Computational Economics

1993 - 2025

Continuation of Computer Science in Economics & Management.

Current editor(s): Hans Amman

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Springer
Society for Computational Economics
Contact information at EDIRC.
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Volume 51, issue 4, 2018

Dynamics Evolution of Trading Strategies of Investors in Financial Market pp. 743-760

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

D. Th. Vezeris, C. J. Schinas and G. Papaschinopoulos

DEA-Based Piecewise Linear Discriminant Analysis pp. 809-820

Ai-bing Ji, Ye Ji and Yanhua Qiao

Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data pp. 821-846

Ya-Chi Huang and Chueh-Yung Tsao

Network Topology and Systemically Important Firms in the Interfirm Credit Network pp. 847-864

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

Filip Stanek and Jiri Kukacka

Fiscal Policy Design in Greece in the Aftermath of the Crisis: An Algorithmic Approach pp. 893-911

Ilias Kostarakos and Stelios Kotsios

Short-Term Price Overreactions: Identification, Testing, Exploitation pp. 913-940

Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun

A New Predictive Measure Using Agent-Based Behavioral Finance pp. 941-959

Todd Feldman and Shuming Liu

Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions pp. 961-972

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

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

Vivien Lespagnol and Juliette Rouchier

A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection pp. 1021-1032

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

Nasir Aminu

Information and Efficiency in Thin Buyer–Seller Markets over Random Networks pp. 1069-1095

Michiel Leur

Visual Economic Modelling System (VEMS) for Computable General Equilibrium Models pp. 1097-1121

Nico Vellinga

Sparse Bayesian Variable Selection in Probit Model for Forecasting U.S. Recessions Using a Large Set of Predictors pp. 1123-1138

Yang Aijun, Xiang Ju, Hongqiang Yang and Lin Jinguan

Volume 51, issue 3, 2018

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models pp. 339-378

Michele Leonardo Bianchi, Svetlozar T. Rachev and Frank Fabozzi

Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach pp. 379-406

Alessandro Andreoli, Luca Vincenzo Ballestra and Graziella Pacelli

A Discontinuity Model of Technological Change: Catastrophe Theory and Network Structure pp. 407-425

Torsten Heinrich

A Dynamic Model of Unemployment with Migration and Delayed Policy Intervention pp. 427-462

Liliana Harding and Mihaela Neamţu

Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods pp. 463-492

Alexander Ludwig and Matthias Schön

Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets pp. 493-511

Hazem Krichene and Mhamed-Ali El-Aroui

Advantages of an Ellipse when Modeling Leisure Utility pp. 513-533

Richard Evans and Kerk L. Phillips

Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note pp. 535-539

Gang Yu, Wei Gao, Weiguo Wang and Shaoping Wang

Pollution Control with Time-Varying Model Mistrust of the Stock Dynamics pp. 541-569

Fidel Gonzalez

A New Vision of Classical Multi-regional Input–Output Models pp. 571-594

George Halkos and Kyriaki Tsilika

An Integrated Matching-Immunization Model for Bond Portfolio Optimization pp. 595-605

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

Gang-Jin Wang, Chi Xie and H. Eugene Stanley

A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence pp. 637-675

Panayotis Michaelides, Mike Tsionas, Angelos Vouldis, Konstantinos Konstantakis and Panagiotis Patrinos

Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model pp. 677-696

Hwan Lin

Erratum to: Computing Transitional Cycles for a Deterministic Time-to-Build Growth Model pp. 697-697

Hwan Lin

On the Stochastic Sensitivity and Noise-Induced Transitions of a Kaldor-Type Business Cycle Model pp. 699-718

Irina Bashkirtseva, Davide Radi, Lev Ryashko and Tatyana Ryazanova

Conditional Versus Unconditional Utility as Welfare Criterion: Two Examples pp. 719-730

Jinill Kim and Sunghyun Kim

Mean-Extended Gini Portfolios: A 3D Efficient Frontier pp. 731-740

Frank Hespeler and Haim Shalit

Erratum to: ABATE: A New Tool to Produce Marginal Abatement Cost Curves pp. 741-741

Oswald Marinoni and Martijn Grieken

Volume 51, issue 2, 2018

A Network Analysis of the United Kingdom’s Consumer Price Index pp. 173-193

Georgios Sarantitis, Theophilos Papadimitriou and Periklis Gogas

State and Network Structures of Stock Markets Around the Global Financial Crisis pp. 195-210

Jae Woo Lee and Ashadun Nobi

Systemic Risk on Trade Credit Systems: with the Tangible Interconnectedness pp. 211-226

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

Kaihua Deng

Artificial Momentum, Native Contrarian, and Transparency in China pp. 263-294

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

Yogo Purwono, Irwan Ekaputra and Zaäfri Ananto Husodo

Sparse Bayesian Variable Selection with Correlation Prior for Forecasting Macroeconomic Variable using Highly Correlated Predictors pp. 323-338

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

Hong Lan

Where has All the Education Gone? Everywhere But into Growth pp. 35-74

Hongchun Zhao and Yanjie Liu

Terms of Trade Shocks and Monetary Policy in India pp. 75-121

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

Hwan Lin and L. F. Shampine

Investment Index Construction from Information Propagation Based on Transfer Entropy pp. 159-172

Fujio Toriumi and Kazuki Komura

Volume 50, issue 4, 2017

An Agent-Based Simulation of the Stolper–Samuelson Effect pp. 533-547

Luzius Meisser and Carl Kreuser

Influence of Inefficiency in Government Expenditure on the Multiplier of Public Investment pp. 549-577

Shigeaki Ogibayashi and Kosei Takashima

Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns pp. 579-594

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

Kotaro Miwa and Kazuhiro Ueda

Endogenous Fundamental and Stock Cycles pp. 629-653

Weihong Huang and Yu Zhang

The Psychological Force Model for Lowest Unique Bid Auction pp. 655-667

Rui Hu, Jinzhong Guo, Qinghua Chen and Tao Zheng

Can Sentiment Analysis and Options Volume Anticipate Future Returns? pp. 669-685

Patrick Houlihan and German Creamer

Emergent Heterogeneity in Keyword Valuation in Sponsored Search Markets: A Closer-to-Practice Perspective pp. 687-710

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

Qiang Xia, Heung Wong, Jinshan Liu and Rubing Liang

A New Method For Dynamic Stock Clustering Based On Spectral Analysis pp. 373-392

Zhaoyuan Li and Maozai Tian

Cowboying Stock Market Herds with Robot Traders pp. 393-423

Jaqueson Galimberti, Nicolas Suhadolnik and Sergio Da Silva

Can Minorities Escape Wage Discrimination by Forming Firms? pp. 425-445

James Fain

Performance of Tail Hedged Portfolio with Third Moment Variation Swap pp. 447-471

Kyungsub Lee and Byoung Ki Seo

An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems pp. 473-502

Shinya Sugawara and Yasuhiro Omori

A Generalized Singular Value Decomposition Strategy for Estimating the Block Recursive Simultaneous Equations Model pp. 503-515

Mircea I. Cosbuc, Cristian Gatu, Ana Colubi and Erricos Kontoghiorghes

Uncertain Potential Output and Simple Rules in Small Open Economy pp. 517-531

Guido Traficante

Volume 50, issue 2, 2017

LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model pp. 173-187

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

Leila Khodayari and Mojtaba Ranjbar

Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis pp. 207-230

Wei Zhou

Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model pp. 231-279

Tomasz Makarewicz

A Practical, Accurate, Information Criterion for Nth Order Markov Processes pp. 281-324

Sylvain Barde

Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets pp. 325-351

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

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

Olivier Goudet, Jean-Daniel Kant and Gérard Ballot

AdaBoost Models for Corporate Bankruptcy Prediction with Missing Data pp. 69-94

Ligang Zhou and Kin Keung Lai

A Recursive Method for Solving a Climate–Economy Model: Value Function Iterations with Logarithmic Approximations pp. 95-110

In Chang Hwang

Wavelets Analysis on Structural Model for Default Prediction pp. 111-140

Lu Han and Ruihuan Ge

Online Portfolio Selection Strategy Based on Combining Experts’ Advice pp. 141-159

Yong Zhang and Xingyu Yang

Finite Sample Critical Values of the Generalized KPSS Stationarity Test pp. 161-172

Peter Sephton