Report NEP-CMP-2022-09-26

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:

• Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model," Papers 2208.14207, arXiv.org.
• Zheng Cao & Wenyu Du & Kirill V. Golubnichiy, 2022. "Application of Convolutional Neural Networks with Quasi-Reversibility Method Results for Option Forecasting," Papers 2208.14385, arXiv.org, revised Dec 2022.
• Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach," Papers 2208.13654, arXiv.org.
• Taylan Kabbani & Ekrem Duman, 2022. "Deep Reinforcement Learning Approach for Trading Automation in The Stock Market," Papers 2208.07165, arXiv.org.
• Ricard Durall, 2022. "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers 2208.07158, arXiv.org.
• Theis Ingerslev Jensen & Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2022. "Machine Learning and the Implementable Efficient Frontier," Swiss Finance Institute Research Paper Series 22-63, Swiss Finance Institute.
• James T. E. Chapman & Ajit Desai, 2022. "Macroeconomic Predictions using Payments Data and Machine Learning," Papers 2209.00948, arXiv.org.
• S'andor Kuns'agi-M'at'e & G'abor F'ath & Istv'an Csabai & G'abor Moln'ar-S'aska, 2022. "Deep Weighted Monte Carlo: A hybrid option pricing framework using neural networks," Papers 2208.14038, arXiv.org, revised Dec 2022.
• Peter B. Dixon & Maureen T. Rimmer, 2022. "Introducing the effects of foreign direct investment into the GTAP-GAC model," Centre of Policy Studies/IMPACT Centre Working Papers g-333, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Jaydip Sen & Arpit Awad & Aaditya Raj & Gourav Ray & Pusparna Chakraborty & Sanket Das & Subhasmita Mishra, 2022. "Stock Performance Evaluation for Portfolio Design from Different Sectors of the Indian Stock Market," Papers 2208.07166, arXiv.org.
• Angun, Ebru & Kleijnen, Jack, 2022. "Constrained Optimization in Random Simulation : Efficient Global Optimization and Karush-Kuhn-Tucker Conditions," Discussion Paper 2022-022, Tilburg University, Center for Economic Research.
• Henri Arno & Klaas Mulier & Joke Baeck & Thomas Demeester, 2022. "Next-Year Bankruptcy Prediction from Textual Data: Benchmark and Baselines," Papers 2208.11334, arXiv.org.
• Samuel Palmer & Konstantinos Karagiannis & Adam Florence & Asier Rodriguez & Roman Orus & Harish Naik & Samuel Mugel, 2022. "Financial Index Tracking via Quantum Computing with Cardinality Constraints," Papers 2208.11380, arXiv.org.
• Jun Lu & Danny Ding, 2022. "A Hybrid Approach on Conditional GAN for Portfolio Analysis," Papers 2208.07159, arXiv.org.
• Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022. "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers 30366, National Bureau of Economic Research, Inc.
• Müller, Henrik & Rieger, Jonas & Schmidt, Tobias & Hornig, Nico, 2022. "An increasing sense of urgency: The Inflation Perception Indicator (IPI) to 30 June 2022 - a research note," DoCMA Working Papers 12, TU Dortmund University, Dortmund Center for Data-based Media Analysis (DoCMA).
• Yoonsik Hong & Yanghoon Kim & Jeonghun Kim & Yongmin Choi, 2022. "Index Tracking via Learning to Predict Market Sensitivities," Papers 2209.00780, arXiv.org, revised Dec 2022.
• Ercio Munoz, 2022. "Distributional analysis using microsimulations in Stata," 2022 Stata Conference 12, Stata Users Group.
• Sojung Kim & Marcel Kleiber & Stefan Weber, 2022. "Microscopic Traffic Models, Accidents, and Insurance Losses," Papers 2208.12530, arXiv.org, revised Nov 2023.
• Angarita, Juan Sebastián & Sandoval, Carlos, 2022. "Herramientas para el modelamiento y la simulación de tendencias futuras en el área de la movilidad urbana," Documentos de Proyectos 48001, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
• Artés, Joaquín & Kaufman, Aaron Russell & Richter, Brian Kelleher & Timmons, Jeffrey F., 2022. "Are Firms Gerrymandered?," Working Papers 320, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
• Pieter Van Rymenant & Freddy Heylen & Dirk Van de gaer, 2022. "On the macroeconomic and distributional effects of federal estate tax reforms in the United States," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 22/1052, Ghent University, Faculty of Economics and Business Administration.
• Kleijnen, Jack & van Nieuwenhuyse, I. & van Beers, W.C.M., 2022. "Constrained Optimization in Simulation : Efficient Global Optimization and Karush-Kuhn-Tucker Conditions," Other publications TiSEM 903e51c8-bed3-4e97-990f-c, Tilburg University, School of Economics and Management.