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Report NEP-CMP-2020-05-11
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:
- Brian Huge & Antoine Savine, 2020, "Differential Machine Learning," Papers, arXiv.org, number 2005.02347, May, revised Sep 2020.
- Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020, "Neural Networks and Value at Risk," Papers, arXiv.org, number 2005.01686, May, revised May 2020.
- Lucio Fernandez-Arjona, 2020, "A neural network model for solvency calculations in life insurance," Papers, arXiv.org, number 2005.02318, May.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020, "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers, arXiv.org, number 2005.02633, May, revised Dec 2022.
- Lucio Fernandez Arjona & Damir Filipović, 2020, "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-28, Apr.
- Roy Gernhardt & Bjorn Persson, 2020, "On the Equivalence of Neural and Production Networks," Papers, arXiv.org, number 2005.00510, May, revised Mar 2021.
- Sidra Mehtab & Jaydip Sen, 2020, "A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models," Papers, arXiv.org, number 2004.11697, Apr, revised May 2021.
- Johannes Ruf & Weiguan Wang, 2020, "Hedging with Linear Regressions and Neural Networks," Papers, arXiv.org, number 2004.08891, Apr, revised Jun 2021.
- Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020, "A generative adversarial network approach to calibration of local stochastic volatility models," Papers, arXiv.org, number 2005.02505, May, revised Sep 2020.
- Lucio Fernandez-Arjona & Damir Filipovi'c, 2020, "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Papers, arXiv.org, number 2004.14149, Apr, revised May 2022.
- Humayra Shoshi & Indranil SenGupta, 2020, "Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model," Papers, arXiv.org, number 2004.14862, Apr, revised Feb 2021.
- Michael Roberts & Indranil SenGupta, 2020, "Sequential hypothesis testing in machine learning, and crude oil price jump size detection," Papers, arXiv.org, number 2004.08889, Apr, revised Dec 2020.
- Dimitris Korobilis & Davide Pettenuzzo, 2020, "Machine Learning Econometrics: Bayesian algorithms and methods," Papers, arXiv.org, number 2004.11486, Apr.
- Carlo Baldassi & Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Marco Pirazzini, 2020, "Multialternative Neural Decision Processes," Papers, arXiv.org, number 2005.01081, May, revised May 2021.
- Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020, "Interbank risk assessment: A simulation approach," Discussion Papers, Deutsche Bundesbank, number 23/2020.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2020, "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/20.
- Misha van Beek, 2020, "Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation," Papers, arXiv.org, number 2004.09042, Apr.
- Ruda Zhang & Patrick Wingo & Rodrigo Duran & Kelly Rose & Jennifer Bauer & Roger Ghanem, 2020, "Environmental Economics and Uncertainty: Review and a Machine Learning Outlook," Papers, arXiv.org, number 2004.11780, Apr.
- Lesly Cassin & Paolo Melindi-Ghidi & Fabien Prieur, 2020, "Confronting climate change: Adaptation vs. migration strategies in Small Island Developing States," CEE-M Working Papers, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro, number hal-02515116.
- Manuel Nunes & Enrico Gerding & Frank McGroarty & Mahesan Niranjan, 2020, "Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box," Papers, arXiv.org, number 2005.02217, May.
- Jackie Jianhong Shen, 2020, "A Stochastic LQR Model for Child Order Placement in Algorithmic Trading," Papers, arXiv.org, number 2004.13797, Apr.
- Frederik Priem & Philip Stessens & Frank Canters, 2020, "Microsimulation of residential activity for alternative urban development scenarios: A case study on brussels and flemish brabant," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/305003, Mar.
- Grogger, Jeffrey & Ivandic, Ria & Kirchmaier, Thomas, 2020, "Comparing conventional and machine-learning approaches to risk assessment in domestic abuse cases," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104159, Feb.
- Takuya Obara & Yoshitomo Ogawa, 2020, "Optimal Taxation in an Endogenous Fertility Model with Non-Cooperative Couples," Discussion Paper Series, School of Economics, Kwansei Gakuin University, number 211, May, revised Jan 2021.
- Makarov, Vladimir & Stouch, Terry & Allgood, Brandon & Willis, Christopher & Lynch, Nick, 2020, "Best Practices for Artificial Intelligence in Life Sciences Research," OSF Preprints, Center for Open Science, number eqm9j, Apr, DOI: 10.31219/osf.io/eqm9j.
- Dang, Chuangyin & Herings, P. Jean-Jacques & Li, Peixuan, 2020, "An Interior-Point Path-Following Method to Compute Stationary Equilibria in Stochastic Games," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 001, Feb, DOI: 10.26481/umagsb.2020001.
- Agostinelli, Francesco & Doepke, Matthias & Sorrenti, Giuseppe & Zilibotti, Fabrizio, 2020, "It Takes a Village: The Economics of Parenting with Neighborhood and Peer Effects," IZA Discussion Papers, IZA Network @ LISER, number 13161, Apr.
- Eric Kemp-Benedict, 2020, "Macroeconomic impacts of the public health response to COVID-19," Working Papers, Post Keynesian Economics Society (PKES), number PKWP2011, May.
- Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf, 2019, "Permutation Tests for Comparing Inequality Measures," Post-Print, HAL, number hal-02172793, Jul, DOI: 10.1080/07350015.2017.1371027.
- Adam Pigoñ & Micha³ Ramsza, 2019, "A comparison of Swiss, German and Polish fiscal rules using Monte Carlo simulations," IBS Working Papers, Instytut Badan Strukturalnych, number 10/2019, Nov.
- Elliot Anenberg & Daniel R. Ringo, 2019, "The Propagation of Demand Shocks Through Housing Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-084, Dec, DOI: 10.17016/FEDS.2019.084.
- Thomas von Brasch & Ådne Cappelen & Håvard Hungnes & Terje Skjerpen, 2020, "Modeling R&D spillovers to productivity. The effects of tax policy," Discussion Papers, Statistics Norway, Research Department, number 927, Apr.
- Tian Guo & Nicolas Jamet & Valentin Betrix & Louis-Alexandre Piquet & Emmanuel Hauptmann, 2020, "ESG2Risk: A Deep Learning Framework from ESG News to Stock Volatility Prediction," Papers, arXiv.org, number 2005.02527, May.
- Soete, Luc & Verspagen, Bart & Ziesemer, Thomas, 2020, "The economic impact of public R&D: an international perspective," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2020-014, Apr.
- Poppius, Hampus, 2020, "Multimarket Contact and Collusion in Online Retail," Working Papers, Lund University, Department of Economics, number 2020:5, Apr.
- Breda, Thomas & Grenet, Julien & Monnet, Marion & Van Effenterre, Clémentine, 2020, "Do Female Role Models Reduce the Gender Gap in Science? Evidence from French High Schools," IZA Discussion Papers, IZA Network @ LISER, number 13163, Apr.