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on Computational Economics |
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Issue of 2007‒03‒31
eleven papers chosen by |
| By: | Graeme Donald Snooks |
| Abstract: | The currently fashionable theory of self-organisation has its origins in statistical physics. Many believe that the underlying physics model, which is based on inanimate systems, can be employed to explain and predict the emergence of social structures, even of history itself. Some are even convinced that it will be possible to construct a social physics to displace the social sciences. The purpose of this article is to test those claims by reviewing some of the physical studies that have been made of human society, and its conclusion is that those claims cannot be substantiated. The underlying problem is that self-organisation is a one-dimensional theoretical concept that focuses exclusively upon supply-side interactions, from which order and complexity are said to ‘emerge’. But there is a better way. By systematic observation of living systems, both human and non-human, it has been possible to derive a general dynamic theory that embraces a more complex reality, involving a creative exchange between decision-making individuals and the changing needs of their society. I have called this interaction between the dynamic forces of demand and supply in living systems, the process of ‘strategic exchange’. And it is this strategic exchange that determines all other structural relationships in society, including the interaction between its constituent members. It is important in the social sciences, therefore, to move on from social physics to realist dynamics. |
| Keywords: | agent-based modelling, complexity theory, dynamic-strategy theory, power laws, realist dynamics, self-organised criticality, Snooks-Panov algorithm, social physics, strategic demand |
| JEL: | C73 A12 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:auu:dpaper:546&r=cmp |
| By: | Maria Letizia Guerra (Department of Mathematics for Social and Economic Sciences, University of Bologna and Department of Economics, Università di Urbino "Carlo Bo"); Laerte Sorini (Department of Economics, Università di Urbino "Carlo Bo"); Luciano Stefanini (Department of Economics, Università di Urbino "Carlo Bo") |
| Abstract: | In financial markets people have to cope with a lot of uncertainty while making decisions. Many models have been introduced in the last years to handle vagueness but it is very difficult to capture together all the fundamental characteristics of real markets. Fuzzy modeling for finance seems to have some challenging features describing the financial markets behavior; in this paper we show that the vagueness induced by the fuzzy mathematics can be relevant in modelling objects in finance, especially when a flexible parametrization is adopted to represent the fuzzy numbers. Fuzzy calculus for financial applications requires a big amount of computations and the LU-fuzzy representation produces good results due to the fact that it is computationally fast and it reproduces the essential quality of the shape of fuzzy numbers involved in computations. The paper considers the Black and Scholes option pricing formula, as long as many other have done in the last few years. We suggest the use of the LU-fuzzy parametric representation for fuzzy numbers, introduced in Guerra and Stefanini and improved in Stefanini, Sorini and Guerra, in the framework of the Black and Scholes model for option pricing, everywhere recognized as a benchmark; the details of the computations by the interval fuzzy arithmetic approach and an illustrative example are also incuded. |
| Keywords: | Fuzzy Operations, Option Pricing, Black and Scholes |
| JEL: | G12 G13 |
| Date: | 2007–02 |
| URL: | http://d.repec.org/n?u=RePEc:urb:wpaper:07_04&r=cmp |
| By: | Luciano Stefanini (Department of Economics, Università di Urbino "Carlo Bo"); Laerte Sorini (Department of Economics, Università di Urbino "Carlo Bo") |
| Abstract: | In this paper we illustrate the LU representation of fuzzy numbers and present an LU-fuzzy calculator, in order to explain the use of the LU-fuzzy model and to show the advantage of the parametrization. The model can be applied either in the level-cut or in generalized LR frames. The hand-like fuzzy calculator has been developed for the MSWindows platform and produces the basic fuzzy calculus: the arithmetic operations (scalar multiplication, addition, subtraction, multiplication, division) and the fuzzy extension of many univariate functions (exponential, logarithm, power with numeric or fuzzy exponent, sin, arcsin, cos, arccos, tan, arctan, square root, Gaussian, hyperbolic sinh, cosh, tanh and inverses, erf and erfc error functions, cumulative standard normal distribution). |
| Keywords: | Fuzzy Sets, LU-fuzzy Calculator, Fuzzy Calculus, Parametric LU represemtation |
| JEL: | C00 C60 C63 C88 D80 |
| Date: | 2007–01 |
| URL: | http://d.repec.org/n?u=RePEc:urb:wpaper:07_02&r=cmp |
| By: | Luciano Stefanini (Department of Economics, Università di Urbino "Carlo Bo") |
| Abstract: | We present a representation of fuzzy numbers and its application to the numerical solution of fuzzy differential (initial value) equations (FDE). |
| Keywords: | Fuzzy Sets, Generalized LU-fuzzy derivative. numerical solution of Fuzzy Differential Equations |
| JEL: | C00 C60 C63 |
| Date: | 2007–02 |
| URL: | http://d.repec.org/n?u=RePEc:urb:wpaper:07_06&r=cmp |
| By: | Luciano Stefanini (Department of Economics, Università di Urbino "Carlo Bo") |
| Abstract: | The paper illustrates a differential evolution (DE) algorithm to calculate the level-cuts of the fuzzy extension of a multidimensional real valued function to fuzzy numbers. The method decomposes the fuzzy extension engine into a set of "nested" min and max box-constrained op- timization problems and uses a form of the DE algorithm, based on multi populations which cooperate during the search phase and specialize, a part of the populations to find the the global min (corresponding to lower branch of the fuzzy extension) and a part of the populations to find the global max (corresponding to the upper branch), both gaining efficiency from the work done for a level-cut to the subsequent ones. A special ver- sion of the algorithm is designed to the case of differentiable functions, for which a representation of the fuzzy numbers is used to improve ef- ficiency and quality of calculations. The included computational results indicate that the DE method is a promising tool as its computational complexity grows on average superlinearly (of degree less than 1.5) in the number of variables of the function to be extended. |
| Keywords: | Fuzzy Sets, Differential Evolution Method, Fuzzy Extension of Functions |
| JEL: | C00 C60 C63 |
| Date: | 2007–02 |
| URL: | http://d.repec.org/n?u=RePEc:urb:wpaper:07_05&r=cmp |
| By: | Katya Lisenkova (University of Strathclyde); Peter McGregor (University of Strathclyde); Nikos Pappas (University of Strathclyde); Kim Swales (University of Strathclyde); Karen Turner (University of Strathclyde); Robert E. Wright (University of Strathclyde and IZA) |
| Abstract: | This paper combines a multi-period economic Computable General Equilibrium (CGE) modelling framework with a demographic model to analyse the macroeconomic impact of the projected demographic trends in Scotland. Demographic trends are defined by the existing fertility-mortality rates and the level of annual net-migration. We employ a combination of a demographic and a CGE simulation to track the impact of changes in demographic structure upon macroeconomic variables under different scenarios for annual migration. We find that positive net migration can cancel the expected negative impact upon the labour market of other demographic changes. (Pressure on wages, falling employment). However, the required size of the annual net-migration is far higher than the current trends. The policy implication suggested by the results is that active policies are needed to attract migrants. We nevertheless report results when varying fertility and mortality assumptions. The impact of varying those assumptions is rather small. |
| Keywords: | regional CGE modelling, ageing population, migration |
| JEL: | J11 |
| Date: | 2007–02 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp2623&r=cmp |
| By: | Jasmina Arifovic; James B. Bullard; Olena Kostyshyna |
| Abstract: | We analyze the effects of social learning in a widely-studied monetary policy context. Social learning might be viewed as more descriptive of actual learning behavior in complex market economies. Ideas about how best to forecast the economy's state vector are initially heterogeneous. Agents can copy better forecasting techniques and discard those techniques which are less successful. We seek to understand whether the economy will converge to a rational expectations equilibrium under this more realistic learning dynamic. A key result from the literature in the version of the model we study is that the Taylor Principle governs both the uniqueness and the expectational stability of the rational expectations equilibrium when all agents learn homogeneously using recursive algorithms. We find that the Taylor Principle is not necessary for convergence in a social learning context. We also contribute to the use of genetic algorithm learning in stochastic environments. |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2007-007&r=cmp |
| By: | Xi Zou; David Levinson (Nexus (Networks, Economics, and Urban Systems) Research Group, Department of Civil Engineering, University of Minnesota) |
| Abstract: | This paper addresses the impacts of Adaptive (Intelligent) Cruise Control (ACC) laws on traffic flow. Semi-automated vehicles, such as ACC Vehicles, with the capability to automatically follow each other in the same lane, will coexist with manually driven vehicles on the existing roadway system before they become universal. This mixed fleet scenario creates new capacity and safety issues. In this paper, simulation results of various mixed fleet scenarios under different ACC laws are presented. Explicit comparison of two ACC laws, Constant Time Headway (CTH) and Variable Time Headway (VTH), are based on these results. It©ös found that the latter one has better performance in terms of capacity and stability of traffic. Throughput increases with the proportion of CTH vehicles when flow is below capacity conditions. But above capacity, speed variability increases and speed drops with the CTH traffic compared with manual traffic, while the VTH traffic always performs better. |
| Keywords: | Adaptive Cruise Control |
| JEL: | R40 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:nex:wpaper:acc&r=cmp |
| By: | Lei Zhang; David Levinson; Shanjiang Zhu (Nexus (Networks, Economics, and Urban Systems) Research Group, Department of Civil Engineering, University of Minnesota) |
| Abstract: | Using consistent agent-based techniques, this research models the decision-making processes of users and infrastructure owner/operators to explore the welfare consequence of price competition, capacity choice, and product differentiation on congested transportation networks. Component models include: (1) An agent-based travel demand model wherein each traveler has learning capabilities and unique characteristics (e.g. value of time); (2) Econometric facility provision cost models; and (3) Representations of road authorities making pricing and capacity decisions. Different from small-network equilibrium models in prior literature, this agent-based model is applicable to pricing and investment analyses on large complex networks. The subsequent economic analysis focuses on the source, evolution, measurement, and impact of product differentiation with heterogeneous users on a mixed ownership network (with tolled and untolled roads). Two types of product differentiation in the presence of toll roads, path differentiation and space differentiation, are defined and measured for a base case and several variants with different types of price and capacity competition and with various degrees of user heterogeneity. The findings favor a fixed-rate road pricing policy compared to complete pricing freedom on toll roads. It is also shown that the relationship between net social benefit and user heterogeneity is not monotonic on a complex network with toll roads. |
| Keywords: | Network dynamics, road pricing, autonomous links, privatization, price competition, product differentiation, agent-based transportation model |
| JEL: | R40 R42 R48 D10 D21 D23 D24 D43 D83 D85 H21 H23 H44 L92 O33 C72 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:nex:wpaper:agentpricecompetition&r=cmp |
| By: | Thierry, BRECHET (UNIVERSITE CATHOLIQUE DE LOUVAIN, Department of Economics); Franois, GERARD; Henry, TULKENS |
| Abstract: | Using an updated version of the CWS model (introduced by Eyckmans and Tulkens in Resource and Energy Economics 2003), this paper intends to evaluate with numbers the respective merits of two competing notions of coalition stability in the standard global public goods model as customarily applied to the climate change problem. After a reminder of the model structure and of the definition of the two game theoretical stability notions involved - namely, core stabiilty and internal-external stability, the former property is shown to hold for the grand coalition in the CWS model only if resource transfers of a specific form between countries are introduced. It is further shown that while the latter property holds neither for the grand coalition nor for most large coalitions, it is nevertheless verified in a weak sense that involves transfers (dubbed Òpotential internal stabilityÓ) for most small coalitions. The reason for this difference is brought to light, namely the differing rationale that inspires the transfers in either case. Finally, it is shown that the stable coalitions that perform best (in termes of carbon concentration and global welfare) always are composed of both industrialized and developing countries. Two sensitivity analyses confirm the robustness of all these results. |
| Keywords: | climate change, coalitions, simulation, integrated assessment |
| JEL: | C71 C73 D9 F42 Q2 |
| Date: | 2007–02–15 |
| URL: | http://d.repec.org/n?u=RePEc:ctl:louvec:2007006&r=cmp |
| By: | Wuping Xin; David Levinson (Nexus (Networks, Economics, and Urban Systems) Research Group, Department of Civil Engineering, University of Minnesota) |
| Abstract: | This paper proposes a stochastic congestion and pricing model that combines a bottleneck model with stochastic queuing to study roadway congestion and pricing. Employing this model, two pricing schemes are developed: one is omniscient pricing for which the transportation administrative agency is assumed to be aware of each and every traveler's cost structure (i.e., their detailed valuation of journey cost as well as early and late penalties), and the other is observable pricing, for which only queuing delay is considered. Travelers are characterized by their late-acceptance level and the effects of various compositions of late-averse, late-tolerant and late-neutral travelers on congestion patterns with and without pricing are discussed. Numerical simulation indicates that omniscient pricing scheme is most effective in suppressing peak hour congestion and distributing demands over longer time horizon. Also, congestion pricing is found to be more effective when travelers have diversified cost structures than identical cost structures, and congestion is better reduced with heterogeneous traveler composition than with single composition. This is consistent with earlier studies in the literature. In addition, the simulation results indicate that omniscient pricing in general reduces Expected Total Social Cost<(with or without the return of the congestion fee). However, the ultimate benefits of a certain pricing scheme depend on travelers' cost structure as well as the composition of late-tolerant, late-averse and late-neutral travelers in the entire population; extreme situations such as 100% late-averse or 100% late-tolerant traveler composition deserves extra attention when analyzing different pricing schemes. |
| Keywords: | Agent-based Model, Game Theory, Congestion, Queueing, Traffic Flow, Congestion Pricing, Road Pricing, Value Pricing |
| JEL: | R41 R42 R48 D10 D81 D83 C72 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:nex:wpaper:stochasticpricing&r=cmp |