Report NEP-CMP-2024-09-02

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:

• Chen Zhang & Giovanni Amici & Marco Morandotti, 2024. "Calibrating the Heston Model with Deep Differential Networks," Papers 2407.15536, arXiv.org.
• Fernando Berzal & Alberto Garcia, 2024. "Beyond Trend Following: Deep Learning for Market Trend Prediction," Papers 2407.13685, arXiv.org.
• Melissa Dell, 2024. "Deep Learning for Economists," Papers 2407.15339, arXiv.org, revised Nov 2024.
• Hurlin, Christophe & Pérignon, Christophe, 2023. "Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations," HEC Research Papers Series 1480, HEC Paris.
• Liyang Wang & Yu Cheng & Xingxin Gu & Zhizhong Wu, 2024. "Design and Optimization of Big Data and Machine Learning-Based Risk Monitoring System in Financial Markets," Papers 2407.19352, arXiv.org.
• Nacira Agram & Bernt {O}ksendal & Jan Rems, 2024. "Deep learning for quadratic hedging in incomplete jump market," Papers 2407.13688, arXiv.org.
• Chunhui Qiao & Xiangwei Wan, 2024. "Enhancing Black-Scholes Delta Hedging via Deep Learning," Papers 2407.19367, arXiv.org, revised Aug 2024.
• Han Gui, 2024. "Machine learning in weekly movement prediction," Papers 2407.09831, arXiv.org.
• Patrick Rehill, 2024. "Distilling interpretable causal trees from causal forests," Papers 2408.01023, arXiv.org.
• Cesare Carissimo & Marcin Korecki, 2024. "Capital as Artificial Intelligence," Papers 2407.16314, arXiv.org.
• Aditya Saxena & Dr Parizad Dungore, 2024. "Credit Risk Assessment Model for UAE Commercial Banks: A Machine Learning Approach," Papers 2407.12044, arXiv.org.
• Dangxing Chen & Yuan Gao, 2024. "Attribution Methods in Asset Pricing: Do They Account for Risk?," Papers 2407.08953, arXiv.org.
• Siqiao Zhao & Zhikang Dong & Zeyu Cao & Raphael Douady, 2024. "Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer," Papers 2408.03320, arXiv.org, revised Aug 2024.
• Alex Kim & Maximilian Muhn & Valeri Nikolaev, 2024. "Financial Statement Analysis with Large Language Models," Papers 2407.17866, arXiv.org, revised Nov 2024.
• Alireza Mohammadshafie & Akram Mirzaeinia & Haseebullah Jumakhan & Amir Mirzaeinia, 2024. "Deep Reinforcement Learning Strategies in Finance: Insights into Asset Holding, Trading Behavior, and Purchase Diversity," Papers 2407.09557, arXiv.org.
• Qiqin Zhou, 2024. "Explainable AI in Request-for-Quote," Papers 2407.15038, arXiv.org.
• Felix Drinkall & Janet B. Pierrehumbert & Stefan Zohren, 2024. "Forecasting Credit Ratings: A Case Study where Traditional Methods Outperform Generative LLMs," Papers 2407.17624, arXiv.org, revised Jan 2025.
• Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2024.
• Yuan Li & Bingqiao Luo & Qian Wang & Nuo Chen & Xu Liu & Bingsheng He, 2024. "A Reflective LLM-based Agent to Guide Zero-shot Cryptocurrency Trading," Papers 2407.09546, arXiv.org.
• Bonelli, Maxime, 2023. "Data-driven Investors," HEC Research Papers Series 1470, HEC Paris.
• Hafsa Lemsieh & Ibtissam Abarar, 2024. "Artificial Intelligence: A Technological Tool to Manipulate the Psychology and Behavior of Consumers: Theoretical research," Post-Print hal-04629533, HAL.
• Adam Bahelka & Harmen de Weerd, 2024. "Comparative analysis of Mixed-Data Sampling (MIDAS) model compared to Lag-Llama model for inflation nowcasting," Papers 2407.08510, arXiv.org.
• Xiaohui Victor Li & Francesco Sanna Passino, 2024. "FinDKG: Dynamic Knowledge Graphs with Large Language Models for Detecting Global Trends in Financial Markets," Papers 2407.10909, arXiv.org, revised Oct 2024.
• Atin Aboutorabi & Ga'etan de Rassenfosse, 2024. "Nowcasting R&D Expenditures: A Machine Learning Approach," Papers 2407.11765, arXiv.org.
• Si, Yafei & Yang, Yuyi & Wang, Xi & An, Ruopeng & Zu, Jiaqi & Chen, Xi & Fan, Xiaojing & Gong, Sen, 2024. "Quality and Accountability of Large Language Models (LLMs) in Healthcare in Low- and Middle-Income Countries (LMIC): A Simulated Patient Study using ChatGPT," GLO Discussion Paper Series 1472, Global Labor Organization (GLO).
• Vincent Ragel & Damien Challet, 2024. "Data time travel and consistent market making: taming reinforcement learning in multi-agent systems with anonymous data," Papers 2408.02322, arXiv.org.
• Lionel Fontagn'e & Francesca Micocci & Armando Rungi, 2024. "The heterogeneous impact of the EU-Canada agreement with causal machine learning," Papers 2407.07652, arXiv.org, revised Jul 2024.
• Zantsi, Siphe & Mack, Gabriele & Möhring, Anke & Cloete, Kandas & Greyling, Jan C & Mann, Stefan, 2024. "How can South Africa’s land redistribution succeed? An agent-based modelling approach for assessing structural and economic impacts," IAAE 2024 Conference, August 2-7, 2024, New Delhi, India 344233, International Association of Agricultural Economists (IAAE).
• Preetha Saha & Jingrao Lyu & Dhruv Desai & Rishab Chauhan & Jerinsh Jeyapaulraj & Philip Sommer & Dhagash Mehta, 2024. "Machine Learning-based Relative Valuation of Municipal Bonds," Papers 2408.02273, arXiv.org.
• Mingshu Li & Bhaskarjit Sarmah & Dhruv Desai & Joshua Rosaler & Snigdha Bhagat & Philip Sommer & Dhagash Mehta, 2024. "Quantile Regression using Random Forest Proximities," Papers 2408.02355, arXiv.org.
• Yoontae Hwang & Stefan Zohren & Yongjae Lee, 2024. "Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management," Papers 2407.13751, arXiv.org.
• Flora Lutz & Yuanchen Yang & Chengyu Huang, 2024. "Public Perceptions of Canada’s Investment Climate," IMF Working Papers 2024/165, International Monetary Fund.
• Araujo, Inacio F. & Donaghy, Kieran P. & Haddad, Eduardo A. & Hewings, Geoffrey J.D., 2024. "Geographical Propagation of the Economic Impacts of the ISIS Conflict in Iraq," TD NEREUS 6-2024, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS).
• Amirreza Talebi, 2024. "Simulation in discrete choice models evaluation: SDCM, a simulation tool for performance evaluation of DCMs," Papers 2407.17014, arXiv.org, revised Jul 2024.
• Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos Octavio P'erez Mendoza, 2024. "Is the difference between deep hedging and delta hedging a statistical arbitrage?," Papers 2407.14736, arXiv.org, revised Oct 2024.