Quantifying the Effects of the 2008 Recession using the Zillow Dataset....
This report explores the use of Zillow's housing metrics dataset to investigate the effects of the 2008 US subprime mortgage crisis on various US locales. We begin by exploring the causes of the...
View ArticlePredicting one type of technological motion? A nonlinear map to study the...
In this work we use a proven model to study a dynamic duopolistic competition between an old and a new technology which, through improved technical performance - e.g. data transmission capacity - fight...
View ArticleThe Dynamics of Financial Markets: Fibonacci numbers, Elliott waves, and...
In this paper information theoretical approach is applied to the description of financial markets. A model which is expected to describe the markets dynamics is presented. It is shown the possibility...
View ArticleOnline Quantification of Input Model Uncertainty by Two-Layer Importance...
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven by the input model,...
View ArticleA Gated Recurrent Unit Approach to Bitcoin Price Prediction....
In today's era of big data, deep learning and artificial intelligence have formed the backbone for cryptocurrency portfolio optimization. Researchers have investigated various state of the art machine...
View ArticlePricing and hedging American-style options with deep learning....
This paper describes a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price....
View ArticleForecasting Implied Volatility Smile Surface via Deep Learning and Attention...
The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is...
View ArticleReal options games between two competitors: the case of price war
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 92-110, January 2020.
View ArticleEvidence for the globalisation types model integrating different trade theories
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 70-91, January 2020.
View ArticleAn analysis of long-run relationship between ICT sectors and economic growth:...
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 48-69, January 2020.
View ArticleOvervaluation in a non-optimal currency area
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 33-47, January 2020.
View ArticleModelling agricultural risk in a large scale positive mathematical...
International Journal of Computational Economics and Econometrics, Volume 10, Issue 1, Page 2-32, January 2020.
View ArticleGilt Auctions and Secondary Market Dynamics
Publication date: Available online 24 December 2019Source: Finance Research LettersAuthor(s): Lucas Marc Fuhrer, Julia GieseAbstractThis letter shows how changes in investor demand for United Kingdom...
View ArticleCommodities:Waiting for a Paradigm Shift
Ray Dalio, in reference to the current financial scene, with its long period of expansion over more than a decade has said, âThis set of circumstances is unsustainable and certainly can no longer be...
View ArticleConsidering Investing in Qualified Opportunity Funds? Caveat Emptor
By David O’Brien, CFP, CAIA The Opportunity Zones Program, enacted as part of the Tax Cuts and Jobs Act of 2017, has great potential to create jobs and spur economic growth while creating a potentially...
View ArticleKey AI and Data Trends for 2020
The Data Exchange Podcast: Mikio Braun and Ben Lorica on tools, models, applications, and risks to look out for in 2020.Subscribe: iTunes, Android, Spotify, Stitcher, Google, and RSS.[full show notes...
View Article