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  Subjects -> BUSINESS AND ECONOMICS (Total: 3251 journals)
    - ACCOUNTING (99 journals)
    - BANKING AND FINANCE (275 journals)
    - BUSINESS AND ECONOMICS (1197 journals)
    - COOPERATIVES (4 journals)
    - ECONOMIC SCIENCES: GENERAL (184 journals)
    - HUMAN RESOURCES (96 journals)
    - INSURANCE (26 journals)
    - INTERNATIONAL COMMERCE (132 journals)
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    - MANAGEMENT (541 journals)
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    - MICROECONOMICS (23 journals)
    - PUBLIC FINANCE, TAXATION (36 journals)

BUSINESS AND ECONOMICS (1197 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: 10)
Abacus     Hybrid Journal   (Followers: 13)
Accounting Forum     Hybrid Journal   (Followers: 25)
Acta Amazonica     Open Access   (Followers: 5)
Acta Commercii     Open Access   (Followers: 4)
Acta Oeconomica     Full-text available via subscription   (Followers: 3)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 8)
Acta Universitatis Danubius. Œconomica     Open Access   (Followers: 3)
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 4)
AD-minister     Open Access   (Followers: 3)
Adam Academy : Journal of Social Sciences / Adam Akademi : Sosyal Bilimler Dergisi     Open Access  
Admisi dan Bisnis     Open Access  
ADR Bulletin     Open Access   (Followers: 5)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 23)
Advances in Economics and Business     Open Access   (Followers: 13)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 64)
African Development Review     Hybrid Journal   (Followers: 37)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 3)
African Journal of Business Ethics     Open Access   (Followers: 6)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 7)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 10)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 7)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 180)
American Enterprise Institute     Free  
American Journal of Business     Hybrid Journal   (Followers: 17)
American Journal of Business and Management     Open Access   (Followers: 54)
American Journal of Business Education     Open Access   (Followers: 12)
American Journal of Economics and Business Administration     Open Access   (Followers: 26)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 30)
American Journal of Evaluation     Hybrid Journal   (Followers: 14)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 21)
American Journal of Health Economics     Full-text available via subscription   (Followers: 13)
American Journal of Industrial and Business Management     Open Access   (Followers: 24)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 27)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 3)
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: 30)
Annals of Operations Research     Hybrid Journal   (Followers: 10)
Annual Review of Economics     Full-text available via subscription   (Followers: 32)
Anuario Facultad de Ciencias Económicas y Empresariales     Open Access   (Followers: 2)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 42)
Applied Economics Letters     Hybrid Journal   (Followers: 29)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 9)
Applied Financial Economics     Hybrid Journal   (Followers: 25)
Applied Mathematical Finance     Hybrid Journal   (Followers: 8)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 6)
Arab Economic and Business Journal     Open Access   (Followers: 4)
Archives of Business Research     Open Access   (Followers: 6)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 4)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 7)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 315)
Asia Pacific Journal of Innovation and Entrepreneurship     Open Access  
Asia Pacific Viewpoint     Hybrid Journal   (Followers: 1)
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 5)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asia-Pacific Management and Business Application     Open Access   (Followers: 1)
Asian Business Review     Open Access   (Followers: 3)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 13)
Asian Economic Journal     Hybrid Journal   (Followers: 8)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 4)
Asian Journal of Accounting and Governance     Open Access   (Followers: 3)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 9)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 7)
Asian Journal of Sustainability and Social Responsibility     Open Access   (Followers: 1)
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 8)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
ATA Journal of Legal Tax Research     Full-text available via subscription   (Followers: 4)
Atlantic Economic Journal     Hybrid Journal   (Followers: 11)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 1)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 32)
Australian Economic Review     Hybrid Journal   (Followers: 3)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 9)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 2)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 10)
Benefit : Jurnal Manajemen dan Bisnis     Open Access   (Followers: 1)
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 3)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Intermediate Goods Industries Survey     Full-text available via subscription  
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Motor Trade Survey     Full-text available via subscription  
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 1)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 3)
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: 1)
BER : Wholesale Sector Survey     Full-text available via subscription  
Berkeley Business Law Journal     Free   (Followers: 9)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
BizInfo (Blace) Journal of Economics, Management and Informatics     Open Access  
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Boletim Técnico do Senac     Open Access  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 4)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 36)
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: 17)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 5)
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: 19)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 4)
Business & Society     Hybrid Journal   (Followers: 10)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Research     Open Access   (Followers: 7)
Business and Management Horizons     Open Access   (Followers: 12)
Business and Management Research     Open Access   (Followers: 18)
Business and Management Studies     Open Access   (Followers: 11)
Business and Politics     Hybrid Journal   (Followers: 8)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 9)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 13)
Business Ethics: A European Review     Hybrid Journal   (Followers: 18)
Business Horizons     Hybrid Journal   (Followers: 8)
Business Information Review     Hybrid Journal   (Followers: 14)
Business Management and Strategy     Open Access   (Followers: 41)
Business Research     Hybrid Journal   (Followers: 2)
Business Strategy and the Environment     Hybrid Journal   (Followers: 13)
Business Strategy Review     Hybrid Journal   (Followers: 7)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Business Systems & Economics     Open Access   (Followers: 2)
Business Systems Research Journal     Open Access   (Followers: 5)
Business, Management and Education     Open Access   (Followers: 17)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal  
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 61)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 10)
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: 29)
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: 17)
Case Studies in Business and Management     Open Access   (Followers: 10)
CBU International Conference Proceedings     Open Access   (Followers: 3)
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: 2)
CESifo Economic Studies     Hybrid Journal   (Followers: 17)
Chain Reaction     Full-text available via subscription  
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: 19)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 13)
China Economic Review     Hybrid Journal   (Followers: 11)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 12)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 4)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 27)
Compensation & Benefits Review     Hybrid Journal   (Followers: 7)
Competition & Change     Hybrid Journal   (Followers: 11)
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 Review     Hybrid Journal   (Followers: 17)
Computers & Operations Research     Hybrid Journal   (Followers: 12)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 5)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 7)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 5)
Creative and Knowledge Society     Open Access   (Followers: 9)
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: 5)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 2)
Cuadernos de Economía     Open Access   (Followers: 2)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 2)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 2)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 12)

        1 2 3 4 5 6 | Last

Journal Cover
Computational Economics
Journal Prestige (SJR): 0.433
Citation Impact (citeScore): 1
Number of Followers: 9  
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1572-9974 - ISSN (Online) 0927-7099
Published by Springer-Verlag Homepage  [2350 journals]
  • Entropy Pooling with Discrete Weights in a Time-Dependent Setting
    • Abstract: Long term investors typically base their allocation decisions on a combination of expert knowledge and forecasting models. The forecasting models combine historical data with forward-looking market assumptions to produce a multivariate density forecast for the relevant asset classes. The investor’s allocation decisions, however, can be sensitive to small adjustments in these density forecasts. In this paper, we present a framework for adjusting density forecasts and, in particular, the forecast’s correlation structure. For this, we use the computational approach to Meucci’s entropy pooling method. When the density forecast is represented by sample points, the computational approach adjusts the density forecast by assigning weights to the sample points. This paper contributes to the literature in two ways. First, we show how to apply the computational approach in a time-dependent setting with sample paths, called scenarios, instead of sample points. Second, to ease the method’s use in practice, we present a heuristic that forces the resulting weights to be discrete. With this, the adjusted density forecast can be represented by a finite number of equally weighted scenarios.
      PubDate: 2018-06-07
      DOI: 10.1007/s10614-018-9824-7
  • On Jackknife-After-Bootstrap Method for Dependent Data
    • Abstract: In this paper, we adapt sufficient and ordered non-overlapping block bootsrap methods into jackknife-after-bootstrap (JaB) algorithm to estimate the standard error of a statistic where observations form a stationary sequence. We also extend the JaB algorithm to obtain prediction intervals for future returns and volatilities of GARCH processes. The finite sample properties of the proposed methods are illustrated by an extensive simulation study and they are applied to S&P 500 stock index data. Our findings reveal that the proposed algorithm often exhibits improved performance and, is computationally more efficient compared to conventional JaB method.
      PubDate: 2018-06-06
      DOI: 10.1007/s10614-018-9827-4
  • Developing a Risk-Based Approach for American Basket Option Pricing
    • Authors: Ehsan Hajizadeh; Masoud Mahootchi
      Abstract: Options are one of the important financial contracts for reducing the risk of investors. Many active practitioners in the financial markets really believe that mispricing or incorrect valuation of these securities would be the main reason of collapse of some financial institutions. The complexity of option pricing/valuation, especially in the case of American basket options, as high dimensional options, has motivated many researchers to develop numerical and simulation-based models. In this paper, a new simulation-based approach for pricing/valuation of American basket option with risk consideration is proposed. Having the prices obtained through Longstaff–Schwartz methodology, which is based on Approximate Dynamic Programming as a risk-neutral approach, we propose a new approach for pricing the American basket option according to the worst-case (pessimistic/risk-averse) and the best-case (optimistic/risk-taking) scenarios. Furthermore, for scenarios generation, we use a Monte Carlo simulation technique using a t-student copula-GARCH method and Extreme Value Theory to handle the nonlinearity of dependencies between variables. To verify the computational efficiency and the accuracy of the proposed methodology, we compare the results of prices obtained through the proposed models with those achieved through the Monte Carlo simulation and the method developed by Ju for European basket options. Moreover, the developed models are tested using out-sample scenarios to explore what would happen if investors bought the option with the obtained prices through three different strategies: risk-averse, risk-neutral, and risk-taking approaches.
      PubDate: 2018-06-05
      DOI: 10.1007/s10614-018-9826-5
  • Stress Testing for Retail Mortgages Based on Probability Analysis
    • Authors: Chang Liu; Raja Nassar
      Abstract: One big problem with stress testing used by banks, regulators, and international financial organization is that the test does not predict occurrence probabilities of certain pre-specified stress scenarios and their consequent loss to be expected, which is, however, the real purpose of stress testing in the first place. As a result, institutes lack information sufficient enough for preserving appropriate resources to hedge risks prompted by these scenarios. In this study we use real life retail mortgages from a Chinese commercial bank and propose a stress testing approach based on probability analysis of different scenarios. This method would provide not only the amount of expected loss, but also that of the loan distributed over the loan classification states: Standard, Special Mention, Substandard, Doubtful, Loss, and Paid-off. Consequently, the bank management would have useful information when making credit operation policy decisions. In addition, the models and algorithms, providing practical risk management tools for banks and regulators, could be implemented on other commercial credit products as well.
      PubDate: 2018-06-02
      DOI: 10.1007/s10614-018-9825-6
  • An Efficient Algorithm for Options Under Merton’s Jump-Diffusion
           Model on Nonuniform Grids
    • Authors: Yingzi Chen; Wansheng Wang; Aiguo Xiao
      Abstract: In this paper, we consider the fast numerical valuation of European and American options under Merton’s jump-diffusion model, which is given by a partial integro-differential equations. Due to the singularities and discontinuities of the model, the time-space grids are nonuniform with refinement near the strike price and expiry. On such nonuniform grids, the spatial differential operators are discretized by finite difference methods, and time stepping is performed using the discontinuous Galerkin finite element method. Owing to the nonuniform grids, algebraic multigrid method is used for solving the dense algebraical system resulting from the discretization of the integral term associated with jumps in models, which is more challenging. Numerical comparison of algebraic multigrid, the generalized minimal residual method, and the incomplete LU preconditioner shows that algebraic multigrid method is superior to and more effective than the other two methods in solving such dense algebraical system.
      PubDate: 2018-06-02
      DOI: 10.1007/s10614-018-9823-8
  • A Nationwide or Localized Housing Crisis' Evidence from Structural
           Instability in US Housing Price and Volume Cycles
    • Authors: MeiChi Huang
      Abstract: This study provides fresh implications for the puzzle of the recent housing boom-bust cycle in the United States. It extracts housing factors from housing price and volume time series at state and regional levels under a dynamic factor model, which considers three varieties of structural instability in local housing markets. The findings suggest that state-level housing price cycles are more unstable than housing volume cycles, and the probability of rejecting stability for the Northeast is the highest among four regional housing markets. In general, the housing market forecasts based on 1988–2012 full-sample factors and time-varying coefficients across pre- and post-1999 subperiods are superior to alternatives. The factor-based forecast results provide new evidence for a nationwide housing crisis in 2007–2008, and thus suggest possible effectiveness of monetary policies in stabilizing recent housing boom-bust cycles.
      PubDate: 2018-05-31
      DOI: 10.1007/s10614-018-9822-9
  • Preface Special Issue of Computational Economics Commemorating the Birth
           Centennial of Herbert Simon
    • Authors: K. Vela Velupillai; Ragupathy Venkatachalam
      PubDate: 2018-05-15
      DOI: 10.1007/s10614-018-9812-y
  • Stress-Testing U.S. Macroeconomic Policy: A Computational Approach Using
           Stochastic and Robust Designs in a Wavelet-Based Optimal Control Framework
    • Authors: David Hudgins; Patrick M. Crowley
      Abstract: This paper analyzes fiscal and monetary policy in a wavelet-based model under stochastic and mixed minimax robust optimal control. A state-space model is constructed after applying the Maximal Overlap Discrete Wavelet Transform to U.S. quarterly real GDP data. We derive the theoretical framework for the linear–quadratic Gaussian (LQG) design and the mixed design where the disturbances in a subset of frequency ranges are stochastic, and the other disturbances are modeled by a multiple-parameter minimax worst-case robust design. We then use the model to jointly simulate optimal fiscal and monetary policy to “stress test” the policies under the worst-case design. The results show that, compared to a deterministic design, the LQG framework introduces considerable variability into aggregate investment. Under active fiscal stabilization with restricted monetary policy, the minimax structure induces more aggressive fiscal spending, slightly larger aggregate consumption, and substantially lower aggregate investment compared to the LQG design. Thus, pursuing a minimax worst-case model induces larger government deficits and stifles long-term capital accumulation. Under active monetary stabilization with restricted fiscal policy, the simulations predict that both consumption and investment will be far less in the minimax design than in the stochastic design. This research is the first to integrate robust control and dynamic game theory with wavelet decomposition.
      PubDate: 2018-05-09
      DOI: 10.1007/s10614-018-9820-y
  • Monitoring the Impact of Economic Crisis on Crime in India Using Machine
    • Authors: Mamta Mittal; Lalit Mohan Goyal; Jasleen Kaur Sethi; D. Jude Hemanth
      Abstract: Trends of crimes in India keep changing with the growing population and rapid development of towns and cities. The rise in crimes at any place especially crimes against women, children and weaker sections of the society is a worrying factor for the Indian Government. In India, the crime data is maintained by National Crime Records Bureau as well as an application called Crime Criminal Information System is available to make inquiry and generate reports for the crime data. To curb crime, the Police need countless hours to go through the crime data and determine the various factors that affect it. Therefore, there is necessity of tools which can automatically predict the factors that effects the crimes effectively and efficiently. The field of machine learning has emerged in the recent years for this purpose. In this paper, various machine learning techniques have been applied on crime data to monitor the impact of economic crisis on the crime in India. The effect of unemployment rates and Gross District Domestic Product on theft, robbery and burglary has been monitored across districts of various states in India. Further, Granger causality between crime rates and economic indicators has also been calculated. It has been observed from the experimental work that unemployment rate is the major economic factor which affects the crime rate, thus paving the path to control the crime rate by raising more opportunities for the employment.
      PubDate: 2018-05-07
      DOI: 10.1007/s10614-018-9821-x
  • Efficient Semi-Discretization Techniques for Pricing European and American
           Basket Options
    • Authors: Fazlollah Soleymani
      Abstract: This paper studies the valuation of option pricing problem in the presence of several assets. European- and American-style options are dealt with using high order semi-discretization techniques. We integrate the resulting system of semi-discretized ODEs in time with several time-stepping schemes such as explicit Euler method, explicit Runge–Kutta method, and the Runge–Kutta method with adaptive variable step sizes. Numerical results demonstrate that employing higher order semi-discretizations improves the computational performance of the multi-asset option pricing problems.
      PubDate: 2018-05-07
      DOI: 10.1007/s10614-018-9819-4
  • Internal and External Cartel Stability: Numerical Solutions
    • Authors: Christos Papahristodoulou
      Abstract: The size of imperfect cartels, i.e. with participating (k-firms) and non-participating or fringe (j-firms), has been investigated by some researchers since early 1980s. Most papers, based on simple cost and demand functions, have proposed various conditions to find the optimal number of k-firms. Recently, other researchers have conducted numerical simulations or used an analytic approach to determine the size of stable cartels. In this paper, I investigate two standard models, with additional parameters in demand and cost functions. In the first model the cartel faces j competitive firms, while in the second model the cartel is the Stackelberg leader and the j-firms are Cournot followers. In the second model, the entry to and exit from cartel are formulated as integer non-linear programming, using some parameter bounds. Contrary to other studies who relied on simplified functions and found exact algebraic conditions, Mathematica fails to provide such conditions. It does provide though global numerical solutions. In the first model, irrespectively of the number of firms, the optimal number of k-firms is always three. In the second model, the number of k-firms is moderate higher, but lower than other studies find.
      PubDate: 2018-05-04
      DOI: 10.1007/s10614-018-9818-5
  • Programming Language Choices for Algo Traders: The Case of Pairs Trading
    • Authors: Pedro Vergel Eleuterio; Lovjit Thukral
      Abstract: In the last 20 years, relative value strategies have increased in popularity in various asset classes, including equity and commodity markets. Due to an increase in market participants, more sophisticated algorithms than those used in the past are now required to generate excess returns in pairs trading strategies. Sophisticated algorithms can cause an increase in complexity which, in-turn, increases computational run time. In our pairs trading example, C++ provides the best performance, however, it is also the most time consuming to implement. Among the languages that allow for faster development, Cython provides the best balance between run times and ease of prototyping.
      PubDate: 2018-05-02
      DOI: 10.1007/s10614-018-9813-x
  • Unified Approach for the Affine and Non-affine Models: An Empirical
           Analysis on the S&P 500 Volatility Dynamics
    • Authors: Shunwei Zhu; Bo Wang
      Abstract: Being able to generate a volatility smile and adequately explain how it moves up and down in response to changes in risk, stochastic volatility models have replaced BS model. A single-factor volatility model can generate steep smiles or flat smiles at a given volatility level, but it cannot generate both for given parameters. In order to match the market implied volatility surface precisely, Grasselli introduced a 4/2 stochastic volatility model that includes the Heston model and the 3/2 model, performing as affine and non-affine model respectively. The present paper is intended to further investigate the 4/2 model, which falls into four parts. First, we apply Lewis’s fundamental transform approach instead of Grasselli’s method to deduce PDEs, which is intuitional and simple; Then, we use a result derived by Craddock and Lennox using Lie Symmetries theory for PDEs, and the results are more objective and reasonable; Finally, through adopting the data on S&P 500, we estimate the parameters of the 4/2 model; Furthermore, we investigate the 4/2 model along with the Heston model and the 3/2 model and compare their different performances. Our results illustrate that the 4/2 model outperforms the Heston and the 3/2 model for the fitting problem.
      PubDate: 2018-04-27
      DOI: 10.1007/s10614-018-9815-8
  • Enhanced Predictive Models for Construction Costs: A Case Study of Turkish
           Mass Housing Sector
    • Authors: Latif Onur Ugur; Recep Kanit; Hamit Erdal; Ersin Namli; Halil Ibrahim Erdal; Umut Naci Baykan; Mursel Erdal
      Abstract: The analysis of a construction project, regarding cost, is one of the most vital problem in planning. Due to its nature, the construction sector is an area of strong competition and estimation works are of vital importance. In recent years the Turkish Republic has started a serious urban regeneration movement in parallel to its economic development. This study is based on the drawings and quantities of 63 detached multi-story reinforced concrete housing unit projects of the Housing Development Administration (TOKI) and the Turkey Residential Building Cooperative Union (TURKKONUT). TOKI is a public company and its projects are that have been applied to 282 separate projects and are being applied to a further 266. On the other side TURKKONUT is a union of 1347 private building cooperative and have been completed 200,000 residential building. The main objective of this study is to improve the estimation accuracy of individual machine learning techniques, namely multi-layer perceptron and classification and regression trees and compares the performance of two machine learning meta-algorithms (i.e., bagging and random subspace) on a real world construction cost estimation problem. The study shows that the estimation accuracy of ensemble models are better than the models that constructed by their base learners and ensemble models may improve individual machine learning models.
      PubDate: 2018-04-23
      DOI: 10.1007/s10614-018-9814-9
  • Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane:
           Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic
           Modelling and Econometrics in Economics and Finance 18
    • Authors: Xue-Zhong He
      PubDate: 2018-04-21
      DOI: 10.1007/s10614-018-9817-6
  • The Likelihood of the Consistency of Collective Rankings Under Preferences
           Aggregation with Four Alternatives Using Scoring Rules: A General Formula
           and the Optimal Decision Rule
    • Authors: Eric Kamwa; Vincent Merlin
      Abstract: In most of the social choice literature dealing with the computation of the exact probability of voting events under the impartial culture assumption, authors deal with no more than four constraints to describe voting events. With more than four constraints, most of the authors rely on Monte-Carlo simulations. It is usually more tricky to estimate the probability of events described by five constraints. Gehrlein and Fishburn (Appl Math Optim 6:241–255, 1980) have tried, but their conclusions are based on conjectures. In this paper, we circumvent this conjecture by having recourse to the technique suggested by Saari and Tataru (Econ Theory 13: 345–363, 1999) in order to compute the limit probability of the consistency of collective rankings when there are four competing alternatives given that the decision rule is a scoring rule. We provide a general formula for the limiting probability of the consistency and we determine the optimal decision rules among the scoring rules that provide the best guarantee of consistency. Given the collective ranking on a set A, we have consistency if the collective ranking on B a proper subset of A is not altered after some alternatives are removed from A.
      PubDate: 2018-04-19
      DOI: 10.1007/s10614-018-9816-7
  • Herbert Alexander Simon: 15th June, 1916–9th February, 2001 A Life
    • Authors: K. Vela Velupillai; Ragupathy Venkatachalam
      Abstract: We present a concise summary of the personal and professional life of Herbert Alexander Simon.
      PubDate: 2018-04-12
      DOI: 10.1007/s10614-018-9811-z
  • Proofs and Predictions in Human Problem Solving
    • Authors: K. Vela Velupillai
      Abstract: This paper suggests that Herbert Simon’s concept of proof and predictions, in the solution of problems by human’s, considered as Information Processing Agents subject to boundedly rational behaviour and satisficing objectives, is to be interpreted in terms of constructive mathematics.
      PubDate: 2018-04-06
      DOI: 10.1007/s10614-018-9810-0
  • Reconsidering Herbert A. Simon’s Major Themes in Economics: Towards an
           Experimentally Grounded Capital Structure Theory Drawing from His
           Methodological Conjectures
    • Authors: Edgardo Bucciarelli; Nicola Mattoscio
      Abstract: Drawing inspiration from a renowned critique of standard economics moved by Simon (Q J Econ 69(1):99–118, 1955, Am Econ Rev 49(3):253–283, 1959), the authors of this paper develop a novel experimental design moving beyond the hypothesis-testing framework traditionally based on the use of deductive logic, while introducing a new way suitable for addressing the problem of understanding the impact of fluctuations and uncertainty in business decision-making. As claimed in the paper, this can be achieved by adopting an abductive approach to research design that incorporates an experimental methodology based on an original computerised real effort task, so that to explore firms—and other forms of business organisations—serving as experimental incubators in the market process, pursuing a range of economic enquiries more adherent to real world business applications. Among these enquiries, in this paper the authors focus on firms’ capital structure decisions in order to attempt to advance existing knowledge on the topic of experimental business research within the framework of economics.
      PubDate: 2018-04-03
      DOI: 10.1007/s10614-018-9808-7
  • An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate
    • Authors: Xiaoxia Wu; Dejun Xie; David A. Edwards
      Abstract: This article puts forward a framework for assessing the optimal refinancing strategy in continuous time when the interest rate is stochastic and follows a Vasicek model. The optimal refinancing time is obtained by minimizing the conditional expectation of the discounted total payment. A moment generating function is used to derive a closed-form approximation to the refinancing function with infinite maturity under the Vasicek model. The approximation is studied both analytically and numerically. The results indicate three different types of behaviour in the refinancing function, depending on the underlying parameters in the model. Two types indicate optimal refinancing in finite time. We outline a strategy by which a borrower can continually evaluate whether to refinance. By providing a systematic way to evaluate the likelihood of refinancing, these results should be of interest to those trading mortgage-backed securities.
      PubDate: 2018-04-02
      DOI: 10.1007/s10614-018-9809-6
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