Central European Journal of Economic Modelling and Econometrics最新文献_第9页

Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem Nvidia的股票收益预测使用机器学习技术解决时间序列预测问题

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2021-01-01 DOI: 10.2478/ceej-2021-0004

M. Chlebus, Michał Dyczko, M. Woźniak

{"title":"Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem","authors":"M. Chlebus, Michał Dyczko, M. Woźniak","doi":"10.2478/ceej-2021-0004","DOIUrl":"https://doi.org/10.2478/ceej-2021-0004","url":null,"abstract":"Abstract Statistical learning models have profoundly changed the rules of trading on the stock exchange. Quantitative analysts try to utilise them predict potential profits and risks in a better manner. However, the available studies are mostly focused on testing the increasingly complex machine learning models on a selected sample of stocks, indexes etc. without a thorough understanding and consideration of their economic environment. Therefore, the goal of the article is to create an effective forecasting machine learning model of daily stock returns for a preselected company characterised by a wide portfolio of strategic branches influencing its valuation. We use Nvidia Corporation stock covering the period from 07/2012 to 12/2018 and apply various econometric and machine learning models, considering a diverse group of exogenous features, to analyse the research problem. The results suggest that it is possible to develop predictive machine learning models of Nvidia stock returns (based on many independent environmental variables) which outperform both simple naïve and econometric models. Our contribution to literature is twofold. First, we provide an added value to the strand of literature on the choice of model class to the stock returns prediction problem. Second, our study contributes to the thread of selecting exogenous variables and the need for their stationarity in the case of time series models.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76336914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Modelling cross-sectional tabular data using convolutional neural networks: Prediction of corporate bankruptcy in Poland 使用卷积神经网络建模横截面表格数据:波兰公司破产预测

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2021-01-01 DOI: 10.2478/ceej-2021-0024

Aneta Dzik-Walczak, Maciej Odziemczyk

{"title":"Modelling cross-sectional tabular data using convolutional neural networks: Prediction of corporate bankruptcy in Poland","authors":"Aneta Dzik-Walczak, Maciej Odziemczyk","doi":"10.2478/ceej-2021-0024","DOIUrl":"https://doi.org/10.2478/ceej-2021-0024","url":null,"abstract":"Abstract The paper deals with the topic of modelling the probability of bankruptcy of Polish enterprises using convolutional neural networks. Convolutional networks take images as input, so it was thus necessary to apply the method of converting the observation vector to a matrix. Benchmarks for convolutional networks were logit models, random forests, XGBoost, and dense neural networks. Hyperparameters and model architecture were selected based on a random search and analysis of learning curves and experiments in folded, stratified cross-validation. In addition, the sensitivity of the results to data preprocessing was investigated. It was found that convolutional neural networks can be used to analyze cross-sectional tabular data, especially for the problem of modelling the probability of corporate bankruptcy. In order to achieve good results with models based on parameters updated by a gradient (neural networks and logit), it is necessary to use appropriate preprocessing techniques. Models based on decision trees have been shown to be insensitive to the data transformations used.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84105102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Economic Dynamic Modelling of Climate Policy in Poland 波兰气候政策的经济动态模型

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2021-01-01 DOI: 10.2478/ceej-2021-0018

Olga Kiuila, Emilia Lewczuk

{"title":"Economic Dynamic Modelling of Climate Policy in Poland","authors":"Olga Kiuila, Emilia Lewczuk","doi":"10.2478/ceej-2021-0018","DOIUrl":"https://doi.org/10.2478/ceej-2021-0018","url":null,"abstract":"Abstract Poland is responsible for 9% of CO2 emission in the European Union (EU), making it the fifth biggest emitter in the region. The energy sector is dominated by electricity produced from coal (around 70%). The country currently uses massive subsidies to boost the coal sector. We propose a dynamic intertemporal hybrid general equilibrium model to simulate the economic effects of sector regulations and new policy targets within environmental taxation scenarios, by accounting for a complex set of linkages between the energy sector and other components of the economy. Our simulation results suggest that positive economic growth is possible with a realistic energy mix, but it will not offer considerable emission reduction, as required by the European Commission. In the short-time horizon, the best choice is renewable energy sources indicated by less capital-intensive technologies (such as biomass). In the long-time horizon, more capital-intensive technologies (such as wind turbines) will be a better choice for economic growth. Carbon tax plays a crucial role in optimal energy mix targets, since its elimination ceteris paribus implies negative economic growth.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84215501","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

State of Democracy in Poland versus Environmental Protection 波兰的民主与环境保护

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2021-01-01 DOI: 10.2478/ceej-2021-0016

A. Markowska

{"title":"State of Democracy in Poland versus Environmental Protection","authors":"A. Markowska","doi":"10.2478/ceej-2021-0016","DOIUrl":"https://doi.org/10.2478/ceej-2021-0016","url":null,"abstract":"Abstract The paper starts with a review of literature focusing on links between democracy and environmental protection, pointing out a fair weight of scientific evidence that democratic societies on average enjoy a higher level of environmental quality than autocracies. It subsequently provides a quick insight into the recent trends in the state of democracy and the rule of law in Poland as well as a few examples of measures taken concerning environmental policy that have been undertaken after 2015. The paper concludes by expressing concern about certain negative patterns in the Polish environmental policy in the past few years, which seem to be connected to the deficiencies in the rule of law and democracy as observed in Poland. The shrinking space for civil society to participate in democratic governance concerning environmental issues and the excessive appetite of the current government for large infrastructural investments seem to be in contradiction with the European and global strive for sustainable development and tackling climate change. It remains to be seen if the recent negative trends in the Polish environmental policy will have a structural impact on the state of environment in Poland.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90638041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Workers or Consumers: Who Pays for Low-Carbon Transition – Theoretical Analysis of Welfare Change in General Equilibrium Setting 工人还是消费者:谁为低碳转型买单——一般均衡环境下福利变化的理论分析

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2021-01-01 DOI: 10.2478/ceej-2021-0017

Jan Witajewski-Baltvilks, Jakub Boratyński

{"title":"Workers or Consumers: Who Pays for Low-Carbon Transition – Theoretical Analysis of Welfare Change in General Equilibrium Setting","authors":"Jan Witajewski-Baltvilks, Jakub Boratyński","doi":"10.2478/ceej-2021-0017","DOIUrl":"https://doi.org/10.2478/ceej-2021-0017","url":null,"abstract":"Abstract Policies that are introduced to mitigate adverse consequences of climate change involve economic costs. For some households, these costs will materialise in the form of an increase in prices of consumption goods, whereas for others they will materialise in the form of falling productivity and wages. Disentangling these two effects is important in the light of the design of funds that aim to support the households that are negatively affected by climate policy. In this article, we study the effect of carbon tax on welfare through changes of consumer prices and wages in a general equilibrium setting. In the first step, we review the literature on ‘top-down’ models, which are used to evaluate the macroeconomic cost of climate policy. We find that these models usually do not account for loss of productivity of workers who must change their sector due to climate policy. In the second step, we develop a theoretical, micro-founded, two-sector model that explicitly accounts for the loss of productivity of workers. The compensation of climate-change mitigation costs would require allocation of separate funds for the affected consumers and workers.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84711499","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The regional research policy of the Austrian federal states 奥地利联邦各州的区域研究政策

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2020-01-01 DOI: 10.2478/ceej-2020-0012

Thomas Eisenhut

引用次数: 0

A note on the optimal scope of professional self-regulation 关于职业自律的最佳范围的说明

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2020-01-01 DOI: 10.2478/ceej-2020-0008

K. Szczygielski

引用次数: 0

Economic Integration and Migrant Networks: The Case of Ukrainian Migrants in the Warsaw Agglomeration 经济一体化与移民网络:华沙地区乌克兰移民的案例

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2020-01-01 DOI: 10.2478/ceej-2020-0030

W. Maruszewski, P. Kaczmarczyk

引用次数: 2

The voting of EU members for common consolidated corporate tax base and the tax benefits 欧盟成员国对共同统一企业税基和税收优惠的投票

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2020-01-01 DOI: 10.2478/ceej-2020-0005

Wojciech Dąbroś, J. Kudła

引用次数: 0

Macroeconomic forecasting in Poland: The role of forecasting competitions 波兰宏观经济预测:预测竞争的作用

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Central European Journal of Economic Modelling and Econometrics Pub Date : 2020-01-01 DOI: 10.2478/ceej-2020-0001

Jakub Rybacki

{"title":"Macroeconomic forecasting in Poland: The role of forecasting competitions","authors":"Jakub Rybacki","doi":"10.2478/ceej-2020-0001","DOIUrl":"https://doi.org/10.2478/ceej-2020-0001","url":null,"abstract":"Abstract Macroeconomic forecasters are often believed to idealistically work on improving the accuracy of their estimates based on for example the Root Mean Squared Error (RMSE). Unfortunately, reality is far more complex. Forecasters are not awarded equally for each of their estimates. They have their targets of acquiring publicity or to earn prestige. This article aims to study the results of Parkiet's competitions of macroeconomic forecasting during 2015–2019. Based on a logit model, we analyse whether more accurate forecasting of some selected macroeconomic variables (e.g. inflation) increases the chances of winning the competition by a greater degree comparing to the others. Our research shows that among macroeconomic variables three groups have a significant impact on the final score: inflation (CPI and core inflation), the labour market (employment in the enterprise sector and unemployment rate) and financial market indicators (EUR/PLN and 10-year government bond yields). Each group is characterised by a low disagreement between forecasters. In the case of inflation, we found evidence that some forecasters put a greater effort to score the top place. There is no evidence that forecasters are trying to somehow exploit the contest.","PeriodicalId":9951,"journal":{"name":"Central European Journal of Economic Modelling and Econometrics","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90117804","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1