Report NEP-CMP-2019-12-16

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-CMP

The following items were announced in this report:

• Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
• Ali Al-Aradi & Adolfo Correia & Danilo de Frietas Naiff & Gabriel Jardim & Yuri Saporito, 2019. "Extensions of the Deep Galerkin Method," Papers 1912.01455, arXiv.org, revised Apr 2022.
• Svitlana Vyetrenko & David Byrd & Nick Petosa & Mahmoud Mahfouz & Danial Dervovic & Manuela Veloso & Tucker Hybinette Balch, 2019. "Get Real: Realism Metrics for Robust Limit Order Book Market Simulations," Papers 1912.04941, arXiv.org.
• Tao Chen & Michael Ludkovski, 2019. "A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging," Papers 1912.00244, arXiv.org, revised May 2020.
• Omer Berat Sezer & Mehmet Ugur Gudelek & Ahmet Murat Ozbayoglu, 2019. "Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019," Papers 1911.13288, arXiv.org.
• Michael Drexl, 2018. "On the One-to-One Pickup-and-Delivery Problem with Time Windows and Trailers," Working Papers 1816, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
• Koichi Miyamoto & Kenji Shiohara, 2019. "Reduction of Qubits in Quantum Algorithm for Monte Carlo Simulation by Pseudo-random Number Generator," Papers 1911.12469, arXiv.org, revised Aug 2020.
• Fall, Cheickh Sadibou & Fofana, Ismaël & Traoré, Fousseini, 2019. "Economy-Wide Effects of Agriculture Technology Innovations in Burkina Faso," Discussion Papers 298421, University of Bonn, Center for Development Research (ZEF).
• Dramsch, Jesper Sören & Corte, Gustavo & Amini, Hamed & Lüthje, Mikael & MacBeth, Colin, 2019. "Deep Learning Application for 4D Pressure Saturation Inversion Compared to Bayesian Inversion on North Sea Data," Earth Arxiv zytp2, Center for Open Science.
• Yinheng Li & Junhao Wang & Yijie Cao, 2019. "A General Framework on Enhancing Portfolio Management with Reinforcement Learning," Papers 1911.11880, arXiv.org, revised Oct 2023.
• Timo Gschwind & Nicola Bianchessi & Stefan Irnich, 2018. "Stabilized Branch-Price-and-Cut for the Commodity-constrained Split Delivery Vehicle Routing Problem," Working Papers 1817, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
• Hongshan Li & Zhongyi Huang, 2019. "Artificial boundary method for the solution of pricing European options under the Heston model," Papers 1912.00691, arXiv.org.
• Christoph Böhringer & Knut Einar Rosendahl & Halvor Briseid Storrøsten, 2019. "Smart hedging against carbon leakage," Discussion Papers 920, Statistics Norway, Research Department.
• Shaogao Lv & Yongchao Hou & Hongwei Zhou, 2019. "Financial Market Directional Forecasting With Stacked Denoising Autoencoder," Papers 1912.00712, arXiv.org.
• Ludovic Mathys, 2019. "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers 1912.00454, arXiv.org.
• Schnaubelt, Matthias, 2019. "A comparison of machine learning model validation schemes for non-stationary time series data," FAU Discussion Papers in Economics 11/2019, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Bernhard Hientzsch, 2019. "Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning," Papers 1911.12231, arXiv.org.
• Andrew Schaug & Harish Chandra, 2019. "On unbiased simulations of stochastic bridges conditioned on extrema," Papers 1911.10972, arXiv.org, revised Nov 2019.
• Noacco, Valentina & Sarrazin, Fanny & Pianosi, Francesca & Wagener, Thorsten, 2019. "Matlab/R workflows to assess critical choices in Global Sensitivity Analysis using the SAFE toolbox," Earth Arxiv pu83z, Center for Open Science.
• Sithanonxay SUVANNAPHAKDY & Toshihisa TOYODA, 2019. "Assessing the Fiscal Impact of Trade Liberalization in Laos: A General Equilibrium Approach," GSICS Working Paper Series 34, Graduate School of International Cooperation Studies, Kobe University.
• Gribling, Sander, 2019. "Applications of optimization to factorization ranks and quantum information theory," Other publications TiSEM 5c681ab9-2344-4a07-b818-f, Tilburg University, School of Economics and Management.
• Dramsch, Jesper Sören & Christensen, Anders Nymark & MacBeth, Colin & Lüthje, Mikael, 2019. "Deep Unsupervised 4D Seismic 3D Time-Shift Estimation with Convolutional Neural Networks," Earth Arxiv 82bnj, Center for Open Science.
• Ehsan Hoseinzade & Saman Haratizadeh & Arash Khoeini, 2019. "U-CNNpred: A Universal CNN-based Predictor for Stock Markets," Papers 1911.12540, arXiv.org.
• Pierre Boulanger & Emanuele Ferrari & Alfredo Mainar Causape & Martina Sartori & Mohammed Beshir & Kidanemariam Hailu & Solomon Tsehay, 2019. "Policy Options to support the Rural Job Opportunity Creation Strategy in Ethiopia," JRC Research Reports JRC117916, Joint Research Centre.
• Ukpe, U.H. & Djomo, C.R.F. & Olayiwola, S.A. & Gama, E.N., 2019. "Will public external debt and private investment sustain agricultural growth in Nigeria? A Monte Carlo simulation approach," 2019 Sixth International Conference, September 23-26, 2019, Abuja, Nigeria 295741, African Association of Agricultural Economists (AAAE).
• Niccolò Zaccaria, 2019. "Does Money Illusion Matter? A Theoretical and Computational Model," Working Papers - Economics wp2019_25.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Mariano Zeron-Medina Laris & Ignacio Ruiz, 2019. "Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique," Papers 1911.10948, arXiv.org, revised Dec 2020.
• Indranil SenGupta & William Nganje & Erik Hanson, 2019. "Refinements of Barndorff-Nielsen and Shephard model: an analysis of crude oil price with machine learning," Papers 1911.13300, arXiv.org, revised Mar 2020.
• Peter C.B. Phillips & Zhentao Shi, 2019. "Boosting: Why you Can Use the HP Filter," Cowles Foundation Discussion Papers 2212, Cowles Foundation for Research in Economics, Yale University.
• Christophe Hurlin & Christophe Pérignon, 2019. "Machine Learning et nouvelles sources de données pour le scoring de crédit," Working Papers halshs-02377886, HAL.
• Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
• Bart Thijs, 2019. "Paragraph-based intra- and inter- document similarity using neural vector paragraph embeddings," Working Papers of ECOOM - Centre for Research and Development Monitoring 633963, KU Leuven, Faculty of Economics and Business (FEB), ECOOM - Centre for Research and Development Monitoring.
• Guzman, Jorge & Li, Aishen, 2019. "Measuring Founding Strategy," SocArXiv 7cvge, Center for Open Science.