Report NEP-CMP-2022-01-17

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:

• Andrew Butler & Roy Kwon, 2021. "Efficient differentiable quadratic programming layers: an ADMM approach," Papers 2112.07464, arXiv.org.
• Schmidt, Lorenz & Odening, Martin & Ritter, Matthias, 2021. "Estimation of the weather-yield nexus with Artificial Neural Networks," Land, Farm & Agribusiness Management Department 316598, Harper Adams University, Land, Farm & Agribusiness Management Department.
• Damir Filipović & Amir Khalilzadeh, 2021. "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series 21-95, Swiss Finance Institute.
• Dafei Yin & Jing Li & Gaosheng Wu, 2021. "Solving the Data Sparsity Problem in Predicting the Success of the Startups with Machine Learning Methods," Papers 2112.07985, arXiv.org.
• Jiequn Han & Yucheng Yang & Weinan E, 2021. "DeepHAM: A Global Solution Method for Heterogeneous Agent Models with Aggregate Shocks," Papers 2112.14377, arXiv.org, revised Feb 2022.
• Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. ""An application of deep learning for exchange rate forecasting"," IREA Working Papers 202201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2022.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2021. "The Virtue of Complexity in Machine Learning Portfolios," Swiss Finance Institute Research Paper Series 21-90, Swiss Finance Institute.
• Anthony Coache & Sebastian Jaimungal, 2021. "Reinforcement Learning with Dynamic Convex Risk Measures," Papers 2112.13414, arXiv.org, revised Nov 2022.
• Yuanlu Bai & Henry Lam & Svitlana Vyetrenko & Tucker Balch, 2021. "Efficient Calibration of Multi-Agent Simulation Models from Output Series with Bayesian Optimization," Papers 2112.03874, arXiv.org, revised Sep 2022.
• Linyi Yang & Jiazheng Li & Ruihai Dong & Yue Zhang & Barry Smyth, 2022. "NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting," Papers 2201.01770, arXiv.org.
• Xiao-Yang Liu & Jingyang Rui & Jiechao Gao & Liuqing Yang & Hongyang Yang & Zhaoran Wang & Christina Dan Wang & Jian Guo, 2021. "FinRL-Meta: A Universe of Near-Real Market Environments for Data-Driven Deep Reinforcement Learning in Quantitative Finance," Papers 2112.06753, arXiv.org, revised Mar 2022.
• Michele Azzone & Roberto Baviera, 2021. "A fast Monte Carlo scheme for additive processes and option pricing," Papers 2112.08291, arXiv.org, revised Jul 2023.
• Jiafeng Chen & Xiaohong Chen & Elie Tamer, 2021. "Efficient Estimation of Average Derivatives in NPIV Models: Simulation Comparisons of Neural Network Estimators," Cowles Foundation Discussion Papers 2319, Cowles Foundation for Research in Economics, Yale University.
• Igor Halperin & Jiayu Liu & Xiao Zhang, 2022. "Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations," Papers 2201.01874, arXiv.org.
• Wei Cao & Yun He & Wenjun Wang & Weidong Zhu & Yves Demazeau, 2021. "Ensemble methods for credit scoring of Chinese peer-to-peer loans," Post-Print hal-03434348, HAL.
• Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Working Papers hal-03498263, HAL.
• Draca, Mirko & Schwarz, Carlo, 2021. "How Polarized are Citizens? Measuring Ideology from the Ground-Up," QAPEC Discussion Papers 07, Quantitative and Analytical Political Economy Research Centre.
• Toru Kitagawa & Guanyi Wang, 2021. "Who should get vaccinated? Individualized allocation of vaccines over SIR network," CeMMAP working papers CWP28/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Yiheng Sun & Tian Lu & Cong Wang & Yuan Li & Huaiyu Fu & Jingran Dong & Yunjie Xu, 2021. "TransBoost: A Boosting-Tree Kernel Transfer Learning Algorithm for Improving Financial Inclusion," Papers 2112.02365, arXiv.org, revised Dec 2021.
• Henning Tarp Jensen & Marcus Keogh-Brown & Finn Tarp, 2021. "Labour market projections and time allocation in Myanmar: Application of a new computable general equilibrium (CGE) model," WIDER Working Paper Series wp-2021-180, World Institute for Development Economic Research (UNU-WIDER).
• Kieran Wood & Sven Giegerich & Stephen Roberts & Stefan Zohren, 2021. "Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture," Papers 2112.08534, arXiv.org, revised Nov 2022.
• Qinkai Chen & Christian-Yann Robert, 2021. "Multivariate Realized Volatility Forecasting with Graph Neural Network," Papers 2112.09015, arXiv.org, revised Dec 2021.
• Pietro Emilio Spini, 2021. "Robustness, Heterogeneous Treatment Effects and Covariate Shifts," Papers 2112.09259, arXiv.org, revised Aug 2024.
• Le, Tuan Anh & Dao, Thi Thanh Binh, 2021. "Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange," MPRA Paper 111105, University Library of Munich, Germany.
• Laine, Tatu & Korpinen, Kasperi, 2021. "Measuring counterparty risk in FMIs," BoF Economics Review 9/2021, Bank of Finland.
• Li, Shiyuan & Hao, Miao, 2021. "Can Artificial Intelligence Reduce Regional Inequality? Evidence from China," MPRA Paper 110973, University Library of Munich, Germany.