Works matching IS 09277099 AND DT 2024 AND VI 64 AND IP 5

Results: 20

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 3027, doi. 10.1007/s10614-024-10556-x

By:

Luxenberg, Eric;
Schiele, Philipp;
Boyd, Stephen

Publication type:

Article

Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 3117, doi. 10.1007/s10614-024-10555-y

By:

Dai, Tian-Shyr;
Chen, Bo-Jen;
Sun, You-Jia;
Yang, Dong-Yuh;
Wu, Mu-En

Publication type:

Article

The Effects of Economic Uncertainty and Trade Policy Uncertainty on Industry-Specific Stock Markets Equity.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2909, doi. 10.1007/s10614-024-10552-1

By:

Younis, Ijaz;
Gupta, Himani;
Shah, Waheed Ullah;
Sharif, Arshian;
Tang, Xuan

Publication type:

Article

Option Pricing and Local Volatility Surface by Physics-Informed Neural Network.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 3143, doi. 10.1007/s10614-024-10551-2

By:

Bae, Hyeong-Ohk;
Kang, Seunggu;
Lee, Muhyun

Publication type:

Article

China's business cycle forecasting: a machine learning approach.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2783, doi. 10.1007/s10614-024-10549-w

By:

Tang, Pan;
Zhang, Yuwei

Publication type:

Article

Scoring Six Detrending Methods on Timing, Lead-Lag Relations, and Cycle Periods: An Empirical Study of US and UK Recessions 1977–2020.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 3087, doi. 10.1007/s10614-024-10548-x

By:

Seip, Knut Lehre;
Zhang, Dan

Publication type:

Article

Increasing the Hong Kong Stock Market Predictability: A Temporal Convolutional Network Approach.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2853, doi. 10.1007/s10614-024-10547-y

By:

Chen, Shun;
Guo, Lingling;
Ge, Lei

Publication type:

Article

Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 3049, doi. 10.1007/s10614-023-10545-6

By:

Mozumder, Sharif;
Abedin, Mohammad Zoynul;
Lalon, Raad;
Hossain, Amjad

Publication type:

Article

Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2935, doi. 10.1007/s10614-023-10544-7

By:

Evkaya, Ozan;
Gür, İsmail;
Yıldırım Külekci, Bükre;
Poyraz, Gülden

Publication type:

Article

Determinants of Nonperforming Loans: A Global Data Analysis.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2695, doi. 10.1007/s10614-023-10543-8

By:

Salas, MBelen;
Lamothe, Prosper;
Delgado, Enrique;
Fernández-Miguélez, Angel L.;
Valcarce, Lucia

Publication type:

Article

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2717, doi. 10.1007/s10614-023-10539-4

By:

Ti, Yen-Wu;
Dai, Tian-Shyr;
Wang, Kuan-Lun;
Chang, Hao-Han;
Sun, You-Jia

Publication type:

Article

Machine Learning-Based Approach for Predicting the Altcoins Price Direction Change from a High-Frequency Data of Seven Years Based on Socio-Economic Factors, Bitcoin Prices, Twitter and News Sentiments.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2981, doi. 10.1007/s10614-023-10538-5

By:

Gupta, Anamika;
Pandey, Gaurav;
Gupta, Rajan;
Das, Smaran;
Prakash, Ajmera;
Garg, Kartik;
Sarkar, Shreyan

Publication type:

Article

Combining Feature Selection and Classification Using LASSO-Based MCO Classifier for Credit Risk Evaluation.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2641, doi. 10.1007/s10614-023-10535-8

By:

Li, Xiufang;
Zhang, Zhiwang;
Li, Lingyun;
Pan, Hui

Publication type:

Article

Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2605, doi. 10.1007/s10614-023-10534-9

By:

Guo, Yanyu;
Zhang, Zhicheng;
Li, Jizu;
Du, Huayun

Publication type:

Article

The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2663, doi. 10.1007/s10614-023-10532-x

By:

Bağcı, Mahmut;
Kaya Soylu, Pınar;
Kıran, Selçuk

Publication type:

Article

A General Inferential Framework for Singly-Truncated Bivariate Normal Models with Applications in Economics.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2747, doi. 10.1007/s10614-023-10525-w

By:

Liu, Yin;
Tian, Guo-Liang;
Zhang, Chi;
Qin, Hong

Publication type:

Article

Learning Bermudans.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2813, doi. 10.1007/s10614-023-10517-w

By:

Aiolfi, Riccardo;
Moreni, Nicola;
Bianchetti, Marco;
Scaringi, Marco

Publication type:

Article

Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2685, doi. 10.1007/s10614-023-10516-x

By:

Miranda, L. L. B.;
Lima, L. S.

Publication type:

Article

Cryptocurrency Exchange Simulation.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2585, doi. 10.1007/s10614-023-10495-z

By:

Mansurov, Kirill;
Semenov, Alexander;
Grigoriev, Dmitry;
Radionov, Andrei;
Ibragimov, Rustam

Publication type:

Article

Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model.

Published in:

Computational Economics, 2024, v. 64, n. 5, p. 2879, doi. 10.1007/s10614-023-10468-2

By:

Lin, Xenos Chang-Shuo;
Miao, Daniel Wei-Chung;
Chang, Emma En-Tze

Publication type:

Article