloads
Hwan C. Lin
Erratum to: Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model pp. 697-697 Downloads
Hwan C. Lin
On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model pp. 699-718 Downloads
Irina Bashkirtseva, Davide Radi, Lev Ryashko and Tatyana Ryazanova
Conditional Versus Unconditional Utility as Welfare Criterion: Two Examples pp. 719-730 Downloads
Jinill Kim and Sunghyun Kim
Mean-Extended Gini Portfolios: A 3D Efficient Frontier pp. 731-740 Downloads
Frank Hespeler and Haim Shalit
Erratum to: ABATE: A New Tool to Produce Marginal Abatement Cost Curves pp. 741-741 Downloads
Oswald Marinoni and Martijn Grieken

Volume 51, issue 2, 2018

A Network Analysis of the United Kingdom’s Consumer Price Index pp. 173-193 Downloads
Georgios Sarantitis, Theophilos Papadimitriou and Periklis Gogas
State and Network Structures of Stock Markets Around the Global Financial Crisis pp. 195-210 Downloads
Jae Woo Lee and Ashadun Nobi
Systemic Risk on Trade Credit Systems: with the Tangible Interconnectedness pp. 211-226 Downloads
Jisang Lee, Duk Hee Lee and Sung-Guan Yun
Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach pp. 227-262 Downloads
Kaihua Deng
Artificial Momentum, Native Contrarian, and Transparency in China pp. 263-294 Downloads
Hung-Wen Lin, Mao-Wei Hung and Jing-Bo Huang
Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments pp. 295-321 Downloads
Yogo Purwono, Irwan Adi Ekaputra and Zaäfri Ananto Husodo
Sparse Bayesian Variable Selection with Correlation Prior for Forecasting Macroeconomic Variable using Highly Correlated Predictors pp. 323-338 Downloads
Aijun Yang, Ju Xiang, Lianjie Shu and Hongqiang Yang

Volume 51, issue 1, 2018

Comparing Solution Methods for DSGE Models with Labor Market Search pp. 1-34 Downloads
Hong Lan
Where has All the Education Gone? Everywhere But into Growth pp. 35-74 Downloads
Hongchun Zhao and Yanjie Liu
Terms of Trade Shocks and Monetary Policy in India pp. 75-121 Downloads
Chetan Ghate, Sargam Gupta and Debdulal Mallick
R&D-based Calibrated Growth Models with Finite-Length Patents: A Novel Relaxation Algorithm for Solving an Autonomous FDE System of Mixed Type pp. 123-158 Downloads
Hwan C. Lin and L. F. Shampine
Investment Index Construction from Information Propagation Based on Transfer Entropy pp. 159-172 Downloads
Fujio Toriumi and Kazuki Komura

Volume 50, issue 4, 2017

An Agent-Based Simulation of the Stolper–Samuelson Effect pp. 533-547 Downloads
Luzius Meisser and C. Friedrich Kreuser
Influence of Inefficiency in Government Expenditure on the Multiplier of Public Investment pp. 549-577 Downloads
Shigeaki Ogibayashi and Kosei Takashima
Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns pp. 579-594 Downloads
Jian Zhou, Gao-Feng Gu, Zhi-Qiang Jiang, Xiong Xiong, Wei Chen, Wei Zhang and Wei-Xing Zhou
Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis pp. 595-627 Downloads
Kotaro Miwa and Kazuhiro Ueda
Endogenous Fundamental and Stock Cycles pp. 629-653 Downloads
Weihong Huang and Yu Zhang
The Psychological Force Model for Lowest Unique Bid Auction pp. 655-667 Downloads
Rui Hu, Jinzhong Guo, Qinghua Chen and Tao Zheng
Can Sentiment Analysis and Options Volume Anticipate Future Returns? pp. 669-685 Downloads
Patrick Houlihan and Germán G. Creamer
Emergent Heterogeneity in Keyword Valuation in Sponsored Search Markets: A Closer-to-Practice Perspective pp. 687-710 Downloads
Agam Gupta, Biswatosh Saha and Uttam K. Sarkar

Volume 50, issue 3, 2017

Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach pp. 353-372 Downloads
Qiang Xia, Heung Wong, Jinshan Liu and Rubing Liang
A New Method For Dynamic Stock Clustering Based On Spectral Analysis pp. 373-392 Downloads
Zhaoyuan Li and Maozai Tian
Cowboying Stock Market Herds with Robot Traders pp. 393-423 Downloads
Jaqueson Galimberti, Nicolas Suhadolnik and Sergio Silva
Can Minorities Escape Wage Discrimination by Forming Firms? pp. 425-445 Downloads
James Fain
Performance of Tail Hedged Portfolio with Third Moment Variation Swap pp. 447-471 Downloads
Kyungsub Lee and Byoung Ki Seo
An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems pp. 473-502 Downloads
Shinya Sugawara and Yasuhiro Omori
A Generalized Singular Value Decomposition Strategy for Estimating the Block Recursive Simultaneous Equations Model pp. 503-515 Downloads
Mircea I. Cosbuc, Cristian Gatu, Ana Colubi and Erricos John Kontoghiorghes
Uncertain Potential Output and Simple Rules in Small Open Economy pp. 517-531 Downloads
Guido Traficante

Volume 50, issue 2, 2017

LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model pp. 173-187 Downloads
O. Samimi, Z. Mardani, S. Sharafpour and F. Mehrdoust
A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model pp. 189-205 Downloads
Leila Khodayari and Mojtaba Ranjbar
Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis pp. 207-230 Downloads
Wei Zhou
Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model pp. 231-279 Downloads
Tomasz Makarewicz
A Practical, Accurate, Information Criterion for Nth Order Markov Processes pp. 281-324 Downloads
Sylvain Barde
Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets pp. 325-351 Downloads
EnDer Su

Volume 50, issue 1, 2017

Detection of Mispricing in the Black–Scholes PDE Using the Derivative-Free Nonlinear Kalman Filter pp. 1-20 Downloads
G. Rigatos and N. Zervos
WorkSim: A Calibrated Agent-Based Model of the Labor Market Accounting for Workers’ Stocks and Gross Flows pp. 21-68 Downloads
Olivier Goudet, Jean-Daniel Kant and Gérard Ballot
AdaBoost Models for Corporate Bankruptcy Prediction with Missing Data pp. 69-94 Downloads
Ligang Zhou and Kin Keung Lai
A Recursive Method for Solving a Climate–Economy Model: Value Function Iterations with Logarithmic Approximations pp. 95-110 Downloads
In Chang Hwang
Wavelets Analysis on Structural Model for Default Prediction pp. 111-140 Downloads
Lu Han and Ruihuan Ge
Online Portfolio Selection Strategy Based on Combining Experts’ Advice pp. 141-159 Downloads
Yong Zhang and Xingyu Yang
Finite Sample Critical Values of the Generalized KPSS Stationarity Test pp. 161-172 Downloads
Peter Sephton
Page updated 2018-03-19