Search Results - "Computational economics"

Journal Article

Dynamic Testing of Wholesale Power Market Designs: An Open-Source Agent-Based Framework

by Sun, Junjie Tesfatsion, Leigh
edited by Fagiolo, Giorgio Birchenhall, Chris Windrum, Paul
Published in Computational economics (01.10.2007)

“...In April 2003 the U.S. Federal Energy Regulatory Commission proposed a complicated market design—the Wholesale Power Market Platform (WPMP)—for common adoption...”

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Journal Article

Solving Linear Rational Expectations Models

by Sims, Christopher A Published in Computational economics (01.10.2002)

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Journal Article

An Application of Extreme Value Theory for Measuring Financial Risk

by Gilli, Manfred këllezi, Evis Published in Computational economics (01.05.2006)

“...Computational Economics (2006) 27: 207–228 DOI: 10.1007/s10614-006-9025-7 null C Springer 2006 An Application of Extreme V alue Theory for Measuring Financial...”

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Journal Article

Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

by Alfarano, Simone Lux, Thomas Wagner, Friedrich Published in Computational economics (01.08.2005)

“...Computational Economics (2005) 26: 19–49 DOI: 10.1007/s10614-005-6415-1 C null Springer 2005 Estimation of Agent-Based Models: The Case of an Asymmetric...”

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Journal Article

Different Approaches to Forecast Interval Time Series: A Comparison in Finance

by Arroyo, Javier Espínola, Rosa Maté, Carlos Published in Computational economics (01.02.2011)

“...An interval time series (ITS) is a time series where each period is described by an interval. In finance, ITS can describe the temporal evolution of the high...”

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Journal Article

A Computationally Efficient, Consistent Bootstrap for Inference with Non-parametric DEA Estimators

by Kneip, Alois Kneip, Alois Simar, Léopold Simar, Léopold Wilson, Paul W Wilson, Paul W Published in Computational economics (01.11.2011)

“...We develop a tractable, consistent bootstrap algorithm for inference about Farrell–Debreu efficiency scores estimated by non-parametric data envelopment...”

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Journal Article

An Evolutionary Model of Endogenous Business Cycles

by Dosi, Giovanni Fagiolo, Giorgio Roventini, Andrea Published in Computational economics (01.02.2006)

“...Computational Economics (2006) 27: 3–34 DOI: 10.1007/s10614-005-9014-2 null C Springer 2006 An Evolutionary Model of Endogenous Business Cycles GIOV ANNI DOSI...”

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Journal Article

Validating Simulation Models: A General Framework and Four Applied Examples

by Marks, Robert Ernest
edited by Fagiolo, Giorgio Birchenhall, Chris Windrum, Paul
Published in Computational economics (01.10.2007)

“...This paper provides a framework for discussing the empirical validation of simulation models of market phenomena, in particular of agent-based computational economics models...”

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Journal Article

Opinion Dynamics Driven by Various Ways of Averaging

by Hegselmann, Rainer Krause, Ulrich Published in Computational economics (01.06.2005)

“...Computational Economics (2005) 25: 381–405 DOI: 10.1007/s10614-005-6296-3 C null Springer 2005 Opinion Dynamics Driven by V arious W ays of A veraging RAINER...”

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Journal Article

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

by Itkin, Andrey Itkin, Andrey Carr, Peter Carr, Peter Published in Computational economics (01.06.2012)

“...In mathematical finance a popular approach for pricing options under some Lévy model would be to consider underlying that follows a Poisson jump diffusion...”

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eBook

Handbook of computational economics: volume 3

by Schmedders, Karl
2014

“...Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods...”

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Journal Article

Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity

by Chen, Cathy W. S Chen, Cathy W. S Lin, Simon Lin, Simon Yu, Philip L. H Yu, Philip L. H Published in Computational economics (01.06.2012)

“...Capital asset pricing model (CAPM) has become a fundamental tool in finance for assessing the cost of capital, risk management, portfolio diversification and...”

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Journal Article

The Hitting Time Density for a Reflected Brownian Motion

by Hu, Qin Hu, Qin Wang, Yongjin Wang, Yongjin Yang, Xuewei Yang, Xuewei Published in Computational economics (01.06.2012)

“...Reflected Brownian motion has been played an important role in economics, finance, queueing and many other fields. In this paper, we present the explicit...”

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Journal Article

A Benders Decomposition Method for Solving Stochastic Complementarity Problems with an Application in Energy

by Gabriel, S Fuller, J Published in Computational economics (2010)

“...In this paper we present a new Benders decomposition method for solving stochastic complementarity problems based on the work by Fuller and Chung (Comput Econ...”

Journal Article

Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance

by Savin, Ivan Savin, Ivan Winker, Peter Winker, Peter Published in Computational economics (01.04.2012)

“...Innovations, be they radical new products or technology improvements, are widely recognized as a key factor of economic growth. To identify the factors...”

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Journal Article

Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information

by Yang, Jinqiang Yang, Jinqiang Yang, Zhaojun Yang, Zhaojun Published in Computational economics (01.02.2012)

“...This paper extends real options theory to consider the situation where the mean appreciation rate of the value of an irreversible investment project is not...”

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Journal Article

An Investigation into the Use of Intelligent Systems for Currency Trading

by Thinyane, Hannah Millin, Jonathan Published in Computational economics (01.04.2011)

“...Investors use a number of technical trading tools to help them in their decision-making. This article aims to enhance this decision making process through the...”

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