Report NEP-CMP-2020-08-31

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:

• Alexandre Carbonneau, 2020, "Deep Hedging of Long-Term Financial Derivatives," Papers, arXiv.org, number 2007.15128, Jul.
• Linwei Hu & Jie Chen & Joel Vaughan & Hanyu Yang & Kelly Wang & Agus Sudjianto & Vijayan N. Nair, 2020, "Supervised Machine Learning Techniques: An Overview with Applications to Banking," Papers, arXiv.org, number 2008.04059, Jul.
• Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2019, "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Post-Print, HAL, number hal-02909207, DOI: 10.1080/14697688.2018.1524155.
• Runshan Fu & Yan Huang & Param Vir Singh, 2020, "Crowd, Lending, Machine, and Bias," Papers, arXiv.org, number 2008.04068, Jul.
• Omid Safarzadeh, 2020, "Generating Trading Signals by ML algorithms or time series ones?," Papers, arXiv.org, number 2007.11098, Jul.
• Hao Tang & Anurag Pal & Lu-Feng Qiao & Tian-Yu Wang & Jun Gao & Xian-Min Jin, 2020, "Quantum Computation for Pricing the Collateralized Debt Obligations," Papers, arXiv.org, number 2008.04110, Aug, revised Apr 2021.
• Tetsuya Kaji & Elena Manresa & Guillaume Pouliot, 2020, "An Adversarial Approach to Structural Estimation," Papers, arXiv.org, number 2007.06169, Jul, revised Oct 2022.
• Monica Azqueta-Gavaldon & Gonzalo Azqueta-Gavaldon & Inigo Azqueta-Gavaldon & Andres Azqueta-Gavaldon, 2020, "Developing a real estate yield investment deviceusing granular data and machine learning," Papers, arXiv.org, number 2008.02629, Jun.
• Juri Hinz & Igor Grigoryev & Alexander Novikov, 2020, "An Application of High-Dimensional Statistics to Predictive Modeling of Grade Variability," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 407, Mar.
• Steen Nielsen, 2020, "Management accounting and the idea of machine learning," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2020-09, Aug.
• Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2019, "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Post-Print, HAL, number hal-02909342, DOI: 10.21314/JCF.2019.368.
• Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière, 2020, "Health-policyholder clustering using health consumption," Post-Print, HAL, number hal-02156058.
• Marc Chataigner & St'ephane Cr'epey & Matthew Dixon, 2020, "Deep Local Volatility," Papers, arXiv.org, number 2007.10462, Jul.
• Xue-Zhong He & Shen Lin, 2019, "Reinforcement Learning in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 403, Feb.
• Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2020, "Macroeconomic Data Transformations Matter," CIRANO Working Papers, CIRANO, number 2020s-42, Aug.
• Andrii Babii & Ryan T. Ball & Eric Ghysels & Jonas Striaukas, 2020, "Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application," Papers, arXiv.org, number 2008.03600, Aug, revised Nov 2021.
• Hainaut, Donatien & Denuit, Michel, 2020, "Wavelet-based feature-engineering for mortality projection," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020001, Jan.
• Hainaut, Donatien & Denuit, Michel, 2019, "Wavelet-based feature-engineering for mortality projection," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019026, Jan.
• Leluc, Remi & Portier, Francois & Segers, Johan, 2019, "Control variate selection for Monte Carlo integration," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019015, Jan.
• Aart Gerritsen & Bas Jacobs & Alexandra Victoria Rusu & Kevin Spiritus, 2020, "Optimal Taxation of Capital Income with Heterogeneous Rates of Return," CESifo Working Paper Series, CESifo, number 8395.
• Kristoffer Persson, 2020, "Economic Reality, Economic Media and Individuals' Expectations," Papers, arXiv.org, number 2007.13823, Jul.
• Daniel Wochner, 2020, "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 20-472, May, DOI: 10.3929/ethz-b-000399304.
• Ohdoi, Ryoji, 2020, "Financial Shocks to Banks, R&D Investment, and Recessions," MPRA Paper, University Library of Munich, Germany, number 101993, Jul.
• Szekeres, Szabolcs, 2020, "Checking the Evidence for Declining Discount Rates," MPRA Paper, University Library of Munich, Germany, number 102233, Aug.

Report NEP-CMP-2020-08-31

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: