Report NEP-CMP-2019-12-16

This is the archive for NEP-CMP, a report on new working papers in the area of Computational Economics. Stanley Miles issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-CMP

The following items were announced in this report:

• Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019, "Neural network for pricing and universal static hedging of contingent claims," Papers, arXiv.org, number 1911.11362, Nov.
• Ali Al-Aradi & Adolfo Correia & Danilo de Frietas Naiff & Gabriel Jardim & Yuri Saporito, 2019, "Extensions of the Deep Galerkin Method," Papers, arXiv.org, number 1912.01455, Nov, revised Apr 2022.
• Svitlana Vyetrenko & David Byrd & Nick Petosa & Mahmoud Mahfouz & Danial Dervovic & Manuela Veloso & Tucker Hybinette Balch, 2019, "Get Real: Realism Metrics for Robust Limit Order Book Market Simulations," Papers, arXiv.org, number 1912.04941, Dec.
• Tao Chen & Michael Ludkovski, 2019, "A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging," Papers, arXiv.org, number 1912.00244, Nov, revised May 2020.
• Omer Berat Sezer & Mehmet Ugur Gudelek & Ahmet Murat Ozbayoglu, 2019, "Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019," Papers, arXiv.org, number 1911.13288, Nov.
• Michael Drexl, 2018, "On the One-to-One Pickup-and-Delivery Problem with Time Windows and Trailers," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 1816, Oct.
• Koichi Miyamoto & Kenji Shiohara, 2019, "Reduction of Qubits in Quantum Algorithm for Monte Carlo Simulation by Pseudo-random Number Generator," Papers, arXiv.org, number 1911.12469, Nov, revised Aug 2020.
• Fall, Cheickh Sadibou & Fofana, Ismaël & Traoré, Fousseini, , "Economy-Wide Effects of Agriculture Technology Innovations in Burkina Faso," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 298421, DOI: 10.22004/ag.econ.298421.
• Dramsch, Jesper Sören & Corte, Gustavo & Amini, Hamed & Lüthje, Mikael & MacBeth, Colin, 2019, "Deep Learning Application for 4D Pressure Saturation Inversion Compared to Bayesian Inversion on North Sea Data," Earth Arxiv, Center for Open Science, number zytp2, Feb, DOI: 10.31219/osf.io/zytp2.
• Yinheng Li & Junhao Wang & Yijie Cao, 2019, "A General Framework on Enhancing Portfolio Management with Reinforcement Learning," Papers, arXiv.org, number 1911.11880, Nov, revised Oct 2023.
• Timo Gschwind & Nicola Bianchessi & Stefan Irnich, 2018, "Stabilized Branch-Price-and-Cut for the Commodity-constrained Split Delivery Vehicle Routing Problem," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 1817, Oct.
• Hongshan Li & Zhongyi Huang, 2019, "Artificial boundary method for the solution of pricing European options under the Heston model," Papers, arXiv.org, number 1912.00691, Dec.
• Christoph Böhringer & Knut Einar Rosendahl & Halvor Briseid Storrøsten, 2019, "Smart hedging against carbon leakage," Discussion Papers, Statistics Norway, Research Department, number 920, Nov.
• Shaogao Lv & Yongchao Hou & Hongwei Zhou, 2019, "Financial Market Directional Forecasting With Stacked Denoising Autoencoder," Papers, arXiv.org, number 1912.00712, Dec.
• Ludovic Mathys, 2019, "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers, arXiv.org, number 1912.00454, Dec.
• Schnaubelt, Matthias, 2019, "A comparison of machine learning model validation schemes for non-stationary time series data," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 11/2019.
• Bernhard Hientzsch, 2019, "Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning," Papers, arXiv.org, number 1911.12231, Nov.
• Andrew Schaug & Harish Chandra, 2019, "On unbiased simulations of stochastic bridges conditioned on extrema," Papers, arXiv.org, number 1911.10972, Nov, revised Nov 2019.
• Noacco, Valentina & Sarrazin, Fanny & Pianosi, Francesca & Wagener, Thorsten, 2019, "Matlab/R workflows to assess critical choices in Global Sensitivity Analysis using the SAFE toolbox," Earth Arxiv, Center for Open Science, number pu83z, Apr, DOI: 10.31219/osf.io/pu83z.
• Sithanonxay SUVANNAPHAKDY & Toshihisa TOYODA, 2019, "Assessing the Fiscal Impact of Trade Liberalization in Laos: A General Equilibrium Approach," GSICS Working Paper Series, Graduate School of International Cooperation Studies, Kobe University, number 34, Sep.
• Gribling, Sander, 2019, "Applications of optimization to factorization ranks and quantum information theory," Other publications TiSEM, Tilburg University, School of Economics and Management, number 5c681ab9-2344-4a07-b818-f.
• Dramsch, Jesper Sören & Christensen, Anders Nymark & MacBeth, Colin & Lüthje, Mikael, 2019, "Deep Unsupervised 4D Seismic 3D Time-Shift Estimation with Convolutional Neural Networks," Earth Arxiv, Center for Open Science, number 82bnj, Oct, DOI: 10.31219/osf.io/82bnj.
• Ehsan Hoseinzade & Saman Haratizadeh & Arash Khoeini, 2019, "U-CNNpred: A Universal CNN-based Predictor for Stock Markets," Papers, arXiv.org, number 1911.12540, Nov.
• Pierre Boulanger & Emanuele Ferrari & Alfredo Mainar Causape & Martina Sartori & Mohammed Beshir & Kidanemariam Hailu & Solomon Tsehay, 2019, "Policy Options to support the Rural Job Opportunity Creation Strategy in Ethiopia," JRC Research Reports, Joint Research Centre, number JRC117916, Nov.
• Ukpe, U.H. & Djomo, C.R.F. & Olayiwola, S.A. & Gama, E.N., 2019, "Will public external debt and private investment sustain agricultural growth in Nigeria? A Monte Carlo simulation approach," 2019 Sixth International Conference, September 23-26, 2019, Abuja, Nigeria, African Association of Agricultural Economists (AAAE), number 295741, Sep, DOI: 10.22004/ag.econ.295741.
• Niccolò Zaccaria, 2019, "Does Money Illusion Matter? A Theoretical and Computational Model," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2019_25.rdf.
• Mariano Zeron-Medina Laris & Ignacio Ruiz, 2019, "Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique," Papers, arXiv.org, number 1911.10948, Nov, revised Dec 2020.
• Indranil SenGupta & William Nganje & Erik Hanson, 2019, "Refinements of Barndorff-Nielsen and Shephard model: an analysis of crude oil price with machine learning," Papers, arXiv.org, number 1911.13300, Nov, revised Mar 2020.
• Peter C.B. Phillips & Zhentao Shi, 2019, "Boosting: Why you Can Use the HP Filter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2212, Dec.
• Christophe Hurlin & Christophe Pérignon, 2019, "Machine Learning et nouvelles sources de données pour le scoring de crédit," Working Papers, HAL, number halshs-02377886, Nov.
• Ludovic Mathys, 2019, "Valuing Tradeability in Exponential L\'evy Models," Papers, arXiv.org, number 1912.00469, Dec, revised Feb 2020.
• Bart Thijs, 2019, "Paragraph-based intra- and inter- document similarity using neural vector paragraph embeddings," Working Papers of ECOOM - Centre for Research and Development Monitoring, KU Leuven, Faculty of Economics and Business (FEB), ECOOM - Centre for Research and Development Monitoring, number 633963, Feb.
• Guzman, Jorge & Li, Aishen, 2019, "Measuring Founding Strategy," SocArXiv, Center for Open Science, number 7cvge, Nov, DOI: 10.31219/osf.io/7cvge.

Report NEP-CMP-2019-12-16

This is the archive for NEP-CMP, a report on new working papers in the area of Computational Economics. Stanley Miles issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-CMP

The following items were announced in this report: