Report NEP-CMP-2025-09-15

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:

• Paulo Andr'e Lima de Castro, 2025. "AlphaX: An AI-Based Value Investing Strategy for the Brazilian Stock Market," Papers 2508.13429, arXiv.org.
• Simon Hatzesberger & Iris Nonneman, 2025. "Advanced Applications of Generative AI in Actuarial Science: Case Studies Beyond ChatGPT," Papers 2506.18942, arXiv.org.
• Gorjian, Mahshid, 2025. "Integrating Machine Learning and Hedonic Regression for Housing Price Prediction: A Systematic International Review of Model Performance and Interpretability," MPRA Paper 125676, University Library of Munich, Germany.
• Linh Nguyen & Marcel Boersma & Erman Acar, 2025. "Detecting Fraud in Financial Networks: A Semi-Supervised GNN Approach with Granger-Causal Explanations," Papers 2507.01980, arXiv.org.
• Jakub Micha'nk'ow, 2025. "Forecasting Probability Distributions of Financial Returns with Deep Neural Networks," Papers 2508.18921, arXiv.org, revised Aug 2025.
• Shrenik Jadhav & Birva Sevak & Srijita Das & Akhtar Hussain & Wencong Su & Van-Hai Bui, 2025. "FairMarket-RL: LLM-Guided Fairness Shaping for Multi-Agent Reinforcement Learning in Peer-to-Peer Markets," Papers 2506.22708, arXiv.org.
• Chi-Sheng Chen & Xinyu Zhang & Ya-Chuan Chen, 2025. "Quantum Reinforcement Learning Trading Agent for Sector Rotation in the Taiwan Stock Market," Papers 2506.20930, arXiv.org.
• Nicholas Gray & Finn Lattimore & Kate McLoughlin & Callan Windsor, 2025. "An AI-powered Tool for Central Bank Business Liaisons: Quantitative Indicators and On-demand Insights from Firms," Papers 2506.18505, arXiv.org.
• Umberto Collodel, 2025. "Interpreting the Interpreter: Can We Model post-ECB Conferences Volatility with LLM Agents?," Papers 2508.13635, arXiv.org, revised Sep 2025.
• Fiona Xiao Jingyi & Lili Liu, 2025. "Can We Reliably Predict the Fed's Next Move? A Multi-Modal Approach to U.S. Monetary Policy Forecasting," Papers 2506.22763, arXiv.org.
• Kai-Robin Lange & Tobias Schmidt & Matthias Reccius & Henrik Muller & Michael Roos & Carsten Jentsch, 2025. "Narrative Shift Detection: A Hybrid Approach of Dynamic Topic Models and Large Language Models," Papers 2506.20269, arXiv.org.
• Mateusz Wilinski & Juho Kanniainen, 2025. "Prospects of Imitating Trading Agents in the Stock Market," Papers 2509.00982, arXiv.org.
• Alper Deniz Karakas, 2025. "The Persistent Effects of Peru's Mining MITA: Double Machine Learning Approach," Papers 2506.18947, arXiv.org.
• Ahmet Umur Ozsoy, 2025. "Distributional Reinforcement Learning on Path-dependent Options," Papers 2507.12657, arXiv.org.
• Irina G. Tanashkina & Alexey S. Tanashkin & Alexander S. Maksimchuik & Anna Yu. Poshivailo, 2025. "Modern approaches to building interpretable models of the property market using machine learning on the base of mass cadastral valuation," Papers 2506.15723, arXiv.org, revised Jul 2025.
• Boris Kriuk & Logic Ng & Zarif Al Hossain, 2025. "DeepSupp: Attention-Driven Correlation Pattern Analysis for Dynamic Time Series Support and Resistance Levels Identification," Papers 2507.01971, arXiv.org.
• Francis J. DiTraglia & Laura Liu, 2025. "Bayesian Double Machine Learning for Causal Inference," Papers 2508.12688, arXiv.org.
• Jonathan Garita-Garita & César Ulate-Sancho, 2025. "Forecasting Nominal Exchange Rate using Deep Neural Networks," Documentos de Trabajo 2505, Banco Central de Costa Rica.
• Pesce, Simone & Errico, Marco & Pollio, Luigi, 2025. "Nonlinearities and heterogeneity in firms response to aggregate fluctuations: what can we learn from machine learning?," Working Paper Series 3107, European Central Bank.
• Yating Ru & Elizabeth Tennant & David Matteson & Christopher Barrett, 2025. "Spatial Heterogeneity in Machine Learning-Based Poverty Mapping: Where Do Models Underperform?," ADB Economics Working Paper Series 798, Asian Development Bank.
• Marcelo C. Medeiros & Jeronymo M. Pinro, 2025. "Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach," Papers 2508.20795, arXiv.org.
• Ziyao Wang & Svetlozar T Rachev, 2025. "Neural L\'evy SDE for State--Dependent Risk and Density Forecasting," Papers 2509.01041, arXiv.org.
• Gabriele Agliardi & Dimitris Alevras & Vaibhaw Kumar & Roberto Lo Nardo & Gabriele Compostella & Sumit Kumar & Manuel Proissl & Bimal Mehta, 2025. "Portfolio construction using a sampling-based variational quantum scheme," Papers 2508.13557, arXiv.org.
• Ziyi Wang & Carmine Ventre & Maria Polukarov, 2025. "ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility," Papers 2508.16589, arXiv.org.
• Gorjian, Mahshid, 2025. "Statistical and Methodological Advances in Spatial Economics: A Comprehensive Review of Models, Empirical Strategies, and Policy Evaluation," MPRA Paper 125636, University Library of Munich, Germany.
• Yanlong Wang & Jian Xu & Fei Ma & Hongkang Zhang & Hang Yu & Tiantian Gao & Yu Wang & Haochen You & Shao-Lun Huang & Danny Dongning Sun & Xiao-Ping Zhang, 2025. "FinZero: Launching Multi-modal Financial Time Series Forecast with Large Reasoning Model," Papers 2509.08742, arXiv.org.
• Yushi Lin & Peng Yang, 2025. "A Decoupled LOB Representation Framework for Multilevel Manipulation Detection with Supervised Contrastive Learning," Papers 2508.17086, arXiv.org.
• Shaofeng Kang & Zeying Tian, 2025. "Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach," Papers 2508.11856, arXiv.org.
• Sebastien Gallet & Julja Prodani, 2025. "Federated Modelling: A new framework and an application to system-wide stress testing," Occasional Studies 2503, DNB.
• Jose Blanchet & Jiayi Cheng & Hao Liu & Yang Liu, 2025. "Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control," Papers 2506.19294, arXiv.org, revised Jun 2025.
• Jaime Vera-Jaramillo, 2025. "Reconstructing Subnational Labor Indicators in Colombia: An Integrated Machine and Deep Learning Approach," Papers 2508.12514, arXiv.org, revised Aug 2025.
• Matej Steinbacher & Mitja Steinbacher & Matjaz Steinbacher, 2025. "The Impact of Sequential versus Parallel Clearing Mechanisms in Agent-Based Simulations of Artificial Limit Order Book Exchanges," Papers 2509.01683, arXiv.org.
• Lee, David, 2025. "Robust Parameter Estimation for Financial Data Simulation," MPRA Paper 125703, University Library of Munich, Germany.
• Pablo de la Vega, 2025. "The European Union Deforestation Regulation: The Impact on Argentina," Papers 2508.11796, arXiv.org.
• Luis Gruber & Gregor Kastner & Anirban Bhattacharya & Debdeep Pati & Natesh Pillai & David Dunson, 2025. "A note on simulation methods for the Dirichlet-Laplace prior," Papers 2508.11982, arXiv.org.
• Kerstin Bernoth, 2025. "Dovish Coos or Hawkish Screech? From Central Bank Talk to Economic Walk," Discussion Papers of DIW Berlin 2137, DIW Berlin, German Institute for Economic Research.
• Adrian Ifrim & Robert Kollmann & Philipp Pfeiffer & Marco Ratto & Werner Roeger, 2025. "Persistent Global Growth Differences and Euro Area Adjustment: Real Activity, Trade and the Real Exchange Rate," CAMA Working Papers 2025-50, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.