Computational Economics最新文献_第7页

Dynamic Time Warping: Intertemporal Clustering Alignments for Hotel Tourism Demand 动态时间扭曲：酒店旅游需求的时际聚类排列

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-19 DOI: 10.1007/s10614-024-10656-8

Miguel Ángel Ruiz Reina

引用次数: 0

Rational Spectral Collocation Method for Solving Black-Scholes and Heston Equations 求解布莱克-斯科尔斯方程和赫斯顿方程的理性谱配位法

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-18 DOI: 10.1007/s10614-024-10624-2

Yangyang Wang, Xunxiang Guo, Ke Wang

{"title":"Rational Spectral Collocation Method for Solving Black-Scholes and Heston Equations","authors":"Yangyang Wang, Xunxiang Guo, Ke Wang","doi":"10.1007/s10614-024-10624-2","DOIUrl":"https://doi.org/10.1007/s10614-024-10624-2","url":null,"abstract":"<p>In this paper, we raise a new method for numerically solving the partial differential equations (PDEs) of the Black-Scholes and Heston models, which play an important role in financial option pricing theory. Our proposed method is based on the rational spectral collocation method and the contour integral method. The presence of discontinuities in the first-order derivative of the initial condition of the PDEs prevents the spectral method from achieving high accuracy. However, the rational spectral method excels in overcoming this drawback. So we discretize the spatial variables of PDEs by rational spectral method, which yields a system of ordinary differential equations. Then we solve it by the numerical inverse Laplace transform using contour integral method. It is very important to select an appropriate parameters in the contour integral method, we revise the optimal parameters proposed by Trefethen and Weideman (Math Comput 76(259):1341–1356, 2007) in hyperbolic contour to control the effect of roundoff error. During solving the independent shifted linear systems, preconditioned Krylov subspace iteration is used to improve computational efficiency. We also compare the numerical results obtained from our proposed method with those obtained from the finite difference and spectral methods, showing its high accuracy and efficiency in pricing various financial options, including those mentioned above.</p>","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141523960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Modeling Bitcoin Price Dynamics: Overcoming Kurtosis and Skewness Challenges for Enhanced Predictive Accuracy 比特币价格动态建模：克服峰度和偏度难题，提高预测准确性

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-17 DOI: 10.1007/s10614-024-10652-y

Mostafa Tamandi

引用次数: 0

Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets 金融市场的波动动态和基于混合跳跃-GARCH 模型的跳跃检测

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-15 DOI: 10.1007/s10614-024-10633-1

Min Zhu, Yuping Song, Xin Zheng

引用次数: 0

What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models? 主成分分析施加的限制对动态期限结构模型的实证表现有何影响？

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-13 DOI: 10.1007/s10614-024-10644-y

J. Juneja

引用次数: 0

Stock Price Prediction with Heavy-Tailed Distribution Time-Series Generation Based on WGAN-BiLSTM 基于 WGAN-BiLSTM 的重尾分布时间序列生成的股价预测

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-12 DOI: 10.1007/s10614-024-10639-9

Ming Kang

引用次数: 0

Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models 时间是假象吗？DSGE 模型中冲击传播延迟的引导似然比检验

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-11 DOI: 10.1007/s10614-024-10640-2

Giovanni Angelini, Luca Fanelli, M. Sorge

引用次数: 0

Evaluation of International Monetary Policy Coordination: Evidence from Machine Learning Algorithms 国际货币政策协调评估：来自机器学习算法的证据

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-07 DOI: 10.1007/s10614-024-10643-z

Ufuk Can, Omur Saltik, Zeynep Gizem Can, Suleyman Degirmen

引用次数: 0

Estimating Input Coefficients for Regional Input–Output Tables Using Deep Learning with Mixup 利用混合深度学习估算地区投入产出表的投入系数

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-06 DOI: 10.1007/s10614-024-10641-1

Shogo Fukui

{"title":"Estimating Input Coefficients for Regional Input–Output Tables Using Deep Learning with Mixup","authors":"Shogo Fukui","doi":"10.1007/s10614-024-10641-1","DOIUrl":"https://doi.org/10.1007/s10614-024-10641-1","url":null,"abstract":"<p>Input–output tables provide important data for the analysis of economic states. Most regional input–output tables in Japan are not publicly available; therefore, they have to be estimated. Input coefficients are pivotal in constructing precise input–output tables; thus, accurately estimating these input coefficients is crucial. Non-survey methods have previously been used to estimate input coefficients of regions as they require fewer observations and computational resources. However, these methods discard information and require additional data. The aim of this study is to develop a method for estimating input coefficients using artificial neural networks with improved accuracy compared to conventional non-survey methods. To prevent overfitting owing to limited data availability, we introduced a data augmentation technique known as mixup. In this study, the vector sum of data from multiple regions was interpreted as the composition of the regions and the scalar product of regional data was interpreted as the scaling of the region. Based on these interpretations, the data were augmented by generating a virtual region from multiple regions using mixup. By comparing the estimates with the published values of the input coefficients for the whole of Japan, we found that our method was more accurate and stable than certain representative non-survey methods. The estimated input coefficients for three Japanese cities were considerably close to the published values for each city. This method is expected to enhance the precision of regional input–output table estimations and various quantitative regional analyses.</p>","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141549026","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

An Efficient IMEX Compact Scheme for the Coupled Time Fractional Integro-Differential Equations Arising from Option Pricing with Jumps 针对有跳跃的期权定价所产生的耦合时间分式积分微分方程的高效 IMEX 紧凑型方案

IF 2 4区经济学

Computational Economics Pub Date : 2024-06-05 DOI: 10.1007/s10614-024-10642-0

Yong Chen, Liangliang Li

引用次数: 0