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Report NEP-CMP-2022-09-26
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:
- Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022, "Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model," Papers, arXiv.org, number 2208.14207, Aug.
- Zheng Cao & Wenyu Du & Kirill V. Golubnichiy, 2022, "Application of Convolutional Neural Networks with Quasi-Reversibility Method Results for Option Forecasting," Papers, arXiv.org, number 2208.14385, Aug, revised Dec 2022.
- Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022, "High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach," Papers, arXiv.org, number 2208.13654, Aug.
- Taylan Kabbani & Ekrem Duman, 2022, "Deep Reinforcement Learning Approach for Trading Automation in The Stock Market," Papers, arXiv.org, number 2208.07165, Jul.
- Ricard Durall, 2022, "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers, arXiv.org, number 2208.07158, Jul.
- Theis Ingerslev Jensen & Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2022, "Machine Learning and the Implementable Efficient Frontier," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-63, Aug.
- James T. E. Chapman & Ajit Desai, 2022, "Macroeconomic Predictions using Payments Data and Machine Learning," Papers, arXiv.org, number 2209.00948, Sep.
- S'andor Kuns'agi-M'at'e & G'abor F'ath & Istv'an Csabai & G'abor Moln'ar-S'aska, 2022, "Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks," Papers, arXiv.org, number 2208.14038, Aug, revised Dec 2022.
- Peter B. Dixon & Maureen T. Rimmer, 2022, "Introducing the effects of foreign direct investment into the GTAP-GAC model," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-333, Aug.
- Jaydip Sen & Arpit Awad & Aaditya Raj & Gourav Ray & Pusparna Chakraborty & Sanket Das & Subhasmita Mishra, 2022, "Stock Performance Evaluation for Portfolio Design from Different Sectors of the Indian Stock Market," Papers, arXiv.org, number 2208.07166, Jul.
- Angun, Ebru & Kleijnen, Jack, 2022, "Constrained Optimization in Random Simulation : Efficient Global Optimization and Karush-Kuhn-Tucker Conditions," Discussion Paper, Tilburg University, Center for Economic Research, number 2022-022.
- Henri Arno & Klaas Mulier & Joke Baeck & Thomas Demeester, 2022, "Next-Year Bankruptcy Prediction from Textual Data: Benchmark and Baselines," Papers, arXiv.org, number 2208.11334, Aug.
- Samuel Palmer & Konstantinos Karagiannis & Adam Florence & Asier Rodriguez & Roman Orus & Harish Naik & Samuel Mugel, 2022, "Financial Index Tracking via Quantum Computing with Cardinality Constraints," Papers, arXiv.org, number 2208.11380, Aug.
- Jun Lu & Danny Ding, 2022, "A Hybrid Approach on Conditional GAN for Portfolio Analysis," Papers, arXiv.org, number 2208.07159, Jul.
- Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022, "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 30366, Aug.
- Müller, Henrik & Rieger, Jonas & Schmidt, Tobias & Hornig, Nico, 2022, "An increasing sense of urgency: The Inflation Perception Indicator (IPI) to 30 June 2022 - a research note," DoCMA Working Papers, TU Dortmund University, Dortmund Center for Data-based Media Analysis (DoCMA), number 12, DOI: 10.17877/DE290R-22875.
- Yoonsik Hong & Yanghoon Kim & Jeonghun Kim & Yongmin Choi, 2022, "Index Tracking via Learning to Predict Market Sensitivities," Papers, arXiv.org, number 2209.00780, Sep, revised Dec 2022.
- Ercio Munoz, 2022, "Distributional analysis using microsimulations in Stata," 2022 Stata Conference, Stata Users Group, number 12, Aug.
- Sojung Kim & Marcel Kleiber & Stefan Weber, 2022, "Microscopic Traffic Models, Accidents, and Insurance Losses," Papers, arXiv.org, number 2208.12530, Aug, revised Nov 2023.
- Angarita, Juan Sebastián & Sandoval, Carlos, 2022, "Herramientas para el modelamiento y la simulación de tendencias futuras en el área de la movilidad urbana," Documentos de Proyectos, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 48001, Jul.
- Artés, Joaquín & Kaufman, Aaron Russell & Richter, Brian Kelleher & Timmons, Jeffrey F., 2022, "Are Firms Gerrymandered?," Working Papers, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State, number 320.
- Pieter Van Rymenant & Freddy Heylen & Dirk Van de gaer, 2022, "On the macroeconomic and distributional effects of federal estate tax reforms in the United States," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 22/1052, Sep.
- Kleijnen, Jack & van Nieuwenhuyse, I. & van Beers, W.C.M., 2022, "Constrained Optimization in Simulation : Efficient Global Optimization and Karush-Kuhn-Tucker Conditions," Other publications TiSEM, Tilburg University, School of Economics and Management, number 903e51c8-bed3-4e97-990f-c.