Computational Economics

1993 - 2024

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 64, issue 5, 2024

Cryptocurrency Exchange Simulation pp. 2585-2603

Kirill Mansurov, Alexander Semenov, Dmitry Grigoriev, Andrei Radionov and Rustam Ibragimov

Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model pp. 2605-2640

Yanyu Guo, Zhicheng Zhang, Jizu Li and Huayun Du

Combining Feature Selection and Classification Using LASSO-Based MCO Classifier for Credit Risk Evaluation pp. 2641-2662

Xiufang Li, Zhiwang Zhang, Lingyun Li and Hui Pan

The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins pp. 2663-2684

Mahmut Bağcı, Pınar Kaya Soylu and Selçuk Kıran

Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach pp. 2685-2694

L. L. B. Miranda and L. S. Lima

Determinants of Nonperforming Loans: A Global Data Analysis pp. 2695-2716

MBelen Salas, Prosper Lamothe, Enrique Delgado, Angel L. Fernández-Miguélez and Lucia Valcarce

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters pp. 2717-2745

Yen-Wu Ti, Tian-Shyr Dai, Kuan-Lun Wang, Hao-Han Chang and You-Jia Sun

A General Inferential Framework for Singly-Truncated Bivariate Normal Models with Applications in Economics pp. 2747-2781

Yin Liu, Guo-Liang Tian, Chi Zhang and Hong Qin

China's business cycle forecasting: a machine learning approach pp. 2783-2811

Pan Tang and Yuwei Zhang

Learning Bermudans pp. 2813-2852

Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti and Marco Scaringi

Increasing the Hong Kong Stock Market Predictability: A Temporal Convolutional Network Approach pp. 2853-2878

Shun Chen, Lingling Guo and Lei Ge

Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model pp. 2879-2908

Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao and Emma En-Tze Chang

The Effects of Economic Uncertainty and Trade Policy Uncertainty on Industry-Specific Stock Markets Equity pp. 2909-2933

Ijaz Younis, Himani Gupta, Waheed Ullah Shah, Arshian Sharif and Xuan Tang

Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index pp. 2935-2980

Ozan Evkaya, İsmail Gür, Bükre Yıldırım Külekci and Gülden Poyraz

Machine Learning-Based Approach for Predicting the Altcoins Price Direction Change from a High-Frequency Data of Seven Years Based on Socio-Economic Factors, Bitcoin Prices, Twitter and News Sentiments pp. 2981-3026

Anamika Gupta, Gaurav Pandey, Rajan Gupta, Smaran Das, Ajmera Prakash, Kartik Garg and Shreyan Sarkar

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization pp. 3027-3047

Eric Luxenberg, Philipp Schiele and Stephen Boyd

Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study pp. 3049-3086

Sharif Mozumder, Mohammad Zoynul Abedin, Raad Lalon and Amjad Hossain

Scoring Six Detrending Methods on Timing, Lead-Lag Relations, and Cycle Periods: An Empirical Study of US and UK Recessions 1977–2020 pp. 3087-3116

Knut Lehre Seip and Dan Zhang

Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model pp. 3117-3142

Tian-Shyr Dai, Bo-Jen Chen, You-Jia Sun, Dong-Yuh Yang and Mu-En Wu

Option Pricing and Local Volatility Surface by Physics-Informed Neural Network pp. 3143-3159

Hyeong-Ohk Bae, Seunggu Kang and Muhyun Lee

Volume 64, issue 4, 2024

Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series pp. 1939-1963

Kai Yang, Luan Zhao, Qian Hu and Wenshan Wang

An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options pp. 1965-2002

Anshima Singh and Sunil Kumar

Machine Learning Solutions for Fast Real Estate Derivatives Pricing pp. 2003-2032

Peiwei Cao and Xubiao He

Portfolio Allocation with Dynamic Risk Preferences via Reinforcement Learning pp. 2033-2052

Ting-Fu Chen, Xian-Ji Kuang, Szu-Lang Liao and Shih-Kuei Lin

The Finite Sample Performance of Instrumental Variable-Based Estimators of the Local Average Treatment Effect When Controlling for Covariates pp. 2053-2078

Hugo Bodory, Martin Huber and Michael Lechner

Estimating Income Distributions From Grouped Data: A Minimum Quantile Distance Approach pp. 2079-2096

Tsvetana Spasova

Inflation Targeting Regimes in Emerging Market Economies: To Invest or Not to Invest? pp. 2097-2129

Douglas Silveira and Ricardo B. L. M. Oscar

Two-Stage Evaluation of the Pre-merger Potential Gains of Taiwan Financial Holding Companies: Dynamic Network Slack-Based Measure Analysis Approach pp. 2131-2178

Shao-Yin Hsu, Ching-Cheng Lu, Yan-Hui Xiao and Yung-ho Chiu

The Factors Influencing China’s Population Distribution and Spatial Heterogeneity: Based on Multi-source Remote Sensing Data pp. 2179-2203

Shasha Huang, Jiandong Chen, Ming Gao, Mengjiao Yuan, Zunhong Zhu, Xueli Chen and Malin Song

Non-linear Cointegration Test, Based on Record Counting Statistic pp. 2205-2230

Lynda Atil, Hocine Fellag, Ana E. Sipols, M. T. Santos-Martín and Clara Simón Blas

Correction: Non‑linear Cointegration Test, Based on Record Counting Statistic pp. 2231-2232

Lynda Atil, Hocine Fellag, Ana E. Sipols, M. T. Santos-Martín and Clara Simón Blas

Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets pp. 2233-2262

Walid Mensi, Salem Adel Ziadat, Xuan Vinh Vo and Sang Hoon Kang

High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets pp. 2263-2354

David Alaminos, María Belén Salas and Manuel A. Fernández-Gámez

A Discourse Analysis of Tweets and Its Implications for Cryptocurrency Prices and Trade Volumes pp. 2355-2383

Kamyr Gomes Souza, Flavio Barboza and Daniel Vitor Tartari Garruti

Quarterly Data Forecasting Method Based on Extended Grey GM(2, 1, Σsin) Model and Its Application in China’s Quarterly GDP Forecasting pp. 2385-2412

Maolin Cheng and Bin Liu

Panel Interval-Valued Data Nonlinear Regression Models and Applications pp. 2413-2435

Ai-bing Ji, Qing-qing Li and Jin-jin Zhang

Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy pp. 2437-2476

Jinshun Wu and Luyao Wu

Machine Learning-Based Time Series Prediction at Brazilian Stocks Exchange pp. 2477-2508

Ana Paula Santos Gularte, Danusio Gadelha Guimarães Filho, Gabriel Oliveira Torres, Thiago Carvalho Nunes Silva and Vitor Venceslau Curtis

Reconstructing Cryptocurrency Processes via Markov Chains pp. 2509-2521

Tanya Araújo and Paulo Barbosa

An Enterprise Multi-agent Model with Game Q-Learning Based on a Single Decision Factor pp. 2523-2562

Siying Xu, Gaoyu Zhang and Xianzhi Yuan

Pricing Fade-in Options Under GARCH-Jump Processes pp. 2563-2584

Xingchun Wang and Han Zhang

Volume 64, issue 3, 2024

How Market Intervention can Prevent Bubbles and Crashes: An Agent Based Modelling Approach pp. 1315-1356

Rebecca Westphal and Didier Sornette

Multiperiod Bankruptcy Prediction Models with Interpretable Single Models pp. 1357-1390

Ángel Beade, Manuel Rodríguez and José Santos

Consumption Modelling Using Categorisation-Enhanced Mental Accounting pp. 1391-1442

Szymon Chudziak

Deep Kusuoka Approximation: High-Order Spatial Approximation for Solving High-Dimensional Kolmogorov Equations and Its Application to Finance pp. 1443-1461

Riu Naito and Toshihiro Yamada

On the Numerical Option Pricing Methods: Fractional Black-Scholes Equations with CEV Assets pp. 1463-1488

S. Banihashemi, A. Ghasemifard and A. Babaei

How to Keep Your Portfolio Close in Risk and Diversification to a Desired Benchmark pp. 1489-1505

Argimiro Arratia, Henryk Gzyl and Silvia Mayoral

Detection of Uncertainty Events in the Brazilian Economic and Financial Time Series pp. 1507-1538

Cristiane Gea, Luciano Vereda and Eduardo Ogasawara

Exchange Rate Forecasting Based on Integration of Gated Recurrent Unit (GRU) and CBOE Volatility Index (VIX) pp. 1539-1567

Hao Xu, Cheng Xu, Yanqi Sun, Jin Peng, Wenqizi Tian and Yan He

Empirical Performance of an ESG Assets Portfolio from US Market pp. 1569-1638

Fredy Pokou, Jules Sadefo Kamdem and François Benhmad

Deep Learning Model for Fusing Spatial and Temporal Data for Stock Market Prediction pp. 1639-1662

Rachna Sable, Shivani Goel and Pradeep Chatterjee

Correction to: Deep Learning Model for Fusing Spatial and Temporal Data for Stock Market Prediction pp. 1663-1663

Rachna Sable, Shivani Goel and Pradeep Chatterjee

Research on ESG Investment Efficiency Regulation from the Perspective of Reciprocity and Evolutionary Game pp. 1665-1695

Yinglin Wang, Leqi Chen and Jiaxin Zhuang

A Note on the Non-proportionality of Winning Probabilities in Bitcoin pp. 1697-1714

José Parra-Moyano, Gregor Reich and Karl Schmedders

Stochastic Default Risk Estimation Evidence from the South African Financial Market pp. 1715-1756

Mesias Alfeus, Kirsty Fitzhenry and Alessia Lederer

ARDL: An R Package for ARDL Models and Cointegration pp. 1757-1773

Kleanthis Natsiopoulos and Nickolaos G. Tzeremes

Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets pp. 1775-1801

Carlos A. Abanto-Valle, Gabriel Rodríguez, Luis M. Castro Cepero and Hernán B. Garrafa-Aragón

Performance Assessment of Logistic Regression (LR), Artificial Neural Network (ANN), Fuzzy Inference System (FIS) and Adaptive Neuro-Fuzzy System (ANFIS) in Predicting Default Probability: The Case of a Tunisian Islamic Bank pp. 1803-1835

Nadia Ayed and Khemaies Bougatef

A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms pp. 1837-1856

Tolga Omay and Aysegul Corakci

A Machine Learning-Based Analysis on the Causality of Financial Stress in Banking Institutions pp. 1857-1890

João Gabriel Moraes Souza, Daniel Tavares Castro, Yaohao Peng and Ivan Ricardo Gartner

Computing Longitudinal Moments for Heterogeneous Agent Models pp. 1891-1912

Sergio Ocampo and Baxter Robinson

Business Strategy, Short-Term Debt, and Cost Stickiness pp. 1913-1936

Davood Askarany, Mona Parsaei and Nilofar Ghanbari

Correction to: Option Pricing Based on the Residual Neural Network pp. 1937-1937

Lirong Gan and Wei-han Liu

Volume 64, issue 2, 2024

A Critical Introduction to the Usual Robust Control Framework in Macroeconomics pp. 625-641

Marco P. Tucci

Using Newspapers for Textual Indicators: Guidance Based on Spanish- and Portuguese-Speaking Countries pp. 643-692

Erik Andres-Escayola, Corinna Ghirelli, Luis Molina Sánchez, Javier Pérez and Elena Vidal

Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test pp. 693-705

Peter Sephton

How Micro Data Improve the Estimation of Household Credit Risk Within the Macro Stress Testing Framework pp. 707-733

Ján Klacso

Opinion Dynamics with Preference Matching: How the Desire to Meet Facilitates Opinion Exchange pp. 735-768

Mitja Steinbacher, Matjaž Steinbacher and Clemens Knoppe

Headline-Driven Classification and Local Interpretation for Market Outperformance and Low-Risk Stock Prediction pp. 769-788

Daniil Karzanov

Competitive Online Strategy Based on Improved Exponential Gradient Expert and Aggregating Method pp. 789-814

Yong Zhang, Jiahao Li, Xingyu Yang and Jianliang Zhang

Online Car-Hailing Market Regulation Strategy in China: From the Perspective of Quadrilateral Evolutionary Games pp. 815-840

Yong Peng, YaPing Hou and ShuHan Gao

A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation pp. 841-869

Nasibeh Mollahasani

On the Replication of the Pre-kernel and Related Solutions pp. 871-946

Holger I. Meinhardt

Stock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approach pp. 947-977

Godwin Olasehinde-Williams, Ifedola Olanipekun and Oktay Özkan

Deep Learning and American Options via Free Boundary Framework pp. 979-1022

Chinonso Nwankwo, Nneka Umeorah, Tony Ware and Weizhong Dai

The Spherical Parametrisation for Correlation Matrices and its Computational Advantages pp. 1023-1046

Riccardo (Jack) Lucchetti and Luca Pedini

N-BEATS Perceiver: A Novel Approach for Robust Cryptocurrency Portfolio Forecasting pp. 1047-1081

Attilio Sbrana and Paulo André Lima de Castro

Data Augmentation Based Quantile Regression Estimation for Censored Partially Linear Additive Model pp. 1083-1112

Lu Li, Ruiting Hao and Xiaorong Yang

Computing Synthetic Controls Using Bilevel Optimization pp. 1113-1136

Pekka Malo, Juha Eskelinen, Xun Zhou and Timo Kuosmanen

Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry pp. 1137-1162

Qicheng Zhao, Zhouwei Wang and Yuping Song

Dynamic Analysis of Bitcoin Price Under Market News and Sentiments and Government Support Policies pp. 1163-1198

Pardis Roozkhosh and Alireza Pooya

Computing Quantiles of Functions of the Agent Distribution Using t-Digests pp. 1199-1218

Robert Kirkby

Evaluating the Performance of Metaheuristic Based Artificial Neural Networks for Cryptocurrency Forecasting pp. 1219-1258

Sudersan Behera, Sarat Chandra Nayak and A. V. S. Pavan Kumar

Complex Systems Modeling of Community Inclusion Currencies pp. 1259-1294

Andrew Clark, Alexander Mihailov and Michael Zargham

Effective Crude Oil Prediction Using CHS-EMD Decomposition and PS-RNN Model pp. 1295-1314

A. Usha Ruby, J. George Chellin Chandran, B. N. Chaithanya, T. J. Swasthika Jain and Renuka Patil

Volume 64, issue 1, 2024

Social Networks and Norms Evolution pp. 1-36

Ankur Tutlani and Dushyant Kumar

Gauging Demand for Cryptocurrency over the Economic Policy Uncertainty and Stock Market Volatility pp. 37-55

Emon Kalyan Chowdhury and Mohammad Nayeem Abdullah

Fast and Accurate Computation of the Regime-Switching Jump-Diffusion Option Prices Using Laplace Transform and Compact Difference with Convergence Guarantee pp. 57-80

Yong Chen

Truncated Dantzig–Wolfe Decomposition for a Class of Constrained Variational Inequality Problems pp. 81-104

William Chung

Explore the Impact Mechanism of Block Chain Technology on China's Carbon Market pp. 105-135

Hanghang Dong, Jun Yang, Xiaoming Li and Lan Xu

Multi-regression Forecast in Stochastic Chaos pp. 137-160

Alexander Musaev, Andrey Makshanov and Dmitry Grigoriev

Understanding Dividend Puzzle Using Machine Learning pp. 161-179

Codruț-Florin Ivașcu

Reference Vector-Based Multiobjective Clustering Ensemble Approach for Time Series Forecasting pp. 181-210

Chao Liu, Fengfeng Gao, Mengwan Zhang, Yuanrui Li and Cun Qian

An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials pp. 211-224

Y. Esmaeelzade Aghdam, H. Mesgarani, A. Amin and J. F. Gómez-Aguilar

Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research pp. 225-262

Efstathios Polyzos and Costas Siriopoulos

Accuracy in Recursive Minimal State Space Methods pp. 263-305

Damian Pierri

Predicting Firm Financial Performance from SEC Filing Changes Using Automatically Generated Dictionary pp. 307-334

Aparna Gupta, Vipula Rawte and Mohammed J. Zaki

Benchmark Analysis of Machine Learning Methods to Forecast the U.S. Annual Inflation Rate During a High-Decile Inflation Period pp. 335-375

Rama K. Malladi

Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil pp. 377-409

Guilherme Schultz Lindenmeyer and Hudson Silva Torrent

After the Split: Market Efficiency of Bitcoin Cash pp. 411-427

Hyeonoh Kim, Eojin Yi, Jooyoung Jeon, Taeyoung Park and Kwangwon Ahn

The Relationship Between Non-additivity Valuations, Cash Flows and Sales Growth pp. 429-459

Maryam Eghbal, Farzaneh Nassirzadeh and Davood Askarany

Incremental Data Envelopment Analysis Model and Applications in Sustainable Efficiency Evaluation pp. 461-486

Ai-bing Ji, Bo-wen Wei and Yi-yi Ma

Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data pp. 487-513

Rangan Gupta, Sayar Karmakar and Christian Pierdzioch

Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options pp. 515-550

S. Sapna and Biju R. Mohan

Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure pp. 551-577

Chunhui Xu and Yinyu Ye

Housing GANs: Deep Generation of Housing Market Data pp. 579-594

Bilgi Yilmaz

A Review of Generalized Hyperbolic Distributions pp. 595-624

Xiao Jiang, Saralees Nadarajah and Thomas Hitchen