Computational Economics

1993 - 2025

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

From:
Springer
Society for Computational Economics
Contact information at EDIRC.
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Volume 66, issue 3, 2025

Is Monopolization Inevitable in Proof-of-Work Blockchains? Insights from Miner Scale Analysis pp. 1825-1850

Aixing Li, Ke Gong, Jiashun Li, Li Zhang and Xueting Luo

Differentiated Real-time Pricing Strategy for Maximizing Social Welfare Based on Blockchain Technology pp. 1851-1875

Junxiang Li, Xuan Liu, Ru Wang, Deqiang Qu and Xi Wang

Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models pp. 1877-1909

Xiaoye Jin

Building Technical Analysis Strategies Using Multivariate Longitudinal and Time-to-Event Data in Stock Markets pp. 1911-1942

Wenbin Hu and Junzi Zhou

An Empirical Study of Robust Mean-Variance Portfolios with Short Selling pp. 1943-1968

Vrinda Dhingra and S. K. Gupta

Forecasting the Volatility of CSI 300 Index with a Hybrid Model of LSTM and Multiple GARCH Models pp. 1969-1999

Bu Tian, Tianyu Yan and Hong Yin

Integrating Weak Aggregating Algorithm and Reinforcement Learning for Online Portfolio Selection: The WARL Strategy pp. 2001-2027

Hao Chen, Changxin Xu and Zhiliang Xu

Feature Expansion Effect Approach for Improving Stock Price Prediction Performance pp. 2029-2054

Heon Baek and Eui-Bang Lee

Impact of Listed Firms’ Correlation on Idiosyncratic Volatility Co-movement—A Network and Wavelet Analysis pp. 2055-2076

Yang Zhao and Jian Chen

Delineating the Interplay of Social Preferences and Explicit Incentives: An Agent-Based Simulation in a Public Goods Paradigm pp. 2077-2108

Annarita Colasante, Sara Gil-Gallen and Andrea Morone

The Effect of the Interest Rate on a Credit System pp. 2109-2135

Amaury S. Amaral, Antônio F. Crepaldi, Carlos Bautista, Geraldo E. Silva and Fernando F. Ferreira

Mutual Fund Selection Strategies Based on Machine Learning pp. 2137-2168

Chester S. J. Huang and Yu-Chuan Huang

Global Stock Markets Volatility Correlation Structure and Implication of Portfolio Based on Complex Network Theory pp. 2169-2198

Peng Yang, Zhenzhang Hu, Sheng Luo, Ke Huang and Qiumei Li

Fast Computation of Randomly Walking Volatility with Chained Gamma Distributions pp. 2199-2223

Di Zhang and Youzhou Zhou

Time-Varying and Frequency-Based Spillover Connectedness Between Cryptocurrencies and Non-ferrous Industrial Metals in Light of Market Plummets pp. 2225-2264

John Kingsley Woode, Peterson Owusu Junior, Anthony Adu-Asare Idun, Seyram Kawor, John Bambir and Anokye M. Adam

Multi-scale Dynamic Correlation Between Climate Shock and China's Stock Market: Evidence Based on High Frequency Data pp. 2265-2304

Mingyu Shu, Jieli Wang, Menglong Chen and Hanru Wang

Neural Network for Valuing Bitcoin Options Under Jump-Diffusion and Market Sentiment Model pp. 2305-2342

Edson Pindza, Jules Clement, Sutene Mwambi and Nneka Umeorah

Simultaneous Confidence Intervals for Multi-way Clustered Stock Return Data pp. 2343-2365

Tamalika Koley, Mrinal Jana and Gopal Krishna Basak

Effective Convergence Trading of Sparse, Mean Reverting Portfolios pp. 2367-2381

Attila Rácz and Norbert Fogarasi

Spatiotemporal Analysis of Coupling-Coordination Between Developments of Economic High-Quality and Ecological Innovation of China’s Inter-Provinces pp. 2383-2412

Yanrong Hu, Qingyang Liu and Hongjiu Liu

Media Attention for Carbon Neutrality, Investor Sentiment, and Excess Stock Returns: Evidence from Mass Media and Social Media pp. 2413-2437

Gaoshan Wang, Yue Wang, Yilin Dong and Xiaohong Shen

Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models pp. 2439-2455

Bohua Wang, Xingchun Wang and Mengjie Zhao

Random Forests with Economic Roots: Explaining Machine Learning in Hedonic Imputation pp. 2457-2481

Shipei Zeng and Deyu Rao

Prediction of Cryptocurrency Prices with the Momentum Indicators and Machine Learning pp. 2483-2501

Darya Lapitskaya, M. Hakan Eratalay and Rajesh Sharma

The Dynamic Impact of Epidemic Shock on China’s Macro Economy from the Household Heterogeneity Perspective: Simulation Analysis Based on COVID-19 Data pp. 2503-2521

Jiangfeng Chao, Caiyue Ren and Xiaoli Wu

DynareR: Harnessing Dynare for Economic Modelling in R, R Markdown and Quarto pp. 2523-2542

Sagiru Mati, Abdullahi G. Usman, Irfan Civcir, Dilber Uzun Ozsahin, Berna Uzun and Sani I. Abba

Forecasting Crude Oil Prices Using Reservoir Computing Models pp. 2543-2563

Kaushal Kumar

MLBGK: A Novel Feature Fusion Model for Forecasting Stocks Prices pp. 2565-2592

Yonghong Li, Zhixian Li, Yuting Chen, Yayun Wang, Sidong Xian, Zhiqiang Zhao, Linyan Zhou and Ji Li

Comparative Analysis of Turkish and German Stock-Markets as a Hedge Product Against Inflation by Using Machine Learning Algorithms pp. 2593-2618

Ibrahim Dikmen and Kaya Tokmakcioglu

PPDNN-CRP: CKKS-FHE Enabled Privacy-Preserving Deep Neural Network Processing for Credit Risk Prediction pp. 2619-2643

Vankamamidi S. Naresh and D. Ayyappa

Volume 66, issue 2, 2025

Policy Learning for Many Outcomes of Interest: Combining Optimal Policy Trees with Multi-objective Bayesian Optimisation pp. 971-1001

Patrick Rehill and Nicholas Biddle

Predicting the Law: Artificial Intelligence Findings from the IMF’s Central Bank Legislation Database pp. 1003-1033

Khaled AlAjmi, Jose Deodoro, Ashraf Khan and Kei Moriya

Time–Frequency Connectedness Between Oil Price Shocks and Stock Returns Under Bullish and Bearish Market States: Evidence from African Oil Importers and Exporters pp. 1035-1069

Yufeng Chen, Zulkifr Abdallah Msofe, Chuwen Wang and Minghui Chen

Two-Asset Double Barrier Options pp. 1071-1106

Hangsuck Lee, Hongjun Ha, Gaeun Lee and Byungdoo Kong

Artificial Factors Within the Logit Bankruptcy Model with a Moved Threshold pp. 1107-1135

Michaela Staňková

Robust Portfolio Optimisation Under Sparse Contamination pp. 1137-1155

Carlo E. Autiero and Alessio Farcomeni

Gold Price Prediction Using Two-layer Decomposition and XGboost Optimized by the Whale Optimization Algorithm pp. 1157-1189

Yibin Guo, Chen Li, Xiang Wang and Yonghui Duan

Guangxi GDP Prediction Model Based on Principal Component Analysis and SSA–SVM pp. 1191-1213

Yanfen Tong, Jun Nie and Xianbao Cheng

Realized Volatility Forecasting for Stocks and Futures Indices with Rolling CEEMDAN and Machine Learning Models pp. 1215-1268

Yuetong Zhang, Ying Peng and Yuping Song

Bivariate Maximum Likelihood Method for Fixed Effects Panel Interval-Valued Data Models pp. 1269-1296

Aibing Ji, Jinjin Zhang and Yu Cao

An Estimated DSGE Model Under the New Keynesian Framework for Mexico pp. 1297-1320

Alejandro Steven Fonseca-Zendejas, Carmen Borrego-Salcido and Francisco Venegas-Martínez

Ensemble with Divisive Bagging for Feature Selection in Big Data pp. 1321-1354

Yousung Park and Tae Yeon Kwon

A Hybrid Credit Risk Evaluation Model Based on Three-Way Decisions and Stacking Ensemble Approach pp. 1355-1378

Yusheng Li, Ran Zhao and Mengyi Sha

Performance Evaluation of a Family of GARCH Processes Based on Value at Risk Forecasts: Data Envelopment Analysis Approach pp. 1379-1411

Alex Babiš

Computing Competitive Equilibrium in Simplex Economies pp. 1413-1425

Antonio Pulgarín

Numerical Solution for a Time-Fractional Black-Scholes Model Describing European Option pp. 1427-1454

Pradip Roul

American Option Valuation Under the Framework of CGMY Model with Regime-Switching Process pp. 1455-1479

Congyin Fan, Xian-Ming Gu, Shuhong Dong and Hua Yuan

Mortgage Loan Data Exploration with Non-parametric Statistical and Machine Learning Perspectives pp. 1481-1512

Eymard Hernández-López, Diana Jaqueline Cruz-Espinosa, Leonardo Herrera-Zuñiga and Giovanni Wences

Dynamic Connectivity and Contagion Risk Among Bank Stocks in Brazil pp. 1513-1543

Mairton Nogueira Da Silva, Marcelo De Oliveira Passos, Mathias Schneid Tessmann and Daniel De Abreu Pereira Uhr

Dynamic Interlinkages Between Precious Metal, Exchange Rate and Crude Oil: Evidence from an Extended TVP‑VAR Analysis pp. 1545-1570

Hasan Murat Ertugrul, Onur Polat, Durmuş Çağrı Yıldırım and Abdullah Açık

Output, Money and Interest Rate in the United States: New Evidence Based on Wavelet Analysis pp. 1571-1601

Hassan Khodavaisi

Pricing Variable Annuity Contract with GMAB Guarantee Under a Regime Switching Local Volatility Model pp. 1603-1624

Sarfraz Mohammad, Viswanathan Arunachalam and Dharmaraja Selvamuthu

Construction and Analysis of Chinese Macro-Financial Stability Index pp. 1625-1646

Jinsong Wang and Wanqing Tang

OPEC Basket Monthly Crude Oil Price Forecasting: Comparative Study Between Prophet Facebook, NNAR, FTS Models pp. 1647-1669

Abdelmounaim Hadjira, Hicham Salhi and Lyes Choubar

The Impacts of the Conflicts Between Israel and Hamas, as well as Between Russia and Ukraine, on Financial Assets and Crypto-Currencies pp. 1671-1689

Nidhal Mgadmi, Ameni Abidi, Néjib Hachicha and Wajdi Moussa

The Asymmetric Effect of COVID-19 Pandemic on the US Market Risk Premium: Evidence from AEGAS-M Model pp. 1691-1713

François Benhmad and Mohammed Chikhi

Stock Market Forecasting Using a Neural Network Through Fundamental Indicators, Technical Indicators and Market Sentiment Analysis pp. 1715-1745

Mónica Andrea Arauco Ballesteros and Elio Agustín Martínez Miranda

Financial Fraud Transaction Prediction Approach Based on Global Enhanced GCN and Bidirectional LSTM pp. 1747-1766

Yimo Chen and Mengyi Du

AB-LSTM-GRU: A Novel Ensemble Composite Deep Neural Network Model for Exchange Rate Forecasting pp. 1767-1791

Jincheng Gu, Shiqi Zhang, Yanling Yu and Feng Liu

Robustness Analysis and Forecasting of High-Dimensional Financial Time Series Data pp. 1793-1824

Junchen Li, Shuai Song and Ce Bian

Volume 66, issue 1, 2025

Machine Learning Methods and Time Series: A Through Forecasting Study via Simulation and USA Inflation Analysis pp. 1-34

Klaus Boesch and Flavio A. Ziegelmann

Multi-Stage International Portfolio Selection with Factor-Based Scenario Tree Generation pp. 35-75

Zhiping Chen, Bingbing Ji, Jia Liu and Yu Mei

Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models pp. 77-104

Hyun-Gyoon Kim, Hyeongmi Kim and Jeonggyu Huh

Understanding and Attaining an Investment Grade Rating in the Age of Explainable AI pp. 105-126

Ravi Makwana, Dhruvil Bhatt, Kirtan Delwadia, Agam Shah and Bhaskar Chaudhury

A Hybrid Machine Learning Model Architecture with Clustering Analysis and Stacking Ensemble for Real Estate Price Prediction pp. 127-178

Cihan Çılgın and Hadi Gökçen

A Computational Study for Pricing European- and American-Type Options Under Heston’s Stochastic Volatility Model: Application of the SUPG-YZ $$\beta$$ β Formulation pp. 179-206

Süleyman Cengizci and Ömür Uğur

An Adaptive Differential Evolution Algorithm Based on Data Preprocessing Method and a New Mutation Strategy to Solve Dynamic Economic Dispatch Considering Generator Constraints pp. 207-240

Ruxin Zhao, Wei Wang, Tingting Zhang, Chang Liu, Lixiang Fu, Jiajie Kang, Hongtan Zhang, Yang Shi and Chao Jiang

Asset Prices with Investor Protection in the Cross-Sectional Economy pp. 241-299

Jia Yue, Ming-Hui Wang, Nan-Jing Huang and Ben-Zhang Yang

Iterative Deep Learning Approach to Active Portfolio Management with Sentiment Factors pp. 301-322

Javier Orlando Pantoja Robayo, Julián Alberto Alemán Muñoz and Diego F. Tellez-Falla

Is the Price of Ether Driven by Demand or Pure Speculation? pp. 323-347

Zein Alamah and Ali Fakih

Modeling Asset Price Process: An Approach for Imaging Price Chart with Generative Diffusion Models pp. 349-375

Jinseong Park, Hyungjin Ko and Jaewook Lee

Assessing the Dual Impact of the Social Media Platforms on Psychological Well-being: A Multiple-Option Descriptive-Predictive Framework pp. 377-404

Simona-Vasilica Oprea and Adela Bâra

Predicting Asset Dynamics with Hybrid Bivariate Kernel Density Estimate and Markov Model pp. 405-419

Mantas Landauskas, Tomas Ruzgas and Eimutis Valakevičius

Improving Price Generation: A Novel Agent-Based Model for Capturing Persistent Jumps in Asset Prices pp. 421-452

Shijia Song and Handong Li

Stock Market Trend Prediction Using Deep Learning Approach pp. 453-484

Mahmoud Ahmad Al-Khasawneh, Asif Raza, Saif Ur Rehman Khan and Zia Khan

Forecasting Bitcoin Volatility and Value-at-Risk Using Stacking Machine Learning Models With Intraday Data pp. 485-515

Arash Pourrezaee and Ehsan Hajizadeh

Predicting Corporate Financial Failure Using Sigmoidal Opposition-Based Arithmetic Optimization Algorithm pp. 517-569

Mohamed Khaldi, Ghaith Manita, Amit Chhabra, Ramzi Guesmi and Tarek Hamrouni

Portfolio Optimization Under the Uncertain Financial Model pp. 571-592

Jiangong Wu, J. F. Gomez-Aguilar and Rahman Taleghani

Solving Linear DSGE Models with Bernoulli Iterations pp. 593-643

Alexander Meyer-Gohde

Cash Flow Forecasting for Self-employed Workers: Fuzzy Inference Systems or Parametric Models? pp. 645-679

Luis Palomero, Vicente García and J. Salvador Sánchez

Two-factor Rough Bergomi Model: American Call Option Pricing and Calibration by Interior Point Optimization Algorithm pp. 681-714

Arezou Karimi, Farshid Mehrdoust and Maziar Salahi

Research on the Operation, Market and ESG Efficiency of China's Local Commercial Banks in the Context of COVID-19 pp. 715-755

Tao Xie, Ying Li, Yung-Ho Chiu and Shiyou Ao

Optimal Technical Indicator Based Trading Strategies Using Evolutionary Multi Objective Optimization Algorithms pp. 757-807

Yelleti Vivek, P. Shanmukh Kali Prasad, Vadlamani Madhav, Ramanuj Lal and Vadlamani Ravi

Pareto Distribution of the Forbes Billionaires pp. 809-834

Eugene Pinsky, Weiqi Zhang and Zibo Wang

Examination of Bitcoin Hedging, Diversification and Safe-Haven Ability During Financial Crisis: Evidence from Equity, Bonds, Precious Metals and Exchange Rate Markets pp. 835-867

Mirzat Ullah, Kazi Sohag, Svetlana Doroshenko and Oleg Mariev

High-Dimensional Dynamic Panel with Correlated Random Effects: A Semiparametric Hierarchical Empirical Bayes Approach pp. 869-902

Antonio Pacifico

Stock Market Prediction Using Deep Attention Bi-directional Long Short-Term Memory pp. 903-927

B. Prakash and B. Saleena

A Team-Innovative Optimization Search Algorithm and its Application to Cash Flow Forecasting pp. 929-946

JianJun Wu and Lu Xia

Do Bitcoin ETFs Lead Price Discovery Following their Introduction in the Bitcoin Market? pp. 947-969

Azhar Mohamad