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. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-CMP

The following items were announced in this report:

• Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
• 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 2008.04059, arXiv.org.
• 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-02909207, HAL.
• Runshan Fu & Yan Huang & Param Vir Singh, 2020. "Crowd, Lending, Machine, and Bias," Papers 2008.04068, arXiv.org.
• Omid Safarzadeh, 2020. "Generating Trading Signals by ML algorithms or time series ones?," Papers 2007.11098, arXiv.org.
• 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 2008.04110, arXiv.org, revised Apr 2021.
• Tetsuya Kaji & Elena Manresa & Guillaume Pouliot, 2020. "An Adversarial Approach to Structural Estimation," Papers 2007.06169, arXiv.org, 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 2008.02629, arXiv.org.
• Juri Hinz & Igor Grigoryev & Alexander Novikov, 2020. "An Application of High-Dimensional Statistics to Predictive Modeling of Grade Variability," Research Paper Series 407, Quantitative Finance Research Centre, University of Technology, Sydney.
• Steen Nielsen, 2020. "Management accounting and the idea of machine learning," Economics Working Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
• 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-02909342, HAL.
• Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière, 2020. "Health-policyholder clustering using health consumption," Post-Print hal-02156058, HAL.
• Marc Chataigner & St'ephane Cr'epey & Matthew Dixon, 2020. "Deep Local Volatility," Papers 2007.10462, arXiv.org.
• Xue-Zhong He & Shen Lin, 2019. "Reinforcement Learning in Limit Order Markets," Research Paper Series 403, Quantitative Finance Research Centre, University of Technology, Sydney.
• Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2020. "Macroeconomic Data Transformations Matter," CIRANO Working Papers 2020s-42, CIRANO.
• Andrii Babii & Ryan T. Ball & Eric Ghysels & Jonas Striaukas, 2020. "Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application," Papers 2008.03600, arXiv.org, revised Nov 2021.
• Hainaut, Donatien & Denuit, Michel, 2020. "Wavelet-based feature-engineering for mortality projection," LIDAM Discussion Papers ISBA 2020001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Hainaut, Donatien & Denuit, Michel, 2019. "Wavelet-based feature-engineering for mortality projection," LIDAM Discussion Papers ISBA 2019026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Leluc, Remi & Portier, Francois & Segers, Johan, 2019. "Control variate selection for Monte Carlo integration," LIDAM Discussion Papers ISBA 2019015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Aart Gerritsen & Bas Jacobs & Alexandra Victoria Rusu & Kevin Spiritus, 2020. "Optimal Taxation of Capital Income with Heterogeneous Rates of Return," CESifo Working Paper Series 8395, CESifo.
• Kristoffer Persson, 2020. "Economic Reality, Economic Media and Individuals' Expectations," Papers 2007.13823, arXiv.org.
• 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 20-472, KOF Swiss Economic Institute, ETH Zurich.
• Ohdoi, Ryoji, 2020. "Financial Shocks to Banks, R&D Investment, and Recessions," MPRA Paper 101993, University Library of Munich, Germany.
• Szekeres, Szabolcs, 2020. "Checking the Evidence for Declining Discount Rates," MPRA Paper 102233, University Library of Munich, Germany.