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Content
August 2023, Volume 62, Issue 2
- 487-491 Crisis and Risk Management: Recent Developments in Computational Economics
by Zied Ftiti & Jean-Luc Prigent - 493-526 Omega Compatibility: A Meta-analysis
by Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang - 527-559 Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China
by Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao - 561-587 Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness
by Haithem Awijen & Younes Ben Zaied & Ahmed Imran Hunjra - 589-608 The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices
by Hachmi Ben Ameur & Eric Le Fur & Julien Pillot - 609-637 Risk Connectedness Between Green and Conventional Assets with Portfolio Implications
by Muhammad Abubakr Naeem & Sitara Karim & Aviral Kumar Tiwari - 639-661 When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?
by Toan Luu Duc Huynh - 663-687 Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling
by Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Mariem Nsaibi - 689-720 Role of Comprehensive Income in Predicting Bankruptcy
by Asyrofa Rahmi & Hung-Yuan Lu & Deron Liang & Dinda Novitasari & Chih-Fong Tsai
June 2023, Volume 62, Issue 1
- 1-28 A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options
by Fei Ren & Mei-Ling Cai & Sai-Ping Li & Xiong Xiong & Zhang-HangJian Chen - 29-47 Spatio-Temporal Instrumental Variables Regression with Missing Data: A Bayesian Approach
by Marcus L. Nascimento & Kelly C. M. Gonçalves & Mario Jorge Mendonça - 49-89 Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach
by Paolo Massimo Buscema & Francesca Della Torre & Giulia Massini & Guido Ferilli & Pier Luigi Sacco - 91-128 Ensuring Mutual Benefit in a Trans-boundary Industrial Pollution Control Problem
by Ryle S. Perera & Kimitoshi Sato - 129-147 Modeling Tail Dependence Using Stochastic Volatility Model
by See-Woo Kim & Yong-Ki Ma & Ciprian Necula - 149-164 A Deep Learning Based Numerical PDE Method for Option Pricing
by Xiang Wang & Jessica Li & Jichun Li - 165-186 Predict Stock Prices Using Supervised Learning Algorithms and Particle Swarm Optimization Algorithm
by Mohammad Javad Bazrkar & Soodeh Hosseini - 187-204 A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization
by Bernardo K. Pagnoncelli & Domingo Ramírez & Hamed Rahimian & Arturo Cifuentes - 205-227 Exploring Uncertainty, Sensitivity and Robust Solutions in Mathematical Programming Through Bayesian Analysis
by Mike G. Tsionas & Dionisis Philippas & Constantin Zopounidis - 229-287 Forecasting Forex Trend Indicators with Fuzzy Rough Sets
by J. C. Garza Sepúlveda & F. Lopez-Irarragorri & S. E. Schaeffer - 289-324 Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset
by Burcu Aydoğan & Ömür Uğur & Ümit Aksoy - 325-360 Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks
by Chao Yu & Xiaoqun Wang - 361-381 Portfolio Optimization Via Online Gradient Descent and Risk Control
by J. D. M. Yamim & C. C. H. Borges & R. F. Neto - 383-405 Spatial Interactions and the Spread of COVID-19: A Network Perspective
by Cui Zhang & Dandan Zhang - 407-424 Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors
by Jan G. De Gooijer - 425-462 Reinforcement Learning in Economics and Finance
by Arthur Charpentier & Romuald Élie & Carl Remlinger - 463-485 Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data
by Vladimír Holý & Petra Tomanová
April 2023, Volume 61, Issue 4
- 1305-1330 Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US
by Lei Wang & Provash Kumer Sarker & Elie Bouri - 1331-1368 A Dynamic Baseline Calibration Procedure for CGE models
by Johannes Ziesmer & Ding Jin & Sneha D Thube & Christian Henning - 1369-1402 The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions
by Martín Egozcue & Luis Fuentes García & Ričardas Zitikis - 1403-1431 Resilient Control for Macroeconomic Models
by David Hudgins & Patrick M. Crowley - 1433-1476 Incentives for Research Effort: An Evolutionary Model of Publication Markets with Double-Blind and Open Review
by Mantas Radzvilas & Francesco De Pretis & William Peden & Daniele Tortoli & Barbara Osimani - 1477-1522 Personal Finance Decisions with Untruthful Advisors: An Agent-Based Model
by Loretta Mastroeni & Maurizio Naldi & Pierluigi Vellucci - 1523-1544 Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model
by Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin - 1545-1560 Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation
by Daniel Suescún-Díaz & Luis Eduardo Girón - 1561-1591 Analytic Method for Pricing Vulnerable External Barrier Options
by Donghyun Kim & Ji-Hun Yoon - 1593-1616 Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains
by Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao - 1617-1636 Bitcoin Price Prediction: A Machine Learning Sample Dimension Approach
by Sumit Ranjan & Parthajit Kayal & Malvika Saraf - 1637-1664 Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals
by Giuseppe Luca & Jan R. Magnus & Franco Peracchi - 1665-1679 A New Neural Network Approach for Predicting the Volatility of Stock Market
by Eunho Koo & Geonwoo Kim - 1681-1705 Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion
by Changhong Guo & Shaomei Fang & Yong He - 1707-1743 Auctions: A New Method for Selling Objects with Bimodal Density Functions
by Javier Castro & Rosa Espínola & Inmaculada Gutiérrez & Daniel Gómez - 1745-1763 A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
by Mohamed Kharrat & Hassen Arfaoui - 1765-1790 Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression
by Yushu Li & Hyunjoo Kim Karlsson
March 2023, Volume 61, Issue 3
- 901-903 Editorial to the Special Issue on Game Theory
by Marta Biancardi & Giovanni Villani - 905-935 Optimal Abatement Technology Licensing in a Dynamic Transboundary Pollution Game: Fixed Fee Versus Royalty
by Hao Xu & Deqing Tan - 937-974 Non-Cooperative Bargaining with Unsophisticated Agents
by Kristal K. Trejo & Ruben Juarez & Julio B. Clempner & Alexander S. Poznyak - 975-1008 Non-cooperative Mode, Cost-Sharing Mode, or Cooperative Mode: Which is the Optimal Mode for Desertification Control?
by Jiayi Sun & Deqing Tan - 1009-1035 Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions
by Paulo Fagandini & Ingemar Dierickx - 1037-1037 Correction: Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions
by Paulo Fagandini & Ingemar Dierickx - 1039-1074 Collaborative Innovation Strategy of Supply Chain in the Context of MCU Domestic Substitution : A Differential Game Analysis
by Yaxin Wang & Haoyu Wen & ZhongQuan Hu & Yuntao Zhang - 1075-1093 An Evolutionary Game to Study Banks–Firms Relationship: Monitoring Intensity and Private Benefit
by Giovanni Villani & Marta Biancardi - 1095-1114 Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting
by Kerolly Kedma Felix do Nascimento & Fábio Sandro dos Santos & Jader Silva Jale & Silvio Fernando Alves Xavier Júnior & Tiago A. E. Ferreira - 1115-1135 Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump
by Yayun Wang - 1137-1150 Prediction of Loan Rate for Mortgage Data: Deep Learning Versus Robust Regression
by Donglin Wang & Don Hong & Qiang Wu - 1151-1171 A Dynamic Mechanism Design for Controllable and Ergodic Markov Games
by Julio B. Clempner - 1173-1205 Evaluation of Non-survey Methods for the Construction of Regional Input–Output Matrices When There is Partial Historical Information
by Cristian Mardones & Darling Silva - 1207-1224 Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions
by Chaeyoung Lee & Soobin Kwak & Youngjin Hwang & Junseok Kim - 1225-1250 Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions
by Adem Gök & Nihat Tak - 1251-1272 Threshold Moving Approach with Logit Models for Bankruptcy Prediction
by Michaela Staňková - 1273-1303 Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques
by Bart H. L. Overes & Michel Wel
February 2023, Volume 61, Issue 2
- 487-511 Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets
by Ruzhen Yan & Ding Yue & Xu Wu & Wei Gao - 513-528 The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option
by Y. Esmaeelzade Aghdam & H. Mesgarani & A. Adl & B. Farnam - 529-557 Recursive Computation of the Conditional Probability Function of the Quadratic Exponential Model for Binary Panel Data
by Francesco Bartolucci & Francesco Valentini & Claudia Pigini - 559-591 Integrating Wavelet Decomposition and Fuzzy Transformation for Improving the Accuracy of Forecasting Crude Oil Price
by Faramarz Saghi & Mustafa Jahangoshai Rezaee - 593-610 A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems
by Karolos Arapakis - 611-644 Finite-State Markov Chains with Flexible Distributions
by Damba Lkhagvasuren & Erdenebat Bataa - 645-676 COVID 19 Pandemic, Socio-Economic Behaviour and Infection Characteristics: An Inter-Country Predictive Study Using Deep Learning
by Srinka Basu & Sugata Sen - 677-713 Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market
by Changtai Li & Weihong Huang & Wei-Siang Wang & Wai-Mun Chia - 715-741 Bankruptcy Prediction using the XGBoost Algorithm and Variable Importance Feature Engineering
by Sami Ben Jabeur & Nicolae Stef & Pedro Carmona - 743-773 Use of Econometric Predictors and Artificial Neural Networks for the Construction of Stock Market Investment Bots
by Ciniro A. L. Nametala & Jonas Villela de Souza & Alexandre Pimenta & Eduardo Gontijo Carrano - 775-805 CO2 Emission Allowances Risk Prediction with GAS and GARCH Models
by Nader Trabelsi & Aviral Kumar Tiwari - 807-853 Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes
by Farshid Mehrdoust & Idin Noorani - 855-873 The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets
by Bilgi Yilmaz & Ralf Korn & A. Sevtap Selcuk-Kestel - 875-896 Quantitative Macroeconomics: Lessons Learned from Fourteen Replications
by Robert Kirkby - 897-897 Correction to: Generalized, Partial and Canonical Correlation Coefficients
by H. D. Vinod - 899-900 Correction to: $$\ell_{1}$$ ℓ 1 Common Trend Filtering
by Hiroshi Yamada & Ruoyi Bao
January 2023, Volume 61, Issue 1
- 1-34 A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems
by Christelle Dleuna Nyoumbi & Antoine Tambue - 35-55 Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method
by Jian Ni & Yue Xu - 57-68 A Study of the International Stock Market Behavior During COVID-19 Pandemic Using a Driven Iterated Function System
by Aman Gupta & Cyril Shaju & Pratibha & Kamal - 69-111 DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors
by Siddhartha Chib & Minchul Shin & Fei Tan - 113-137 Finding the Impact of Market Visibility and Monopoly on Wealth Distribution and Poverty Using Computational Economics
by Kashif Zia & Umar Farooq & Sakeena Al Ajmi - 139-164 Multivariate Picture Fuzzy Time Series: New Definitions and a New Forecasting Method Based on Pi-Sigma Artificial Neural Network
by Eren Bas & Erol Egrioglu & Taner Tunc - 165-196 Multivariate Regime Switching Model Estimation and Asset Allocation
by Kai Zheng & Weidong Xu & Xili Zhang - 197-231 Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach
by Awatef Ourir & Elie Bouri & Essahbi Essaadi - 233-265 Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing
by Tolga Omay & Perihan Iren - 267-294 Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR
by Xue Deng & Ying Liang - 295-315 An Application of the IFM Method for the Risk Assessment of Financial Instruments
by Adrià Pons & Eduard Cristobal-Fransi & Carla Vintrò & Josep Rius & Oriol Querol & Jordi Vilaplana - 317-340 Unfolding Beijing in a Hedonic Way
by Wei Lin & Zhentao Shi & Yishu Wang & Ting Hin Yan - 341-388 Diversification and Systemic Risk of Networks Holding Common Assets
by Yajing Huang & Taoxiong Liu - 389-427 Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency?
by Dalia Mansour-Ibrahim - 429-450 A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model
by Youngin Yoon & Jeong-Hoon Kim - 451-485 Classifying the Variety of Customers’ Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression
by Petra P. Šimović & Claire Y. T. Chen & Edward W. Sun
December 2022, Volume 60, Issue 4
- 1197-1220 The Relationship Between Economic Growth and Electricity Consumption: Bootstrap ARDL Test with a Fourier Function and Machine Learning Approach
by Cheng-Feng Wu & Shian-Chang Huang & Chei-Chang Chiou & Tsangyao Chang & Yung-Chih Chen - 1221-1244 The Risk Early-Warning Model of Financial Operation in Family Farms Based on Back Propagation Neural Network Methods
by Zhigui Guan & Yuanjun Zhao & Guojing Geng - 1245-1267 The Impact of Financial Enterprises’ Excessive Financialization Risk Assessment for Risk Control based on Data Mining and Machine Learning
by Yuegang Song & Ruibing Wu - 1269-1292 The Analysis of Credit Risks in Agricultural Supply Chain Finance Assessment Model Based on Genetic Algorithm and Backpropagation Neural Network
by Yingli Wu & Xin Li & Qingquan Liu & Guangji Tong - 1293-1315 Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm
by Zhaoyi Xu & Yuqing Zeng & Yangrong Xue & Shenggang Yang - 1317-1351 Dynamics of Firm’s Investment in Education and Training: An Agent-based Approach
by Jung-Seung Yang - 1353-1373 V-Shaped BAS: Applications on Large Portfolios Selection Problem
by Spyridon D. Mourtas & Vasilios N. Katsikis - 1375-1412 Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis
by Peter Sinka & Peter J. Zeitsch - 1413-1425 An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model
by Xin-Jiang He & Sha Lin - 1427-1455 Global Optimal Consumption–Portfolio Rules with Myopic Preferences and Loss Aversion
by Jia Yue & Ming-Hui Wang & Nan-Jing Huang - 1457-1478 Calibration of Agent-Based Models by Means of Meta-Modeling and Nonparametric Regression
by Siyan Chen & Saul Desiderio - 1479-1506 Generalized, Partial and Canonical Correlation Coefficients
by H. D. Vinod - 1507-1527 Towards a Validation Methodology for Macroeconomic Agent-Based Models
by Sebastiaan Tieleman - 1529-1546 Does the Real Business Cycle Help Forecast the Financial Cycle?
by Fredj Jawadi & Hachmi Ben Ameur & Stephanie Bigou & Alexis Flageollet - 1547-1573 How do Fines and Their Enforcement on Counterfeit Products Affect Social Welfare?
by Marta Biancardi & Andrea Di Liddo & Giovanni Villani - 1575-1575 Correction to: The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market
by Yun Feng & Xin Li
October 2022, Volume 60, Issue 3
- 1-24 Disentangling Shareholder Risk Aversion from Leverage-Dependent Borrowing Cost on Corporate Policies
by Mateus Waga & Davi Valladão & Alexandre Street & Thuener Silva - 817-832 A Valid and Efficient Trinomial Tree for General Local-Volatility Models
by U Hou Lok & Yuh-Dauh Lyuu - 833-859 Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach
by Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli - 861-882 Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy
by Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang - 883-900 Euro Area Deflationary Pressure Index
by Luca Brugnolini & Giuseppe Ragusa - 901-923 Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms
by Zongxin Zhang & Ying Chen - 949-969 Feature Screening in High Dimensional Regression with Endogenous Covariates
by Qinqin Hu & Lu Lin - 971-990 Indicator Selection of Index Construction by Adaptive Lasso with a Generic $$\varepsilon $$ ε -Insensitive Loss
by Yafen Ye & Renyong Chi & Yuan-Hai Shao & Chun-Na Li & Xiangyu Hua - 991-1039 Swarm Intelligence Based Hybrid Neural Network Approach for Stock Price Forecasting
by Gourav Kumar & Uday Pratap Singh & Sanjeev Jain - 1041-1054 A Nash Equilibrium for Differential Games with Moving-Horizon Strategies
by Enrico Saltari & Willi Semmler & Giovanni Di Bartolomeo - 1055-1100 A Pricing Method in a Constrained Market with Differential Informational Frameworks
by Ivan Peñaloza & Pablo Padilla - 1101-1134 Optimal Pricing of Climate Risk
by Thomas F. Coleman & Nicole S. Dumont & Wanqi Li & Wenbin Liu & Alexey Rubtsov - 1135-1154 Complementarity Modeling of a Ramsey-Type Equilibrium Problem with Heterogeneous Agents
by Leonhard Frerick & Georg Müller-Fürstenberger & Martin Schmidt & Max Späth - 1155-1173 Undirected and Directed Network Analysis of the Chinese Stock Market
by Binghui Li & Yuehan Yang - 1175-1196 An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees
by Linjia Dong & Zhaojun Yang
August 2022, Volume 60, Issue 2
- 375-400 Sectoral Impacts of International Labour Migration and Population Ageing in the Czech Republic
by Martin Stepanek - 401-437 Economic Policy Uncertainty Index Meets Ensemble Learning
by Ivana Lolić & Petar Sorić & Marija Logarušić - 439-450 The multiColl Package Versus Other Existing Packages in R to Detect Multicollinearity
by Román Salmerón Gómez & Catalina B. García García & José García Pérez - 451-477 Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
by Thomas Lux - 479-527 Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process
by Yizhou Bai & Yongjin Wang & Haoyan Zhang & Xiaoyang Zhuo - 529-569 Portfolio Correlations in the Bank-Firm Credit Market of Japan
by Duc Thi Luu - 571-599 Bounded Rationality, Group Formation and the Emergence of Trust: An Agent-Based Economic Model
by Jefferson Satoshi Kato & Adriana Sbicca - 601-632 A Finite Difference Scheme for Pairs Trading with Transaction Costs
by Zequn Li & Agnès Tourin - 633-663 A Fitted L-Multi-Point Flux Approximation Method for Pricing Options
by Rock Stephane Koffi & Antoine Tambue - 665-692 Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution
by Mahdi Teimouri & Saralees Nadarajah - 693-723 Communication and Learning: The Bilateral Information Transmission in the Cobweb Model
by Eran Guse & M. C. Sunny Wong - 725-753 Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study
by Eliana Christou & Michael Grabchak - 755-779 Averages: There is Still Something to Learn
by José Dias Curto - 781-815 A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches
by Amin Aminimehr & Ali Raoofi & Akbar Aminimehr & Amirhossein Aminimehr
June 2022, Volume 60, Issue 1
- 1-23 Towards Crafting Optimal Functional Link Artificial Neural Networks with Rao Algorithms for Stock Closing Prices Prediction
by Subhranginee Das & Sarat Chandra Nayak & Biswajit Sahoo - 25-45 A Machine Learning Approach to Detection of Trade-Based Manipulations in Borsa Istanbul
by Nurullah Celal Uslu & Fuat Akal - 47-69 Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method
by Lorenzo Reus & Rodolfo Prado - 71-97 The Effect of Including Irrelevant Alternatives in Discrete Choice Models of Recreation Demand
by John N. Ng’ombe & B. Wade Brorsen - 99-124 Maximum Likelihood Estimation Methods for Copula Models
by Jinyu Zhang & Kang Gao & Yong Li & Qiaosen Zhang - 125-145 The Geometry of the World of Currency Volatilities
by Gueorgui S. Konstantinov & Frank J. Fabozzi - 147-171 Is Deep-Learning and Natural Language Processing Transcending the Financial Forecasting? Investigation Through Lens of News Analytic Process
by Faisal Khalil & Gordon Pipa - 173-220 A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models
by Januj Amar Juneja - 221-242 Menu Optimization for Multi-Profile Customer Systems on Large Scale Data
by Jeyhun Karimov & Murat Ozbayoglu & Bulent Tavli & Erdogan Dogdu - 243-280 Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs
by M. Rezaei & A. R. Yazdanian & A. Ashrafi & S. M. Mahmoudi - 281-303 House Prices as a Result of Trading Activities: A Patient Trader Model
by Ralf Korn & Bilgi Yilmaz - 305-324 A Neural Network Approach to Value R&D Compound American Exchange Option
by Giovanni Villani - 325-346 DeepValue: A Comparable Framework for Value-Based Strategy by Machine Learning
by K. J. Huang - 347-373 Optimized Machine Learning Algorithms for Investigating the Relationship Between Economic Development and Human Capital
by Erdemalp Ozden & Didem Guleryuz
April 2022, Volume 59, Issue 4
- 1277-1281 Deep Learning for Financial Engineering
by Mu-Yen Chen & Arun Kumar Sangaiah & Ting-Hsuan Chen & Edwin David Lughofer & Erol Egrioglu - 1283-1333 National Governance Differences and Foreign Bank Performance in Asian Countries: The Role of Bank Competition
by Sheng-Hung Chen & Feng-Jui Hsu - 1335-1354 Enterprise Intelligent Audit Model by Using Deep Learning Approach
by Rui Ding - 1355-1383 A New Bootstrapped Hybrid Artificial Neural Network Approach for Time Series Forecasting
by Erol Eğrioğlu & Robert Fildes - 1385-1405 The Use of Machine Learning Combined with Data Mining Technology in Financial Risk Prevention
by Bo Gao - 1407-1422 Intelligent FinTech Data Mining by Advanced Deep Learning Approaches
by Shian-Chang Huang & Cheng-Feng Wu & Chei-Chang Chiou & Meng-Chen Lin - 1423-1441 Predicting Business Risks of Commercial Banks Based on BP-GA Optimized Model
by Qilun Li & Zhaoyi Xu & Xiaoqin Shen & Jiacheng Zhong - 1443-1464 Innovative Risk Early Warning Model under Data Mining Approach in Risk Assessment of Internet Credit Finance
by Min Lin - 1465-1480 Financial Sequence Prediction Based on Swarm Intelligence Algorithms of Internet of Things
by Jinquan Liu & Yupin Wei & Hongzhen Xu - 1481-1499 Analysis of Internet Financial Risks Based on Deep Learning and BP Neural Network
by Zixian Liu & Guansan Du & Shuai Zhou & Haifeng Lu & Han Ji - 1501-1524 Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning
by Chunyi Lu & Zhuoqi Teng & Yu Gao & Renhong Wu & Md. Alamgir Hossain & Yuantao Fang - 1525-1538 A Computational Model to Predict Consumer Behaviour During COVID-19 Pandemic
by Fatemeh Safara - 1539-1556 A Novel ARMA Type Possibilistic Fuzzy Forecasting Functions Based on Grey-Wolf Optimizer (ARMA-PFFs)
by Nihat Tak - 1557-1576 Adaptive Trading System of Assets for International Cooperation in Agricultural Finance Based on Neural Network
by Guangji Tong & Zhiwei Yin - 1577-1605 Financial Performance Analysis with the Fuzzy COPRAS and Entropy-COPRAS Approaches
by Yüksel Akay Ünvan & Cansu Ergenç - 1607-1625 Using Machine Learning Approach to Evaluate the Excessive Financialization Risks of Trading Enterprises
by Zhennan Wu - 1627-1644 Kelly-Based Options Trading Strategies on Settlement Date via Supervised Learning Algorithms
by Mu-En Wu & Jia-Hao Syu & Chien-Ming Chen - 1645-1657 The Impact of News Sentiment Indicators on Agricultural Product Prices
by Jia-Lang Xu & Ying-Lin Hsu - 1659-1675 Blockchain-Based Cryptocurrency Regulation: An Overview
by Satya Prakash Yadav & Krishna Kant Agrawal & Bhoopesh Singh Bhati & Fadi Al-Turjman & Leonardo Mostarda - 1677-1698 A Two-Dimensional Sentiment Analysis of Online Public Opinion and Future Financial Performance of Publicly Listed Companies
by Meng‐Feng Yen & Yu‐Pei Huang & Liang‐Chih Yu & Yueh‐Ling Chen - 1699-1711 The Training of Pi-Sigma Artificial Neural Networks with Differential Evolution Algorithm for Forecasting
by Oguzhan Yılmaz & Eren Bas & Erol Egrioglu - 1713-1734 GPS data Mining at Signalized Intersections for Congestion Charging
by Wang Yu & Zhang Dongbo & Zhang Yu - 1735-1753 An Identification Algorithm of Systemically Important Financial Institutions Based on Adjacency Information Entropy
by Linhai Zhao & Yingjie Li & Yenchun Jim Wu - 1755-1772 Optimizing Financial Engineering Time Indicator Using Bionics Computation Algorithm and Neural Network Deep Learning
by Zeyu Wang & Yue Deng
March 2022, Volume 59, Issue 3
- 913-933 A Wiener–Kolmogorov Filter for Seasonal Adjustment and the Cholesky Decomposition of a Toeplitz Matrix
by D. Stephen G. Pollock & Emi Mise - 935-966 A Bootstrap Method to Test Granger-Causality in the Frequency Domain
by Matteo Farnè & Angela Montanari - 967-1004 A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions
by Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle - 1005-1025 $$\ell _{1}$$ ℓ 1 Common Trend Filtering
by Hiroshi Yamada & Ruoyi Bao - 1027-1068 Method for Improving the Performance of Technical Analysis Indicators By Neural Network Models
by Yong Shi & Bo Li & Wen Long & Wei Dai - 1069-1085 Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching
by Sha Lin & Xin-Jiang He - 1087-1111 The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach
by Ehsan Bagheri & Seyed Babak Ebrahimi & Arman Mohammadi & Mahsa Miri & Stelios Bekiros - 1113-1134 A Mellin Transform Approach to the Pricing of Options with Default Risk
by Sun-Yong Choi & Sotheara Veng & Jeong-Hoon Kim & Ji-Hun Yoon - 1135-1154 Credit Scoring Model Based on HMM/Baum-Welch Method
by Badreddine Benyacoub & Souad ElBernoussi & Abdelhak Zoglat & Mohamed Ouzineb - 1155-1171 Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?
by Evangelos Vasileiou - 1173-1173 Correction to: Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?
by Evangelos Vasileiou - 1175-1201 Best Subset Selection for Double-Threshold-Variable Autoregressive Moving-Average Models: The Bayesian Approach
by Xiaobing Zheng & Kun Liang & Qiang Xia & Dabin Zhang - 1203-1229 Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach
by Shoukun Jiao & Wuyi Ye - 1231-1249 Corporate Bankruptcy Prediction Using Machine Learning Methodologies with a Focus on Sequential Data
by Hyeongjun Kim & Hoon Cho & Doojin Ryu - 1251-1275 High Frequency and Dynamic Pairs Trading with Ant Colony Optimization
by José Cerda & Nicolás Rojas-Morales & Marcel C. Minutolo & Werner Kristjanpoller
February 2022, Volume 59, Issue 2
- 415-444 Evidence for Novel Structures Relating CSR Reporting and Economic Welfare: Environmental Sustainability—A Continent-Level Analysis
by George Halkos & Stylianos Nomikos & Kyriaki Tsilika - 445-470 Using Double Frequency in Fourier Dickey–Fuller Unit Root Test
by Yifei Cai & Tolga Omay - 471-525 Macro-Regional Economic Structural Change Driven by Micro-founded Technological Innovation Diffusion: An Agent-Based Computational Economic Modeling Approach
by Zhangqi Zhong & Lingyun He - 527-547 Deviation-Based Model Risk Measures
by Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi - 549-577 Determining the Flat Sales Prices by Flat Characteristics Using Bayesian Network Models
by Volkan Sevinç - 579-598 How Successful are Energy Efficiency Investments? A Comparative Analysis for Classification & Performance Prediction
by Haris Doukas & Panos Xidonas & Nikos Mastromichalakis - 599-650 Bayesian Estimation of Economic Simulation Models Using Neural Networks
by Donovan Platt - 651-686 Revisiting the Merton Problem: from HARA to CARA Utility
by Guiyuan Ma & Song-Ping Zhu - 687-700 A Regression-Based Calibration Method for Agent-Based Models
by Siyan Chen & Saul Desiderio