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 60, issue 4, 2022

The Relationship Between Economic Growth and Electricity Consumption: Bootstrap ARDL Test with a Fourier Function and Machine Learning Approach pp. 1197-1220

Cheng-Feng Wu, Shian-Chang Huang, Chei-Chang Chiou, Tsangyao Chang and Yung-Chih Chen

The Risk Early-Warning Model of Financial Operation in Family Farms Based on Back Propagation Neural Network Methods pp. 1221-1244

Zhigui Guan, Yuanjun Zhao and Guojing Geng

The Impact of Financial Enterprises’ Excessive Financialization Risk Assessment for Risk Control based on Data Mining and Machine Learning pp. 1245-1267

Yuegang Song and Ruibing Wu

The Analysis of Credit Risks in Agricultural Supply Chain Finance Assessment Model Based on Genetic Algorithm and Backpropagation Neural Network pp. 1269-1292

Yingli Wu, Xin Li, Qingquan Liu and Guangji Tong

Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm pp. 1293-1315

Zhaoyi Xu, Yuqing Zeng, Yangrong Xue and Shenggang Yang

Dynamics of Firm’s Investment in Education and Training: An Agent-based Approach pp. 1317-1351

Jung-Seung Yang

V-Shaped BAS: Applications on Large Portfolios Selection Problem pp. 1353-1373

Spyridon D. Mourtas and Vasilios N. Katsikis

Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis pp. 1375-1412

Peter Sinka and Peter J. Zeitsch

An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model pp. 1413-1425

Xin-Jiang He and Sha Lin

Global Optimal Consumption–Portfolio Rules with Myopic Preferences and Loss Aversion pp. 1427-1455

Jia Yue, Ming-Hui Wang and Nan-Jing Huang

Calibration of Agent-Based Models by Means of Meta-Modeling and Nonparametric Regression pp. 1457-1478

Siyan Chen and Saul Desiderio

Generalized, Partial and Canonical Correlation Coefficients pp. 1479-1506

Hrishikesh Vinod

Towards a Validation Methodology for Macroeconomic Agent-Based Models pp. 1507-1527

Sebastiaan Tieleman

Does the Real Business Cycle Help Forecast the Financial Cycle? pp. 1529-1546

Fredj Jawadi, Hachmi Ben Ameur, Stephanie Bigou and Alexis Flageollet

How do Fines and Their Enforcement on Counterfeit Products Affect Social Welfare? pp. 1547-1573

Marta Biancardi, Andrea Di Liddo and Giovanni Villani

Correction to: The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market pp. 1575-1575

Yun Feng and Xin Li

Volume 60, issue 3, 2022

Disentangling Shareholder Risk Aversion from Leverage-Dependent Borrowing Cost on Corporate Policies pp. 1-24

Mateus Waga, Davi Valladão, Alexandre Street and Thuener Silva

A Valid and Efficient Trinomial Tree for General Local-Volatility Models pp. 817-832

U Hou Lok and Yuh-Dauh Lyuu

Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach pp. 833-859

Noureddine Kouaissah, Sergio Ortobelli Lozza and Ikram Jebabli

Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy pp. 861-882

Baoqiang Zhan, Shu Zhang, Helen S. Du and Xiaoguang Yang

Euro Area Deflationary Pressure Index pp. 883-900

Luca Brugnolini and Giuseppe Ragusa

Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms pp. 901-923

Zongxin Zhang and Ying Chen

Feature Screening in High Dimensional Regression with Endogenous Covariates pp. 949-969

Qinqin Hu and Lu Lin

Indicator Selection of Index Construction by Adaptive Lasso with a Generic $$\varepsilon $$ ε -Insensitive Loss pp. 971-990

Yafen Ye, Renyong Chi, Yuan-Hai Shao, Chun-Na Li and Xiangyu Hua

Swarm Intelligence Based Hybrid Neural Network Approach for Stock Price Forecasting pp. 991-1039

Gourav Kumar, Uday Pratap Singh and Sanjeev Jain

A Nash Equilibrium for Differential Games with Moving-Horizon Strategies pp. 1041-1054

Enrico Saltari, Willi Semmler and Giovanni Di Bartolomeo

A Pricing Method in a Constrained Market with Differential Informational Frameworks pp. 1055-1100

Ivan Peñaloza and Pablo Padilla

Optimal Pricing of Climate Risk pp. 1101-1134

Thomas F. Coleman, Nicole S. Dumont, Wanqi Li, Wenbin Liu and Alexey Rubtsov

Complementarity Modeling of a Ramsey-Type Equilibrium Problem with Heterogeneous Agents pp. 1135-1154

Leonhard Frerick, Georg Müller-Fürstenberger, Martin Schmidt and Max Späth

Undirected and Directed Network Analysis of the Chinese Stock Market pp. 1155-1173

Binghui Li and Yuehan Yang

An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees pp. 1175-1196

Linjia Dong and Zhaojun Yang

Volume 60, issue 2, 2022

Sectoral Impacts of International Labour Migration and Population Ageing in the Czech Republic pp. 375-400

Martin Stepanek

Economic Policy Uncertainty Index Meets Ensemble Learning pp. 401-437

Ivana Lolić, Petar Sorić and Marija Logarušić

The multiColl Package Versus Other Existing Packages in R to Detect Multicollinearity pp. 439-450

Román Salmerón Gómez, Catalina B. García García and José García Pérez

Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo pp. 451-477

Thomas Lux

Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process pp. 479-527

Yizhou Bai, Yongjin Wang, Haoyan Zhang and Xiaoyang Zhuo

Portfolio Correlations in the Bank-Firm Credit Market of Japan pp. 529-569

Duc Thi Luu

Bounded Rationality, Group Formation and the Emergence of Trust: An Agent-Based Economic Model pp. 571-599

Jefferson Satoshi Kato and Adriana Sbicca

A Finite Difference Scheme for Pairs Trading with Transaction Costs pp. 601-632

Zequn Li and Agnès Tourin

A Fitted L-Multi-Point Flux Approximation Method for Pricing Options pp. 633-663

Rock Stephane Koffi and Antoine Tambue

Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution pp. 665-692

Mahdi Teimouri and Saralees Nadarajah

Communication and Learning: The Bilateral Information Transmission in the Cobweb Model pp. 693-723

Eran Guse and M. C. Sunny Wong

Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study pp. 725-753

Eliana Christou and Michael Grabchak

Averages: There is Still Something to Learn pp. 755-779

José Dias Curto

A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches pp. 781-815

Amin Aminimehr, Ali Raoofi, Akbar Aminimehr and Amirhossein Aminimehr

Volume 60, issue 1, 2022

Towards Crafting Optimal Functional Link Artificial Neural Networks with Rao Algorithms for Stock Closing Prices Prediction pp. 1-23

Subhranginee Das, Sarat Chandra Nayak and Biswajit Sahoo

A Machine Learning Approach to Detection of Trade-Based Manipulations in Borsa Istanbul pp. 25-45

Nurullah Celal Uslu and Fuat Akal

Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method pp. 47-69

Lorenzo Reus and Rodolfo Prado

The Effect of Including Irrelevant Alternatives in Discrete Choice Models of Recreation Demand pp. 71-97

John N. Ng’ombe and B Brorsen

Maximum Likelihood Estimation Methods for Copula Models pp. 99-124

Jinyu Zhang, Kang Gao, Yong Li and Qiaosen Zhang

The Geometry of the World of Currency Volatilities pp. 125-145

Gueorgui S. Konstantinov and Frank J. Fabozzi

Is Deep-Learning and Natural Language Processing Transcending the Financial Forecasting? Investigation Through Lens of News Analytic Process pp. 147-171

Faisal Khalil and Gordon Pipa

A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models pp. 173-220

Januj Amar Juneja

Menu Optimization for Multi-Profile Customer Systems on Large Scale Data pp. 221-242

Jeyhun Karimov, Murat Ozbayoglu, Bulent Tavli and Erdogan Dogdu

Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs pp. 243-280

M. Rezaei, A. R. Yazdanian, A. Ashrafi and S. M. Mahmoudi

House Prices as a Result of Trading Activities: A Patient Trader Model pp. 281-303

Ralf Korn and Bilgi Yilmaz

A Neural Network Approach to Value R&D Compound American Exchange Option pp. 305-324

Giovanni Villani

DeepValue: A Comparable Framework for Value-Based Strategy by Machine Learning pp. 325-346

K. J. Huang

Optimized Machine Learning Algorithms for Investigating the Relationship Between Economic Development and Human Capital pp. 347-373

Erdemalp Ozden and Didem Guleryuz