Computational Economics

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Matching Heterogeneous Traders in Quantity-Regulated Markets
Computational Economics - Tập 31 - Trang 341-362 - 2007
Yuya Sasaki, Arthur J. Caplan
Two heuristic algorithms are developed to handle combinatorial and discrete complications persistent in markets where total quantity is regulated. The algorithms account for trader heterogeneity, which could either be innate (as exists in a wide class of environmental problems) or imposed by the regulator to simultaneously achieve a social goal, such as distributional equity. In addition, the algo...... hiện toàn bộ
International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming
Computational Economics - Tập 55 - Trang 383-405 - 2013
Libo Yin, Liyan Han
In this paper, we develop a multi-stage stochastic programming model for dynamic international portfolio risk management with options in an integrated view. Upon scenario trees, the model can automatically compute the optimal hedging strategies, which provides rolling and dynamic decisions for how much option positions should be established and how much should be liquidated, while simultaneously a...... hiện toàn bộ
E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics
Computational Economics - Tập 32 - Trang 221-244 - 2008
Cees Diks, Cars Hommes, Valentyn Panchenko, Roy van der Weide
The use of nonlinear dynamic models in economics and finance has expanded rapidly in the last two decades. Numerical simulation is crucial in the investigation of nonlinear systems. E&F Chaos is an easy-to-use and freely available software package for simulation of nonlinear dynamic models to investigate stability of steady states and the presence of periodic orbits and chaos by standard numerical...... hiện toàn bộ
Modeling Firm and Market Dynamics: A Flexible Model Reproducing Existing Stylized Facts on Firm Growth
Computational Economics - Tập 52 - Trang 745-772 - 2017
Thomas Brenner, Matthias Duschl
This paper presents a model of firm and market dynamics that is able to reproduce the empirically observed patterns on firm growth and its statistical characteristics. It goes beyond the existing firm models by reproducing all stylized facts established in the literature. Furthermore, the model is flexible in the sense that various parameter settings are identified that reproduce the stylized fact...... hiện toàn bộ
Identification environment and robust forecasting for nonlinear time series
Computational Economics - Tập 7 - Trang 37-53 - 1994
Berlin Wu
In this paper, the methods of time series for nonlinearity are briefly surveyed, with particular attention paid to a new test design based on a neural network specification. The proposed integrated expert system contains two main components: an identification environment and a robust forecasting design. The identification environment can be viewed as a integrated dynamic design in which cognitive ...... hiện toàn bộ
Quantum Computing and Deep Learning Methods for GDP Growth Forecasting
Computational Economics - Tập 59 - Trang 803-829 - 2021
David Alaminos, M. Belén Salas, Manuel A. Fernández-Gámez
Precise macroeconomic forecasting is one of the major aims of economic analysis because it facilitates a timely assessment of future economic conditions and can be used for monetary, fiscal, and economic policy purposes. Numerous works have studied the behavior of the macroeconomic situation and have developed models to forecast them. However, the existing models have limitations, and the literatu...... hiện toàn bộ
A Synthetic Penalized Logitboost to Model Mortgage Lending with Imbalanced Data
Computational Economics - Tập 57 - Trang 281-309 - 2020
Jessica Pesantez-Narvaez, Montserrat Guillen, Manuela Alcañiz
Most classical econometric methods and tree boosting based algorithms tend to increase the prediction error with binary imbalanced data. We propose a synthetic penalized logitboost based on weighting corrections. The procedure (i) improves the prediction performance under the phenomenon in question, (ii) allows interpretability since coefficients can get stabilized in the recursive procedure, and ...... hiện toàn bộ
Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market
Computational Economics - Tập 22 - Trang 187-212 - 2003
Christian de Peretti
Many time series in diverse fields of application may exhibit long-memory.The class of fractionally integrated (FI) processes can be used to try to model this strong data dependence. Asymptotic tests for FI include the re-scaled range statistic test and its modified form, the frequency-domain regression-based procedure, the modified Higuchi's test and Jensen's test. De Peretti and Marimoutou (2002...... hiện toàn bộ
Chính Sách Kinh Tế Trong Mô Hình Tăng Trưởng Với Vốn Nhân Lực, Các Tác Nhân Khác Nhau Và Thất Nghiệp Dịch bởi AI
Computational Economics - Tập 33 - Trang 175-192 - 2008
Alfred Greiner, Peter Flaschel
Trong bài báo này, chúng tôi trình bày một mô hình tăng trưởng nội sinh với vốn nhân lực, các tác nhân khác nhau và thất nghiệp. Hai loại hộ gia đình được xem xét. Một hộ gia đình tích lũy vốn nhân lực hoặc kỹ năng thông qua giáo dục trong khi hộ gia đình còn lại duy trì trình độ kỹ năng thấp. Tăng trưởng bền vững là kết quả của việc tích lũy vốn nhân lực, điều này phụ thuộc vào vốn nhân lực hiện ...... hiện toàn bộ
#Mô hình tăng trưởng #vốn nhân lực #tác nhân khác nhau #thất nghiệp #chính sách kinh tế
Solving Finite Mixture Models: Efficient Computation in Economics Under Serial and Parallel Execution
Computational Economics - Tập 25 Số 4 - Trang 343-379 - 2005
Christopher Ferrall
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