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
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Volume 57, issue 4, 2021

An Expanded Local Variance Gamma Model pp. 949-987

Peter Carr and Andrey Itkin

On the Extension of the Kiyotaki and Wright model to Transformable Goods pp. 989-1014

Sacha Bourgeois-Gironde and Marcin Czupryna

Exploring Option Pricing and Hedging via Volatility Asymmetry pp. 1015-1039

Isabel Casas and Helena Veiga

Multi-Factor RFG-LSTM Algorithm for Stock Sequence Predicting pp. 1041-1058

Zhi Su, Heliang Xie and Lu Han

Variance Swaps with Deterministic and Stochastic Correlations pp. 1059-1092

Ah-Reum Han, Jeong-Hoon Kim and See-Woo Kim

Nonparanormal Structural VAR for Non-Gaussian Data pp. 1093-1113

Aramayis Dallakyan

Two-Sided Matching with Indifferences: Using Heuristics to Improve Properties of Stable Matchings pp. 1115-1148

Christian Haas

Entropy of Graphs in Financial Markets pp. 1149-1166

Chun-Xiao Nie and Fu-Tie Song

Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance pp. 1167-1182

Daiki Maki and Yasushi Ota

Embedding Four Medium-Term Technical Indicators to an Intelligent Stock Trading Fuzzy System for Predicting: A Portfolio Management Approach pp. 1183-1216

Konstandinos Chourmouziadis, Dimitra K. Chourmouziadou and Prodromos Chatzoglou

Data-Based Automatic Discretization of Nonparametric Distributions pp. 1217-1235

Alexis Akira Toda

Predicting Stock Price Using Two-Stage Machine Learning Techniques pp. 1237-1261

Jun Zhang, Lan Li and Wei Chen

Extreme Wavelet Fast Learning Machine for Evaluation of the Default Profile on Financial Transactions pp. 1263-1285

Paulo Vitor Campos Souza and Luiz Carlos Bambirra Torres

Option Pricing Model Biases: Bayesian and Markov Chain Monte Carlo Regression Analysis pp. 1287-1305

Sharif Mozumder, Taufiq Choudhry and Michael Dempsey

Gender and Bubbles in Experimental Markets with Positive and Negative Expectation Feedback pp. 1307-1326

Zhou Lu, Te Bao and Xiaohua Yu

How Connected is Too Connected? Impact of Network Topology on Systemic Risk and Collapse of Complex Economic Systems pp. 1327-1351

Aymeric Vié and Alfredo J. Morales

Computational Modeling of Non-Gaussian Option Price Using Non-extensive Tsallis’ Entropy Framework pp. 1353-1371

Gangadhar Nayak, Amit Kumar Singh and Dilip Senapati

An Approximation Scheme for Option Pricing Under Two-State Continuous CAPM pp. 1373-1385

Ali Safdari-Vaighani, Davood Ahmadian and Roja Javid-Jahromi

Volume 57, issue 3, 2021

Preface Special Issue of Computational Economics Commemorating the Birth Centennial of Herbert Simon pp. 791-793

K. Vela Velupillai and Ragupathy Venkatachalam

Herbert Alexander Simon: 15th June, 1916–9th February, 2001 A Life pp. 795-797

K. Vela Velupillai and Ragupathy Venkatachalam

Reconsidering Herbert A. Simon’s Major Themes in Economics: Towards an Experimentally Grounded Capital Structure Theory Drawing from His Methodological Conjectures pp. 799-823

Edgardo Bucciarelli and Nicola Mattoscio

Correction to: Reconsidering Herbert A. Simon’s Major Themes in Economics: Towards an Experimentally Grounded Capital Structure Theory Drawing from His Methodological Conjectures pp. 825-826

Edgardo Bucciarelli and Nicola Mattoscio

Big Data, Scarce Attention and Decision-Making Quality pp. 827-856

Tongkui Yu and Shu-Heng Chen

Human Problem-Solving: Standing on the Shoulders of the Giants pp. 857-868

Dharmaraj Navaneethakrishnan

Performance Budget Planning: The Case of a Research University pp. 869-887

M. J. Druzdzel and J. R. Kalagnanam

Human and Machine Learning pp. 889-909

Ying-Fang Kao and Ragupathy Venkatachalam

Information Processing and Moral Problem Solving pp. 911-922

Cassey Lee

Why Herbert Simon Matters for Policymaking pp. 923-933

Patrick Love

Proofs and Predictions in Human Problem Solving pp. 935-947

K. Vela Velupillai

Volume 57, issue 2, 2021

Leveraging Social Media to Predict Continuation and Reversal in Asset Prices pp. 433-453

Patrick Houlihan and German Creamer

Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework pp. 455-479

Antonio A. F. Santos

Robust Solutions to the Life-Cycle Consumption Problem pp. 481-499

Lorenzo Reus and Frank J. Fabozzi

Correction to: Robust Solutions to the Life-Cycle Consumption Problem pp. 501-502

Lorenzo Reus and Frank J. Fabozzi

Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH pp. 503-527

Indranil Ghosh, Manas K. Sanyal and R. K. Jana

A Guide to Using the R Package “multiColl” for Detecting Multicollinearity pp. 529-536

Román Salmerón-Gómez, Catalina García-García and José García-Pérez

Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms pp. 537-575

Julien Chevallier, Bangzhu Zhu and Lyuyuan Zhang

The Success of the Deferred Acceptance Algorithm Under Heterogenous Preferences with Endogenous Aspirations pp. 577-591

Ismail Saglam

An Intelligent System for Insider Trading Identification in Chinese Security Market pp. 593-616

Shangkun Deng, Chenguang Wang, Zhe Fu and Mingyue Wang

A New Appraisal Model of Second-Hand Housing Prices in China’s First-Tier Cities Based on Machine Learning Algorithms pp. 617-637

Lulin Xu and Zhongwu Li

Optimizing Algorithmic Strategies for Trading Bitcoin pp. 639-654

Gil Cohen

Stationarity Statistics on Rolling Windows pp. 655-691

Joseph Ross

An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering pp. 693-718

Zhijian He and Xiaoqun Wang

Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks pp. 719-742

Qianjie Geng and Yudong Wang

Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting pp. 743-771

Leandro Maciel and Rosangela Ballini

R-Squared-Bootstrapping for Gegenbauer-Type Long Memory pp. 773-790

Yixun Xing and Wayne A. Woodward

Volume 57, issue 1, 2021

Machine Learning in Economics and Finance pp. 1-4

Periklis Gogas and Theophilos Papadimitriou

Gold Against the Machine pp. 5-28

Vasilios Plakandaras, Periklis Gogas and Theophilos Papadimitriou

Forecasting Realized Volatility of Bitcoin: The Role of the Trade War pp. 29-53

Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

Support Vector Machine Algorithms: An Application to Ship Price Forecasting pp. 55-87

Theodore Syriopoulos, Michael Tsatsaronis and Ioannis Karamanos

Monitoring Liquidity Management of Banks With Recurrent Neural Networks pp. 89-112

Ron Triepels, Hennie Daniels and Ron Berndsen

Modelling Stock Markets by Multi-agent Reinforcement Learning pp. 113-147

Johann Lussange, Ivan Lazarevich, Sacha Bourgeois-Gironde, Stefano Palminteri and Boris Gutkin

Time-Varying Dictionary and the Predictive Power of FED Minutes pp. 149-181

Luiz Renato Lima, Lucas Lúcio Godeiro and Mohammed Mohsin

Unemployment Rate Forecasting: A Hybrid Approach pp. 183-201

Tanujit Chakraborty, Ashis Kumar Chakraborty, Munmun Biswas, Sayak Banerjee and Shramana Bhattacharya

Explainable Machine Learning in Credit Risk Management pp. 203-216

Niklas Bussmann, Paolo Giudici, Dimitri Marinelli and Jochen Papenbrock

Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting pp. 217-245

Firat Melih Yilmaz and Ozer Arabaci

Forecasting of Real GDP Growth Using Machine Learning Models: Gradient Boosting and Random Forest Approach pp. 247-265

Jaehyun Yoon

The Determinants of Bitcoin’s Price: Utilization of GARCH and Machine Learning Approaches pp. 267-280

Ting-Hsuan Chen, Mu-Yen Chen and Guan-Ting Du

A Synthetic Penalized Logitboost to Model Mortgage Lending with Imbalanced Data pp. 281-309

Jessica Pesantez-Narvaez, Montserrat Guillen and Manuela Alcañiz

Predicting Stock Price Falls Using News Data: Evidence from the Brazilian Market pp. 311-340

Juvenal José Duarte, Sahudy Montenegro González and José César Cruz

A New Scalable Bayesian Network Learning Algorithm with Applications to Economics pp. 341-367

Michail Tsagris

Textual Machine Learning: An Application to Computational Economics Research pp. 369-385

Christos Alexakis, Michael Dowling, Konstantinos Eleftheriou and Michael Polemis

Nowcasting US GDP Using Tree-Based Ensemble Models and Dynamic Factors pp. 387-417

Barış Soybilgen and Ege Yazgan

A New Hybrid Instance-Based Learning Model for Decision-Making in the P2P Lending Market pp. 419-432

Golnoosh Babaei and Shahrooz Bamdad