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  Subjects -> BUSINESS AND ECONOMICS (Total: 3075 journals)
    - ACCOUNTING (89 journals)
    - BANKING AND FINANCE (261 journals)
    - BUSINESS AND ECONOMICS (1154 journals)
    - CONSUMER EDUCATION AND PROTECTION (24 journals)
    - COOPERATIVES (4 journals)
    - ECONOMIC SCIENCES: GENERAL (158 journals)
    - ECONOMIC SYSTEMS, THEORIES AND HISTORY (167 journals)
    - FASHION AND CONSUMER TRENDS (13 journals)
    - HUMAN RESOURCES (94 journals)
    - INSURANCE (23 journals)
    - INTERNATIONAL COMMERCE (127 journals)
    - INTERNATIONAL DEVELOPMENT AND AID (81 journals)
    - INVESTMENTS (25 journals)
    - LABOR AND INDUSTRIAL RELATIONS (43 journals)
    - MACROECONOMICS (13 journals)
    - MANAGEMENT (517 journals)
    - MARKETING AND PURCHASING (86 journals)
    - MICROECONOMICS (24 journals)
    - PRODUCTION OF GOODS AND SERVICES (138 journals)
    - PUBLIC FINANCE, TAXATION (32 journals)
    - TRADE AND INDUSTRIAL DIRECTORIES (2 journals)

BUSINESS AND ECONOMICS (1154 journals)                  1 2 3 4 5 6 | Last

Showing 1 - 200 of 1566 Journals sorted alphabetically
4OR: A Quarterly Journal of Operations Research     Hybrid Journal   (Followers: 9)
Abacus     Hybrid Journal   (Followers: 11)
Accounting Forum     Hybrid Journal   (Followers: 22)
Acta Amazonica     Open Access   (Followers: 3)
Acta Commercii     Open Access   (Followers: 2)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 4)
Acta Universitatis Danubius. Œconomica     Open Access  
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 3)
AD-minister     Open Access   (Followers: 2)
ADR Bulletin     Open Access   (Followers: 5)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 21)
Advances in Economics and Business     Open Access   (Followers: 12)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 57)
African Development Review     Hybrid Journal   (Followers: 34)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 1)
African Journal of Business Ethics     Open Access   (Followers: 7)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 6)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 11)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 4)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 4)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 124)
American Economic Journal : Economic Policy     Full-text available via subscription   (Followers: 94)
American Journal of Business     Hybrid Journal   (Followers: 14)
American Journal of Business and Management     Open Access   (Followers: 50)
American Journal of Business Education     Open Access   (Followers: 10)
American Journal of Economics and Business Administration     Open Access   (Followers: 22)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 27)
American Journal of Evaluation     Hybrid Journal   (Followers: 12)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 16)
American Journal of Health Economics     Full-text available via subscription   (Followers: 12)
American Journal of Industrial and Business Management     Open Access   (Followers: 23)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 26)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 1)
Annales de l'Institut Henri Poincare (C) Non Linear Analysis     Full-text available via subscription   (Followers: 1)
Annals in Social Responsibility     Full-text available via subscription  
Annals of Finance     Hybrid Journal   (Followers: 26)
Annals of Operations Research     Hybrid Journal   (Followers: 8)
Annual Review of Economics     Full-text available via subscription   (Followers: 29)
Applied Developmental Science     Hybrid Journal   (Followers: 4)
Applied Economics     Hybrid Journal   (Followers: 44)
Applied Economics Letters     Hybrid Journal   (Followers: 28)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 10)
Applied Financial Economics     Hybrid Journal   (Followers: 21)
Applied Mathematical Finance     Hybrid Journal   (Followers: 6)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5)
Apuntes Universitarios     Open Access   (Followers: 1)
Arab Economic and Business Journal     Open Access   (Followers: 3)
Archives of Business Research     Open Access   (Followers: 4)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 2)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 5)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 309)
Asia Pacific Viewpoint     Hybrid Journal  
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 3)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asian Business Review     Open Access   (Followers: 2)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 14)
Asian Economic Journal     Hybrid Journal   (Followers: 6)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 3)
Asian Journal of Accounting and Governance     Open Access   (Followers: 3)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 7)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 6)
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 9)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
Atlantic Economic Journal     Hybrid Journal   (Followers: 14)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 2)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 16)
Australian Economic Review     Hybrid Journal   (Followers: 7)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 11)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 1)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 5)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 11)
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 4)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Intermediate Goods Industries Survey     Full-text available via subscription   (Followers: 1)
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Motor Trade Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 2)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Survey of Business Conditions in Retail : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Trends : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Wholesale Sector Survey     Full-text available via subscription   (Followers: 1)
Berkeley Business Law Journal     Free   (Followers: 11)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 2)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 30)
Brookings Papers on Economic Activity     Open Access   (Followers: 46)
Brookings Trade Forum     Full-text available via subscription   (Followers: 3)
BRQ Business Research Quarterly     Open Access   (Followers: 2)
Building Sustainable Legacies : The New Frontier Of Societal Value Co-Creation     Full-text available via subscription   (Followers: 1)
Bulletin of Economic Research     Hybrid Journal   (Followers: 16)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 6)
Bulletin of Indonesian Economic Studies     Hybrid Journal   (Followers: 3)
Bulletin of the Dnipropetrovsk University. Series : Management of Innovations     Open Access   (Followers: 1)
Business & Entrepreneurship Journal     Open Access   (Followers: 15)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 5)
Business & Society     Hybrid Journal   (Followers: 9)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Horizons     Open Access   (Followers: 2)
Business and Economic Research     Open Access   (Followers: 5)
Business and Management Horizons     Open Access   (Followers: 11)
Business and Management Research     Open Access   (Followers: 16)
Business and Management Studies     Open Access   (Followers: 7)
Business and Politics     Hybrid Journal   (Followers: 6)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 6)
Business Ethics: A European Review     Hybrid Journal   (Followers: 16)
Business Horizons     Hybrid Journal   (Followers: 9)
Business Information Review     Hybrid Journal   (Followers: 13)
Business Management and Strategy     Open Access   (Followers: 39)
Business Research     Hybrid Journal   (Followers: 1)
Business Strategy and the Environment     Hybrid Journal   (Followers: 11)
Business Strategy Review     Hybrid Journal   (Followers: 6)
Business Strategy Series     Hybrid Journal   (Followers: 5)
Business Systems & Economics     Open Access   (Followers: 1)
Business Systems Research Journal     Open Access   (Followers: 4)
Business, Management and Education     Open Access   (Followers: 16)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal   (Followers: 1)
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 55)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 9)
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration     Hybrid Journal   (Followers: 1)
Canadian Journal of Economics/Revue Canadienne d`Economique     Hybrid Journal   (Followers: 25)
Canadian journal of nonprofit and social economy research     Open Access   (Followers: 2)
Capitalism and Society     Hybrid Journal   (Followers: 2)
Capitalism Nature Socialism     Hybrid Journal   (Followers: 11)
Case Studies in Business and Management     Open Access   (Followers: 8)
CBU International Conference Proceedings     Open Access   (Followers: 1)
Central European Business Review     Open Access   (Followers: 1)
Central European Journal of Operations Research     Hybrid Journal   (Followers: 5)
Central European Journal of Public Policy     Open Access   (Followers: 1)
CESifo Economic Studies     Hybrid Journal   (Followers: 15)
Chain Reaction     Full-text available via subscription   (Followers: 1)
Challenge     Full-text available via subscription   (Followers: 4)
China & World Economy     Hybrid Journal   (Followers: 15)
China : An International Journal     Full-text available via subscription   (Followers: 17)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 10)
China Economic Review     Hybrid Journal   (Followers: 10)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 11)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 1)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 23)
Compensation & Benefits Review     Hybrid Journal   (Followers: 6)
Competition & Change     Hybrid Journal   (Followers: 10)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 5)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Report     Hybrid Journal   (Followers: 15)
Computers & Operations Research     Hybrid Journal   (Followers: 10)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 3)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 6)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 4)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 5)
Creative and Knowledge Society     Open Access   (Followers: 10)
Creative Industries Journal     Hybrid Journal   (Followers: 8)
CRIS - Bulletin of the Centre for Research and Interdisciplinary Study     Open Access   (Followers: 1)
Crossing the Border : International Journal of Interdisciplinary Studies     Open Access   (Followers: 4)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 1)
Cuadernos de Economía     Open Access   (Followers: 1)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 1)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 1)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 8)
De Economist     Hybrid Journal   (Followers: 12)
Decision Analysis     Full-text available via subscription   (Followers: 8)
Decision Sciences     Hybrid Journal   (Followers: 15)
Decision Support Systems     Hybrid Journal   (Followers: 15)
Defence and Peace Economics     Hybrid Journal   (Followers: 16)
der markt     Hybrid Journal   (Followers: 1)
Desenvolvimento em Questão     Open Access  

        1 2 3 4 5 6 | Last

Journal Cover Computational Economics
  [SJR: 0.24]   [H-I: 30]   [9 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1572-9974 - ISSN (Online) 0927-7099
   Published by Springer-Verlag Homepage  [2335 journals]
  • Optimal Influence Strategies in Social Networks
    • Authors: Christos Bilanakos; Dionisios N. Sotiropoulos; Ifigeneia Georgoula; George M. Giaglis
      Pages: 517 - 561
      Abstract: This paper suggests a modeling framework to investigate the optimal strategy followed by a monopolistic firm aiming to manipulate the process of opinion formation in a social network. The monopolist and a set of consumers communicate to form their beliefs about the underlying product quality. Since the firm’s associated optimization problem can be analytically solved only under specific assumptions, we rely on the sequential quadratic programming computational approach to characterize the equilibrium. When consumers’ initial beliefs are uniform, the firm’s optimal influence strategy always involves targeting the most influential consumer. For the case of non-uniform initial beliefs, the monopolist might target the less influential consumer if the latter’s initial opinion is low enough. The probability of investing more in the consumer with the lower influence increases with the distance between consumers’ initial beliefs and with the degree of trust attributed on consumers by the firm. The firm’s profit is minimized when consumers’ influences become equal, implying that the firm benefits from the presence of consumers with divergent strategic locations in the network. In the absence of a binding constraint on total investment, the monopolist’s incentives to manipulate the network decrease with consumers’ initial beliefs and might either increase or decrease with the trust put in consumers’ opinion by the firm. Finally, the firm’s strategic motivation to communicate persistently high beliefs during the opinion formation process is positively associated with the market size, with the available budget and with the direct influence of the most influential consumer on the other but negatively associated with consumers’ initial valuation of the good.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9568-1
      Issue No: Vol. 49, No. 4 (2017)
       
  • Parallel Optimization of Sparse Portfolios with AR-HMMs
    • Authors: I. Róbert Sipos; Attila Ceffer; János Levendovszky
      Pages: 563 - 578
      Abstract: In this paper we optimize mean reverting portfolios subject to cardinality constraints. First, the parameters of the corresponding Ornstein–Uhlenbeck (OU) process are estimated by auto-regressive Hidden Markov Models (AR-HMM), in order to capture the underlying characteristics of the financial time series. Portfolio optimization is then performed by maximizing the return achieved with a predefined probability instead of optimizing the predictability parameter, which provides more profitable portfolios. The selection of the optimal portfolio according to the goal function is carried out by stochastic search algorithms. The presented solutions satisfy the cardinality constraint in terms of providing a sparse portfolios which minimize the transaction costs (and, as a result, maximize the interpretability of the results). In order to use the method for high frequency trading (HFT) we utilize a massively parallel GPGPU architecture. Both the portfolio optimization and the model identification algorithms are successfully tailored to be running on GPGPU to meet the challenges of efficient software implementation and fast execution time. The performance of the new method has been extensively tested both on historical daily and intraday FOREX data and on artificially generated data series. The results demonstrate that a good average return can be achieved by the proposed trading algorithm in realistic scenarios. The speed profiling has proven that GPGPU is capable of HFT, achieving high-throughput real-time performance.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9579-y
      Issue No: Vol. 49, No. 4 (2017)
       
  • A Non-iterative Bayesian Sampling Algorithm for Linear Regression Models
           with Scale Mixtures of Normal Distributions
    • Authors: Fengkai Yang; Haijing Yuan
      Pages: 579 - 597
      Abstract: The scale mixtures of Normal distributions are used as a robust alternative to the normal distribution in linear regression modelling, and a non-iterative Bayesian sampling algorithm is developed to obtain independently and identically distributed samples approximately from the observed posterior distributions, which eliminates the convergence problems in iterative Gibbs sampling. Model selection and influential analysis are conducted to choose the best fitted model and to detect the latent outliers. The performances of the methodologies are illustrated through several simulation studies by comparison with the Normal regression and Gibbs sampling, and finally, the US treasury bond prices data is analyzed using the proposed algorithm.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9580-5
      Issue No: Vol. 49, No. 4 (2017)
       
  • Adaptive Quadrature for Maximum Likelihood Estimation of a Class of
           Dynamic Latent Variable Models
    • Authors: Silvia Cagnone; Francesco Bartolucci
      Pages: 599 - 622
      Abstract: Maximum likelihood estimation of models based on continuous latent variables generally requires to solve integrals that are not analytically tractable. Numerical approximations represent a possible solution to this problem. We propose to use the adaptive Gaussian–Hermite (AGH) numerical quadrature approximation for a particular class of continuous latent variable models for time-series and longitudinal data. These dynamic models are based on time-varying latent variables that follow an autoregressive process of order 1, AR(1). Two examples are the stochastic volatility models for the analysis of financial time series and the limited dependent variable models for the analysis of panel data. A comparison between the performance of AGH methods and alternative approximation methods proposed in the literature is carried out by simulation. Empirical examples are also used to illustrate the proposed approach.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9573-4
      Issue No: Vol. 49, No. 4 (2017)
       
  • The Comparison of Power and Optimization Algorithms on Unit Root Testing
           with Smooth Transition
    • Authors: Tolga Omay; Furkan Emirmahmutoğlu
      Pages: 623 - 651
      Abstract: The aim of this study is to search for a better optimization algorithm in applying unit root tests that inherit nonlinear models in the testing process. The algorithms analyzed include Broyden, Fletcher, Goldfarb and Shanno (BFGS), Gauss–Jordan, Simplex, Genetic, sequential quadratic programming and extensive grid-search. The simulation results indicate that the derivative free methods, such as Genetic and Simplex, have advantages over hill climbing methods, such as BFGS and Gauss–Jordan, in obtaining accurate critical values for the Leybourne et al. (J Time Ser Anal 19:83–97, 1998) (LNV) and Sollis (J Time Ser Anal 25:409–417, 2004) unit root tests. Besides, we extend our analysis by including exponential smooth transition type of trend function in to unit root testing which is not used in the previous literature. The same result also holds true for our newly proposed unit root test with exponential smooth transition function type of trend model. Furthermore, we realize that there is a gap in the unit root studies that the newly proposed tests are not analyzed between each other’s data generating process (DGP). Hence, we investigate the power comparison of different nonlinear unit root test under various DGP including nonlinear unit root tests and find interesting results such as LNV type unit root test can manage to capture state dependent nonlinearity when the transition speed is high. Finally, we have used the Australian real interest rate parity hypothesis to empirically verify the results that we have obtained in the simulation studies.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9574-3
      Issue No: Vol. 49, No. 4 (2017)
       
  • Simple Agents, Intelligent Markets
    • Authors: Karim Jamal; Michael Maier; Shyam Sunder
      Pages: 653 - 675
      Abstract: Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate agents’ private information to others. Markets populated by human agents are known to be capable of converging to rational expectations equilibria. This paper reports comparable market outcomes when human agents are replaced by boundedly-rational algorithmic agents who use a simple means-end heuristic. These algorithmic agents lack the capability to optimize; yet outcomes of markets populated by them converge near the equilibrium derived from optimization assumptions. These findings point to market structure (rather than cognition or optimization) being an important determinant of efficient aggregate level outcomes.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9582-3
      Issue No: Vol. 49, No. 4 (2017)
       
  • Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles
    • Authors: Aykut Ekinci; Halil İbrahim Erdal
      Pages: 677 - 686
      Abstract: The prediction of bankruptcy for financial companies, especially banks, has been extensively researched area and creditors, auditors, stockholders and senior managers are all interested in bank bankruptcy prediction. In this paper, three common machine learning models namely Logistic, J48 and Voted Perceptron are used as the base learners. In addition, an attribute-base ensemble learning method namely Random Subspaces and two instance-base ensemble learning methods namely Bagging and Multi-Boosting are employed to enhance the prediction accuracy of conventional machine learning models for bank failure prediction. The models are grouped in the following families of approaches: (i) conventional machine learning models, (ii) ensemble learning models and (iii) hybrid ensemble learning models. Experimental results indicate a clear outperformance of hybrid ensemble machine learning models over conventional base and ensemble models. These results indicate that hybrid ensemble learning models can be used as a reliable predicting model for bank failures.
      PubDate: 2017-04-01
      DOI: 10.1007/s10614-016-9623-y
      Issue No: Vol. 49, No. 4 (2017)
       
  • A note on the Estimation of a Gamma-Variance Process: Learning from a
           Failure
    • Authors: Gian P. Cervellera; Marco P. Tucci
      Pages: 363 - 385
      Abstract: This paper confirms that, as originally reported in Seneta (Journal of Applied Probability 41:177–187, 2004, p. 183), it is impossible to replicate Madan et al. (European Finance Review 2:135–156, 1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994. This failure leads to a close investigation of the computational problems associated with finding maximum likelihood estimates of the parameters of the popular VG model. Both standard econometric software, such as R, low level programming languages, such as Matlab \(^{\textregistered }\) , and non-standard optimization software, such as Ezgrad described in Tucci (Journal of Economic Dynamics and Control 26:1739–1764, 2002), are used. The complexity of the log-likelihood function is studied. It is shown that it looks very complicated, with many local optima, and may be incredibly sensitive to very small changes in the sample used. Adding or removing a single observation may cause huge changes both in the maximum of the log-likelihood function and in the estimated parameter values. An intuitive procedure which works nicely both when implemented in R and in Matlab \(^{\textregistered }\) is presented.
      PubDate: 2017-03-01
      DOI: 10.1007/s10614-016-9566-3
      Issue No: Vol. 49, No. 3 (2017)
       
  • Accurate and Robust Numerical Methods for the Dynamic Portfolio Management
           Problem
    • Authors: Fei Cong; Cornelis W. Oosterlee
      Pages: 433 - 458
      Abstract: This paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt et al. (Review of Financial Studies, 18(3):831–873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid Bundling Method (SGBM), for calculating conditional expectations. When solving the first-order conditions for a portfolio optimum, we implement a Taylor series expansion based on a nonlinear decomposition to approximate the utility functions. In the numerical tests, we show that our algorithm is accurate and robust in approximating the optimal investment strategies, which are generated by a new benchmark approach based on the COS method (Fang and Oosterlee, in SIAM Journal of Scientific Computing, 31(2):826–848, 2008).
      PubDate: 2017-03-01
      DOI: 10.1007/s10614-016-9569-0
      Issue No: Vol. 49, No. 3 (2017)
       
  • Robust Monte Carlo Method for R&D Real Options Valuation
    • Authors: Marta Biancardi; Giovanni Villani
      Pages: 481 - 498
      Abstract: This paper is devoted to developing a robust numerical analysis of least squares Monte Carlo (LSM) in valuing R&D investment opportunities. As it is well known, R&D projects are characterized by sequential investments and therefore they can be considered as compound options involving a set of interacting American-type options. The basic Monte Carlo simulation takes a long time and it is computationally intensive and inefficient. In this context, LSM method is a powerful and flexible tool for capital budgeting decisions and for valuing R&D investments. In particular way, numerical tests are performed to examine the optimal choice of basis function and polynomial degree in terms of reduction of the execution time, accuracy and improvement in the simulation.
      PubDate: 2017-03-01
      DOI: 10.1007/s10614-016-9578-z
      Issue No: Vol. 49, No. 3 (2017)
       
  • Decision Theory Matters for Financial Advice
    • Authors: Thorsten Hens; János Mayer
      Abstract: We show that the optimal asset allocation for an investor depends crucially on the decision theory with which the investor is modeled. For the same market data and the same client data different theories lead to different portfolios. The market data we consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the theories we apply are mean–variance analysis, expected utility analysis and cumulative prospect theory. For testing the robustness of our results, we carry out the comparisons for alternative data sets and also for variants of the risk profiling question.
      PubDate: 2017-03-20
      DOI: 10.1007/s10614-017-9668-6
       
  • Financial Soundness Prediction Using a Multi-classification Model:
           Evidence from Current Financial Crisis in OECD Banks
    • Authors: D. Fernández-Arias; M. López-Martín; T. Montero-Romero; F. Martínez-Estudillo; F. Fernández-Navarro
      Abstract: The paper aims to develop an early warning model that separates previously rated banks (337 Fitch-rated banks from OECD) into three classes, based on their financial health and using a one-year window. The early warning system is based on a classification model which estimates the Fitch ratings using Bankscope bank-specific data, regulatory and macroeconomic data as input variables. The authors propose a “hybridization technique” that combines the Extreme learning machine and the Synthetic Minority Over-sampling Technique. Due to the imbalanced nature of the problem, the authors apply an oversampling technique on the data aiming to improve the classification results on the minority groups. The methodology proposed outperforms other existing classification techniques used to predict bank solvency. It proved essential in improving average accuracy and especially the performance of the minority groups.
      PubDate: 2017-03-17
      DOI: 10.1007/s10614-017-9676-6
       
  • On the Allocation of Multiple Divisible Assets to Players with Different
           Utilities
    • Authors: Ephraim Zehavi; Amir Leshem
      Abstract: When there is a dispute between players on how to divide multiple divisible assets, how should it be resolved? In this paper we introduce a multi-asset game model that enables cooperation between multiple agents who bargain on sharing K assets, when each player has a different value for each asset. It thus extends the sequential discrete Raiffa solution and the Talmud rule solution to multi-asset cases.
      PubDate: 2017-03-16
      DOI: 10.1007/s10614-017-9673-9
       
  • Comparing Solution Methods for DSGE Models with Labor Market Search
    • Authors: Hong Lan
      Abstract: I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to third order in both levels and logs. Evaluated by two accuracy tests, the projection approximation achieves the highest degree of accuracy, closely followed by the third order perturbation in levels. Although different in accuracy, all the approximated solutions produce simulated moments similar in value.
      PubDate: 2017-03-11
      DOI: 10.1007/s10614-017-9670-z
       
  • A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend
           Models
    • Authors: Lourdes Uribe; Benjamin Perea; Gerardo Hernández-del-Valle; Oliver Schütze
      Abstract: GARCH with trend models represent an efficient tool for the analysis of different commodities via testing for a linear trend in the volatilities. However, to obtain the volatility of a given time series an instance from a particular class of scalar optimization problems (SOPs) has to be solved which still represents a challenge for existing solvers. We propose here a novel algorithm for the efficient numerical solution of such global optimization problems. The algorithm, DE–N, is a hybrid of Differential Evolution and the Newton method. The latter is widely used for the treatment of GARCH related models, but cannot be used as standalone algorithm in this case as the SOPs contain many local minima. The algorithm is tested and compared to some state-of-the-art methods on a benchmark suite consisting of 42 monthtly agricultural commodities series of the Mexican Consumer Price Index basket as well as on two series related to international prices. The results indicate that DE–N is highly competitive and that it is able to reliably solve SOPs derived from GARCH with trend models.
      PubDate: 2017-03-10
      DOI: 10.1007/s10614-017-9666-8
       
  • Influence of Inefficiency in Government Expenditure on the Multiplier of
           Public Investment
    • Authors: Shigeaki Ogibayashi; Kosei Takashima
      Abstract: The multiplier of public investment has been expected to far exceed 1, owing to the indirect influence of public spending. However, it has been reported that actual multipliers for a real economy are sometimes <1; the reason for this has not been adequately explained in the literature. This study analyzes the influence of inefficient public expenditure on gross domestic product, using both an agent-based model and a theoretical derivation of the equation for the multiplier of public investment, the latter of which is based on our revised version of Morishima’s economic linkage table. The use of both of these instruments indicates that gross domestic product decreases with an increase in the inefficiency of public expenditure, which is defined as the ratio of firm subsidies to the government’s total expenditure. The multiplier of public investment becomes <1 when the degree of inefficiency is sufficiently large, and the ratio of the firm’s investment spending to the total amount of subsidy funding is sufficiently small. A multiplier lower than 1 is thought to appear when the degree of inefficiency in public expenditure is sufficiently large and firms are reluctant to invest; much of the surplus amount of subsidized funds can be deposited into a bank account, thus reducing the money stock in the market.
      PubDate: 2017-03-09
      DOI: 10.1007/s10614-017-9671-y
       
  • State and Network Structures of Stock Markets Around the Global Financial
           Crisis
    • Authors: Jae Woo Lee; Ashadun Nobi
      Abstract: We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using the mean and standard deviation of cross-correlation coefficients. When the threshold is equal to the mean of these coefficients, we observe a giant cluster composed of three economic zones in all three periods. We find that during the crisis, the countries in the Asian zone were weakly connected and those in the American zone were tightly linked to the countries in the European zone. At a large threshold, the three economic zones were fragmented. The European countries connected tightly, but the Asian countries bound weakly. The MST constructed from the distance matrix. In the MST, France remained a hub node in all three periods. The size of the MST shrank slightly during the crisis. We observe a scaling relation between the network distance of nodes from the central hub (France) and the geometrical distance. We observe the topological change of the financial network structure during the global financial crisis. The TN and MST are complementary roles to understand the connecting structure of financial complex networks. The TN reveals to observe the clustering effects and robustness of the cluster during the financial crisis. The MST shows the central hub and connecting node among the economic zones.
      PubDate: 2017-03-07
      DOI: 10.1007/s10614-017-9672-x
       
  • Testing for Unit Roots in Dynamic Panels with Smooth Breaks and
           Cross-Sectionally Dependent Errors
    • Authors: Tolga Omay; Mübariz Hasanov; Yongcheol Shin
      Abstract: We develop the extended unit root testing procedure for dynamic panels characterised by slowly moving trends (SMT) and cross-section dependence (CSD). We allow SMT to follow the smooth logistic transition function and the components error terms to contain the unobserved common factors. We propose the two panel unit root test statistics, one derived by the extended common correlated effects (CCE) estimator and the other based on the Sieve bootstrap. We have conducted extensive simulation exercises and document that the failure to take into account SMT and CSD may lead to misleading inference. On the other hand, we find that both bootstrap and CCE-based tests maintain good power properties in small samples in the presence SMT and CSD. We apply our proposed tests to real interest rates for 17 OECD countries and find overwhelming evidence in favour of the Fisher hypothesis.
      PubDate: 2017-03-07
      DOI: 10.1007/s10614-017-9667-7
       
  • An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio
           Choice Problem Under Cumulative Prospect Theory
    • Authors: Chao Gong; Chunhui Xu; Ji Wang
      Abstract: Cumulative prospect theory (CPT) has become one of the most popular approaches for evaluating the behavior of decision makers under conditions of uncertainty. Substantial experimental evidence suggests that human behavior may significantly deviate from the traditional expected utility maximization framework when faced with uncertainty. The problem of portfolio selection should be revised when the investor’s preference is for CPT instead of expected utility theory. However, because of the complexity of the CPT function, little research has investigated the portfolio choice problem based on CPT. In this paper, we present an operational model for portfolio selection under CPT, and propose a real-coded genetic algorithm (RCGA) to solve the problem of portfolio choice. To overcome the limitations of RCGA and improve its performance, we introduce an adaptive method and propose a new selection operator. Computational results show that the proposed method is a rapid, effective, and stable genetic algorithm.
      PubDate: 2017-03-06
      DOI: 10.1007/s10614-017-9669-5
       
  • An Automated Investing Method for Stock Market Based on Multiobjective
           Genetic Programming
    • Authors: Alexandre Pimenta; Ciniro A. L. Nametala; Frederico G. Guimarães; Eduardo G. Carrano
      Abstract: Stock market automated investing is an area of strong interest for the academia, casual, and professional investors. In addition to conventional market methods, various sophisticated techniques have been employed to deal with such a problem, such as ARCH/GARCH predictors, artificial neural networks, fuzzy logic, etc. A computational system that combines a conventional market method (technical analysis), genetic programming, and multiobjective optimization is proposed in this work. This system was tested in six historical time series of representative assets from Brazil stock exchange market (BOVESPA). The proposed method led to profits considerably higher than the variation of the assets in the period. The financial return was positive even in situations in which the share lost market value.
      PubDate: 2017-03-02
      DOI: 10.1007/s10614-017-9665-9
       
 
 
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