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Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities Comput. Econ. (IF 2.0) Pub Date : 2024-03-16 Luca Gori, Francesco Purificato, Mauro Sodini
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Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context Comput. Econ. (IF 2.0) Pub Date : 2024-03-16 Jie Cheng
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Estimation of Models for Stock Returns Comput. Econ. (IF 2.0) Pub Date : 2024-03-15
Abstract Composite distributions where volatility itself is assumed to be a random variable have been used to model stock returns. In this paper, we give details of estimation of these composite distributions when the volatility is assumed to follow an arbitrary distribution and the conditional distribution of stock returns given the volatility follows one of normal, Laplace, uniform, Student’s t,
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Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models Comput. Econ. (IF 2.0) Pub Date : 2024-03-15 Tingting Sun, Haoyuan Wang, Donglin Wang
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Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis Comput. Econ. (IF 2.0) Pub Date : 2024-03-13 Guglielmo Maria Caporale, José Javier de Dios Mazariegos, Luis A. Gil-Alana
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Monetary Policy and the Evolution of Wealth Disparity: An Assessment Using US Survey of Consumer Finance Data Comput. Econ. (IF 2.0) Pub Date : 2024-03-11 Damien Nicholas Parker, Willi Semmler
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Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets Comput. Econ. (IF 2.0) Pub Date : 2024-03-05 Cathy W. S. Chen, Cindy T. H. Chien
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Trading Signal Survival Analysis: A Framework for Enhancing Technical Analysis Strategies in Stock Markets Comput. Econ. (IF 2.0) Pub Date : 2024-03-05
Abstract Algorithmic trading is one important financial area of interest to both academic and industrial researchers. With the development of machine learning and deep learning, all kinds of models and techniques are utilized in algorithmic trading. This paper proposes a novel framework for enhancing stock technical analysis strategies by survival analysis. The main idea is to integrate an existing
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Developing Hybrid Deep Learning Models for Stock Price Prediction Using Enhanced Twitter Sentiment Score and Technical Indicators Comput. Econ. (IF 2.0) Pub Date : 2024-03-04
Abstract In recent years, there has been growing interest in using deep learning methods to improve the accuracy of stock price prediction, which has always been challenging due to the unpredictable nature of the market. This paper introduces two new hybrid deep learning-based models, named “En-Tweet-Deep-SMF” and “En-Tweet-Hib-SMF,” that combine effective strategies to enhance stock price prediction
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Forecasting House Prices through Credit Conditions: A Bayesian Approach Comput. Econ. (IF 2.0) Pub Date : 2024-03-04
Abstract As housing development and housing market policies involve many long-term decisions, improving house price predictions could benefit the functioning of the housing market. Therefore, in this paper, we investigate how house price predictions can be improved. In particular, the merits of Bayesian estimation techniques in enhancing house price predictions are examined in this study. We compare
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Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error Comput. Econ. (IF 2.0) Pub Date : 2024-03-02 Deepak Kumar Yadav, Akanksha Bhardwaj, Alpesh Kumar
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Market Ecology: Trading Strategies and Market Volatility Comput. Econ. (IF 2.0) Pub Date : 2024-03-02 Kun Xing, Honggang Li
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Engineering Optimal Cooperation Levels with Prosocial Autonomous Agents in Hybrid Human-Agent Populations: An Agent-Based Modeling Approach Comput. Econ. (IF 2.0) Pub Date : 2024-02-29
Abstract The evolution of cooperation in social interactions remains a central topic in interdisciplinary research, often drawing debates on altruistic versus self-regarding preferences. Moving beyond these debates, this study investigates how autonomous agents (AAs) with a range of social preferences interact with human players in one-shot, anonymous prisoner’s dilemma games. We explore whether AAs
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Asymptotic Dynamics in a Multi-market Delayed Cobweb Model Comput. Econ. (IF 2.0) Pub Date : 2024-02-28 Akio Matsumoto, Ferenc Szidarovszky
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Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach Comput. Econ. (IF 2.0) Pub Date : 2024-02-27 Amar Rao, Marco Tedeschi, Kamel Si Mohammed, Umer Shahzad
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Prediction of Precious Metal Index Based on Ensemble Learning and SHAP Interpretable Method Comput. Econ. (IF 2.0) Pub Date : 2024-02-21 Yanbo Zhang, Mengkun Liang, Haiying Ou
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Forecasting Bank Failure in the U.S.: A Cost-Sensitive Approach Comput. Econ. (IF 2.0) Pub Date : 2024-02-19 Aykut Ekinci, Safa Sen
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Option Pricing and Local Volatility Surface by Physics-Informed Neural Network Comput. Econ. (IF 2.0) Pub Date : 2024-02-17
Abstract We use an artificial neural network for finance in two directions: to estimate prices and Greeks based on the geometric Brownian motion and the constant elasticity of variance model for European options, and to construct a local volatility surface. To show the efficiency and successful usage of the network, we compare prices and Greeks obtained by a solution formula and by the artificial neural
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Scoring Six Detrending Methods on Timing, Lead-Lag Relations, and Cycle Periods: An Empirical Study of US and UK Recessions 1977–2020 Comput. Econ. (IF 2.0) Pub Date : 2024-02-16
Abstract This study evaluates six commonly used detrending methods and discuss how detrending may change the timing of events, the identification of lead-lag relations between GDP and employment, and the identification of cycle periods. The detrending methods examined includes linear detrending, polynomial detrending, the first-order differencing, locally weighted scatterplot smoothing (LOESS), Hodrick–Prescott
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Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model Comput. Econ. (IF 2.0) Pub Date : 2024-02-16 Tian-Shyr Dai, Bo-Jen Chen, You-Jia Sun, Dong-Yuh Yang, Mu-En Wu
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Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study Comput. Econ. (IF 2.0) Pub Date : 2024-02-14 Sharif Mozumder, Mohammad Zoynul Abedin, Raad Lalon, Amjad Hossain
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Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model Comput. Econ. (IF 2.0) Pub Date : 2024-02-13
Abstract We propose a simple agent-based version of Paul de Grauwe’s chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator’s choice between these two trading philosophies depends on his individual assessment of current market circumstances. Our agent-based model setup is able to explain a number of important
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Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization Comput. Econ. (IF 2.0) Pub Date : 2024-02-12
Abstract We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it can be expressed as a difference of two functions. The first term is the composition of a convex function with concave arguments and the second term a
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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 Comput. Econ. (IF 2.0) Pub Date : 2024-02-07 Anamika Gupta, Gaurav Pandey, Rajan Gupta, Smaran Das, Ajmera Prakash, Kartik Garg, Shreyan Sarkar
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Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index Comput. Econ. (IF 2.0) Pub Date : 2024-02-06 Ozan Evkaya, İsmail Gür, Bükre Yıldırım Külekci, Gülden Poyraz
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Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model Comput. Econ. (IF 2.0) Pub Date : 2024-02-04 Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao, Emma En-Tze Chang
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Increasing the Hong Kong Stock Market Predictability: A Temporal Convolutional Network Approach Comput. Econ. (IF 2.0) Pub Date : 2024-02-02 Shun Chen, Lingling Guo, Lei Ge
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Learning Bermudans Comput. Econ. (IF 2.0) Pub Date : 2024-02-01 Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti, Marco Scaringi
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A General Inferential Framework for Singly-Truncated Bivariate Normal Models with Applications in Economics Comput. Econ. (IF 2.0) Pub Date : 2024-01-22 Yin Liu, Guo-Liang Tian, Chi Zhang, Hong Qin
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Determinants of Nonperforming Loans: A Global Data Analysis Comput. Econ. (IF 2.0) Pub Date : 2024-01-18 MBelen Salas, Prosper Lamothe, Enrique Delgado, Angel L. Fernández-Miguélez, Lucia Valcarce
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Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework Comput. Econ. (IF 2.0) Pub Date : 2024-01-16
Abstract In this paper, we propose a complex return scenario generation process that can be incorporated into portfolio selection problems. In particular, we assume that returns follow the ARMA–GARCH model with stable-distributed and skewed t-copula dependent residuals. Since the portfolio selection problem is large-scale, we apply the multifactor model with a parametric regression and a nonparametric
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Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach Comput. Econ. (IF 2.0) Pub Date : 2024-01-15 L. L. B. Miranda, L. S. Lima
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Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage Comput. Econ. (IF 2.0) Pub Date : 2024-01-13 Miklesh Yadav, Sabia Tabassum, Anas Ali AlQudah, Manaf Al-Okaily, Myriam Aloulou, Nikola Stakic, Marcos Santos
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A Novel Window Analysis and Its Application to Evaluating High-Frequency Trading Strategies Comput. Econ. (IF 2.0) Pub Date : 2024-01-13 Ha Che-Ngoc, Thach Nguyen-Ngoc, Thao Nguyen-Trang
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The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins Comput. Econ. (IF 2.0) Pub Date : 2024-01-10 Mahmut Bağcı, Pınar Kaya Soylu, Selçuk Kıran
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Two-Population Evolutionary Oligopoly with Partial Cooperation and Partial Hostility Comput. Econ. (IF 2.0) Pub Date : 2024-01-10 F. Lamantia, D. Radi, T. Tichy
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Combining Feature Selection and Classification Using LASSO-Based MCO Classifier for Credit Risk Evaluation Comput. Econ. (IF 2.0) Pub Date : 2024-01-08 Xiufang Li, Zhiwang Zhang, Lingyun Li, Hui Pan
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Feature Selection and Hyperparameters Optimization Employing a Hybrid Model Based on Genetic Algorithm and Artificial Neural Network: Forecasting Dividend Payout Ratio Comput. Econ. (IF 2.0) Pub Date : 2024-01-05
Abstract Among the most crucial factors that should be considered in the fundamental decision-making processes of companies is dividend policy. All market participants pay close attention to the decision of how much profit should be given or kept, as well as the assessment of the either the direct or indirect variables influencing the dividend that should be delivered, in order to maximize the shareholder’s
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Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model Comput. Econ. (IF 2.0) Pub Date : 2024-01-02 Yanyu Guo, Zhicheng Zhang, Jizu Li, Huayun Du
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Cryptocurrency Exchange Simulation Comput. Econ. (IF 2.0) Pub Date : 2024-01-02 Kirill Mansurov, Alexander Semenov, Dmitry Grigoriev, Andrei Radionov, Rustam Ibragimov
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Pricing Fade-in Options Under GARCH-Jump Processes Comput. Econ. (IF 2.0) Pub Date : 2023-12-29 Xingchun Wang, Han Zhang
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An Enterprise Multi-agent Model with Game Q-Learning Based on a Single Decision Factor Comput. Econ. (IF 2.0) Pub Date : 2023-12-28 Siying Xu, Gaoyu Zhang, Xianzhi Yuan
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Reconstructing Cryptocurrency Processes via Markov Chains Comput. Econ. (IF 2.0) Pub Date : 2023-12-24 Tanya Araújo, Paulo Barbosa
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Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy Comput. Econ. (IF 2.0) Pub Date : 2023-12-20 Jinshun Wu, Luyao Wu
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Machine Learning-Based Time Series Prediction at Brazilian Stocks Exchange Comput. Econ. (IF 2.0) Pub Date : 2023-12-20 Ana Paula dos Santos Gularte, Danusio Gadelha Guimarães Filho, Gabriel de Oliveira Torres, Thiago Carvalho Nunes da Silva, Vitor Venceslau Curtis
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Insights on the Theory of Robust Games Comput. Econ. (IF 2.0) Pub Date : 2023-12-14 G. P. Crespi, D. Radi, M. Rocca
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Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis Comput. Econ. (IF 2.0) Pub Date : 2023-12-10 Onur Özdemir, Anoop S. Kumar
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Panel Interval-Valued Data Nonlinear Regression Models and Applications Comput. Econ. (IF 2.0) Pub Date : 2023-12-06 Ai-bing Ji, Qing-qing Li, Jin-jin Zhang
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A Discourse Analysis of Tweets and Its Implications for Cryptocurrency Prices and Trade Volumes Comput. Econ. (IF 2.0) Pub Date : 2023-12-02 Kamyr Gomes de Souza, Flavio Barboza, Daniel Vitor Tartari Garruti
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High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets Comput. Econ. (IF 2.0) Pub Date : 2023-12-02 David Alaminos, María Belén Salas, Manuel A. Fernández-Gámez
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Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets Comput. Econ. (IF 2.0) Pub Date : 2023-11-30 Walid Mensi, Salem Adel Ziadat, Xuan Vinh Vo, Sang Hoon Kang
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Non-linear Cointegration Test, Based on Record Counting Statistic Comput. Econ. (IF 2.0) Pub Date : 2023-11-27 Lynda Atil, Hocine Fellag, Ana E. Sipols, M. T. Santos-Martín, Clara Simón de Blas
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Estimating Income Distributions From Grouped Data: A Minimum Quantile Distance Approach Comput. Econ. (IF 2.0) Pub Date : 2023-11-15 Tsvetana Spasova
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Inflation Targeting Regimes in Emerging Market Economies: To Invest or Not to Invest? Comput. Econ. (IF 2.0) Pub Date : 2023-11-15 Douglas Silveira, Ricardo B. L. M. Oscar
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The Finite Sample Performance of Instrumental Variable-Based Estimators of the Local Average Treatment Effect When Controlling for Covariates Comput. Econ. (IF 2.0) Pub Date : 2023-11-14 Hugo Bodory, Martin Huber, Michael Lechner
This paper investigates the finite sample performance of a range of parametric, semi-parametric, and non-parametric instrumental variable estimators when controlling for a fixed set of covariates to evaluate the local average treatment effect. Our simulation designs are based on empirical labor market data from the US and vary in several dimensions, including effect heterogeneity, instrument selectivity
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COVID-19 and REITs Crash: Predictability and Market Conditions Comput. Econ. (IF 2.0) Pub Date : 2023-11-09 Kwangwon Ahn, Hanwool Jang, Jinu Kim, Inug Ryu
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Machine Learning Solutions for Fast Real Estate Derivatives Pricing Comput. Econ. (IF 2.0) Pub Date : 2023-11-09 Peiwei Cao, Xubiao He
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An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options Comput. Econ. (IF 2.0) Pub Date : 2023-11-08 Anshima Singh, Sunil Kumar
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A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms Comput. Econ. (IF 2.0) Pub Date : 2023-11-06 Tolga Omay, Aysegul Corakci