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 56, issue 4, 2020

The Use of Partial Fractional Form of A-Stable Padé Schemes for the Solution of Fractional Diffusion Equation with Application in Option Pricing pp. 695-709

H. Ghafouri, M. Ranjbar and A. Khani

ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets pp. 711-721

Vasilios N. Katsikis and Spyridon D. Mourtas

Multiple Shooting Method for Solving Black–Scholes Equation pp. 723-746

Somayeh Abdi-Mazraeh, Ali Khani and Safar Irandoust-Pakchin

Forecasting with Second-Order Approximations and Markov-Switching DSGE Models pp. 747-771

Sergey Ivashchenko, Semih Çekin, Kevin Kotze and Rangan Gupta

An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection pp. 773-794

Mårten Gulliksson and Stepan Mazur

Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters pp. 795-841

Sanha Noh

Measuring Spatio-temporal Efficiency: An R Implementation for Time-Evolving Units pp. 843-864

Georgios Digkas, Konstantinos Petridis, Alexander Chatzigeorgiou, Emmanouil Stiakakis and Ali Emrouznejad

Fast Monte Carlo Simulation for Pricing Equity-Linked Securities pp. 865-882

Hanbyeol Jang, Sangkwon Kim, Junhee Han, Seongjin Lee, Jungyup Ban, Hyunsoo Han, Chaeyoung Lee, Darae Jeong and Junseok Kim

Optimal Grid Selection for the Numerical Solution of Dynamic Stochastic Optimization Problems pp. 883-928

Karsten O. Chipeniuk

Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean pp. 929-952

Argimiro Arratia and Henryk Gzyl

Degrees of Rationality in Agent-Based Retail Markets pp. 953-973

Georgios Methenitis, Michael Kaisers and Han Poutré

Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method pp. 975-1054

D. Th. Vezeris, C. J. Schinas, Th. S. Kyrgos, V. A. Bizergianidou and I. P. Karkanis

Liquidity Constraints for Portfolio Selection Based on Financial Volume pp. 1055-1077

Eduardo Bered Fernandes Vieira and Tiago Pascoal Filomena

Volume 56, issue 3, 2020

Guest Editorial: Special Issue on Experimentation in Economics pp. 599-600

Hans Amman and Marco P. Tucci

Heterogeneous Expectations and Uncertain Inflation Target pp. 601-621

Stefano Marzioni and Guido Traficante

Heuristic Switching Model and Exploration-Exploitation Algorithm to Describe Long-Run Expectations in LtFEs: a Comparison pp. 623-658

Annarita Colasante, Simone Alfarano and Eva Camacho-Cuena

An Evolutionary Approach to Passive Learning in Optimal Control Problems pp. 659-673

D. Blueschke, Ivan Savin and V. Blueschke-Nikolaeva

How Active is Active Learning: Value Function Method Versus an Approximation Method pp. 675-693

Hans Amman and Marco P. Tucci

Volume 56, issue 2, 2020

Crises Beyond Belief: Findings on Contagion, the Role of Beliefs, and the Eurozone Debt Crisis from a Borrower–Lender Game pp. 263-317

Jonathan W. Welburn

Multifractal Analysis of Realized Volatilities in Chinese Stock Market pp. 319-336

Yufang Liu, Weiguo Zhang, Junhui Fu and Xiang Wu

Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price pp. 337-353

Jin-Bom Han, Sun-Hak Kim, Myong-Hun Jang and Kum-Sun Ri

Equilibrium Working Curves with Heterogeneous Agents pp. 355-372

Atle Oglend and Vesa-Heikki Soini

Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics pp. 373-389

B. Zhang, J. Wang, W. Zhang and G. C. Wang

Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate pp. 391-429

Chaoqun Ma, Shengjie Yue, Hui Wu and Yong Ma

Distributional Assumptions and the Estimation of Contingent Valuation Models pp. 431-460

James McDonald, Daniel B. Walton and Bryan Chia

A Non-parametric Test and Predictive Model for Signed Path Dependence pp. 461-498

Fabio S. Dias and Gareth W. Peters

An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes pp. 499-528

Junkee Jeon, Jeonggyu Huh and Kyunghyun Park

Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets pp. 529-545

Sang Hoon Kang, Seong-Min Yoon, Stelios Bekiros and Gazi Uddin

Optimal Filter Approximations for Latent Long Memory Stochastic Volatility pp. 547-568

Grace Lee Ching Yap

Machine learning with parallel neural networks for analyzing and forecasting electricity demand pp. 569-597

Yi-Ting Chen, Edward Sun and Yi-Bing Lin

Volume 56, issue 1, 2020

Introduction to Topics in Modelling Financial and Macroeconomic Time Series pp. 1-3

Fredj Jawadi

Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain pp. 5-20

Mondher Bellalah, Detao Zhang and Panpan Zhang

Optimal Portfolio Positioning on Multiple Assets Under Ambiguity pp. 21-57

Hachmi Ben Ameur, Mouna Boujelbène, Jean-Luc Prigent and Emna Triki

Intertemporal Similarity of Economic Time Series: An Application of Dynamic Time Warping pp. 59-75

Philip Hans Franses and Thomas Wiemann

Conditional Correlation Demand Systems pp. 77-86

Apostolos Serletis and Libo Xu

Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle pp. 87-114

Mariam Camarero, Juan Sapena and Cecilio Tamarit

A Monte Carlo Study of Time Varying Coefficient (TVC) Estimation pp. 115-130

Stephen Hall, Heather Gibson, George Tavlas and Mike Tsionas

Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns pp. 131-143

Nabila Jawadi, Fredj Jawadi and Abdoulkarim Idi Cheffou

OPTCON3: An Active Learning Control Algorithm for Nonlinear Quadratic Stochastic Problems pp. 145-162

V. Blueschke-Nikolaeva, D. Blueschke and Reinhard Neck

A Testing Procedure for Constant Parameters in Stochastic Volatility Models pp. 163-186

Juan Hoyo, Guillermo Llorente and Carlos Rivero

Predicting Extreme Financial Risks on Imbalanced Dataset: A Combined Kernel FCM and Kernel SMOTE Based SVM Classifier pp. 187-216

Xun Huang, Cheng-Zhao Zhang and Jia Yuan

Technological Change and Catching-Up in the Indian Banking Sector: A Time-Dependent Nonparametric Frontier Approach pp. 217-237

Sushanta Mallick, Aarti Rughoo, Nickolaos G. Tzeremes and Wei Xu

About Long-Term Cross-Currency Bermuda Swaption Pricing pp. 239-262

Bünyamin Erkan and Jean-Luc Prigent

Volume 55, issue 4, 2020

Macroeconomic Dynamics and Modelling on Chinese Economy pp. 1045-1046

Ling-Yun He and Hua-Qing Wu

Modified Distance Friction Minimization Model with Undesirable Output: An Application to the Environmental Efficiency of China’s Regional Industry pp. 1047-1071

Qingxian An, Xiangyang Tao, Bo Dai and Jinlin Li

Reducing Overcapacity in China’s Coal Industry: A Real Option Approach pp. 1073-1093

Wei Wu and Boqiang Lin

Measuring the Energy Saving and CO2 Emissions Reduction Potential Under China’s Belt and Road Initiative pp. 1095-1116

Yue-Jun Zhang, Yan-Lin Jin and Bo Shen

Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach pp. 1117-1150

Qunwei Wang, Xingyu Dai and Dequn Zhou

Forecasting Short-Term Oil Price with a Generalised Pattern Matching Model Based on Empirical Genetic Algorithm pp. 1151-1169

Lu-Tao Zhao, Guan-Rong Zeng, Ling-Yun He and Ya Meng

Abandonment Decision-Making of Overseas Oilfield Project Coping with Low Oil Price pp. 1171-1184

Hui-Ling Zhou, Bao-Jun Tang and Hong Cao

Game-Theoretic Analysis of Price and Quantity Decisions for Electric Vehicle Supply Chain Under Subsidy Reduction pp. 1185-1208

Jinshi Cheng, Jiali Wang and Bengang Gong

Analysis of China’s Regional Economic Environmental Performance: A Non-radial Multi-objective DEA Approach pp. 1209-1231

Tao Ding, Zhixiang Zhou, Qianzhi Dai and Liang Liang

Forecasting Trade Potential Between China and the Five Central Asian Countries: Under the Background of Belt and Road Initiative pp. 1233-1247

Rongji Huang, Tengfei Nie, Yangguang Zhu and Shaofu Du

A Novel Decomposition-Ensemble Based Carbon Price Forecasting Model Integrated with Local Polynomial Prediction pp. 1249-1273

Quande Qin, Huangda He, Li Li and Ling-Yun He

Markov Regime-Switching in-Mean Model with Tempered Stable Distribution pp. 1275-1299

Yanlin Shi, Lingbing Feng and Tong Fu

Volume 55, issue 3, 2020

Short Term Firm-Specific Stock Forecasting with BDI Framework pp. 745-778

Mansoor Ahmed, Anirudh Sriram and Sanjay Singh

Financial Contagion in Core–Periphery Networks and Real Economy pp. 779-800

Asako Chiba

Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws pp. 801-826

Niels Wesselhöfft and Wolfgang Härdle

An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion pp. 827-843

Yue Liu, Aijun Yang, Jijian Zhang and Jingjing Yao

Applying the Explicit Aggregation Algorithm to Heterogeneous Macro Models pp. 845-874

Takeki Sunakawa

Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother pp. 875-900

Martin Solberger and Erik Spånberg

Classifier Based Stock Trading Recommender Systems for Indian stocks: An Empirical Evaluation pp. 901-923

V. Vismayaa, K. R. Pooja, A. Alekhya, C. N. Malavika, Binoy B. Nair and P. N. Kumar

Solving Stochastic Dynamic Programming Problems: A Mixed Complementarity Approach pp. 925-955

Wonjun Chang, Michael C. Ferris, Youngdae Kim and Thomas F. Rutherford

A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions pp. 957-981

Guiyuan Ma, Song-Ping Zhu and Boda Kang

Forecasting Financial Networks pp. 983-997

Petre Caraiani

A Radial Basis Function-Generated Finite Difference Method to Evaluate Real Estate Index Options pp. 999-1019

Xubiao He and Pu Gong

A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model pp. 1021-1044

Xuejie Feng and Chiping Zhang

Volume 55, issue 2, 2020

International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming pp. 383-405

Libo Yin and Liyan Han

Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework pp. 407-450

Alexandru Mandes

Forecasting Financial Returns Volatility: A GARCH-SVR Model pp. 451-471

Hao Sun and Bo Yu

Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails pp. 473-498

Heni Boubaker

Robust Estimation of Finite Horizon Dynamic Economic Models pp. 499-509

Thomas Jørgensen and Maxime To

Measuring CoVaR: An Empirical Comparison pp. 511-528

Michele Leonardo Bianchi and Alberto Maria Sorrentino

Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model pp. 529-549

Fredrik Andersson and Yushu Li

Observation Driven Long Run Equilibria pp. 551-575

Katarzyna Łasak and Johannes Lont

Approximating Walrasian Equilibria pp. 577-596

Aad Ruiter

A Fitted Multi-point Flux Approximation Method for Pricing Two Options pp. 597-628

Rock Stephane Koffi and Antoine Tambue

Bayesian Inference of Local Projections with Roughness Penalty Priors pp. 629-651

Masahiro Tanaka

Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series pp. 653-672

Robert Phillips

Prediction of Unemployment Rates with Time Series and Machine Learning Techniques pp. 673-706

Christos Katris

SABCEMM: A Simulator for Agent-Based Computational Economic Market Models pp. 707-744

Torsten Trimborn, Philipp Otte, Simon Cramer, Maximilian Beikirch, Emma Pabich and Martin Frank

Volume 55, issue 1, 2020

Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives pp. 1-35

Pierre Rostan, Alexandra Rostan and François-Éric Racicot

Estimating Non-stationary Common Factors: Implications for Risk Sharing pp. 37-60

Francisco Corona, Pilar Poncela and Esther Ruiz

Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models pp. 61-86

Maddalena Cavicchioli

Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares pp. 87-117

Murat Midiliç

A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model pp. 119-141

Ahmad Golbabai and Omid Nikan

Entropy and Efficiency of the ETF Market pp. 143-184

Lucio Maria Calcagnile, Fulvio Corsi and Stefano Marmi

Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility pp. 185-210

Jeonggyu Huh, Jaegi Jeon and Yong-Ki Ma

Modeling Technique Based on the Ranges of Values: Implementation Using Conventional Regression Method pp. 211-230

Arthur Yosef and Eli Shnaider

Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method pp. 231-251

Xingyu Yang, Jin’an He, Hong Lin and Yong Zhang

Liquidity in Financial Networks pp. 253-301

Hitoshi Hayakawa

Comments on “Opinion Dynamics Driven by Various Ways of Averaging” pp. 303-326

Youzong Xu and Yunfei Cao

Reply on Comments on “Opinion Dynamics Driven by Various Ways of Averaging” by Youzong Xu and Yunfei Cao pp. 327-334

Ulrich Krause

Bankruptcy Prediction Using Logit and Genetic Algorithm Models: A Comparative Analysis pp. 335-348

Leila Bateni and Farshid Asghari

A Comparative Study of Technical Trading Strategies Using a Genetic Algorithm pp. 349-381

Luís Lobato Macedo, Pedro Godinho and Maria João Alves