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on Computational Economics |
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Issue of 2009‒07‒28
fifteen papers chosen by |
| By: | Nikola Gradojevic (Faculty of Business Administration, Lakehead University); Ramazan Gencay (Department of Economics, Simon Fraser University); Dragan Kukolj (Faculty of Engineering, University of Novi Sad) |
| Abstract: | This paper investigates a non-parametric modular neural network (MNN) model to price the S&P-500 European call options. The modules are based on time to maturity and moneyness of the options. The option price function of interest is homogenous of degree one with respect to the underlying index price and the strike price. When compared to an array of parametric and non-parametric models, the MNN method consistently exerts superior out-of-sample pricing performance. We conclude that modularity improves the generalization properties of standard feedforward neural network option pricing models (with and without the homogeneity hint) |
| Keywords: | Option Pricing; Modular Neural Networks; Non-parametric Methods |
| JEL: | C45 G12 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:rim:rimwps:wp32_09&r=cmp |
| By: | B. MAENHOUT; M. VANHOUCKE |
| Abstract: | Due to the importance of reactive scheduling in personnel rostering, we propose an optimization tool for the nurse re-rostering problem. The scheduler must reassign other employees to cover the shift, while continuing to meet current demand and staffing requirements and time-related constraints guaranteeing the roster quality of the single personnel members. In our computational results, we show that the proposed procedure performs consistently well under many different circumstances. We test different optimization strategies and compare our procedure with the existing literature on a new benchmark dataset. |
| Keywords: | Manpower planning; Resource allocation; Hospitals |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:09/590&r=cmp |
| By: | John Mc Breen (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat, IXXI - Institut rhône-alpin des systèmes complexes - INRIA - Ecole Normale Supérieure de Lyon - ENS Lyon - Institut National des Sciences Appliquées de Lyon - Université Claude Bernard - Lyon I - Ecole Normale Supérieure Lettres et Sciences Humaines - Université Joseph Fourier - Grenoble I - CNRS - IRD, Phys-ENS - Laboratoire de Physique de l'ENS Lyon - CNRS : UMR5672 - Ecole Normale Supérieure de Lyon - ENS Lyon); Florence Goffette-Nagot (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines); Pablo Jensen (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat, IXXI - Institut rhône-alpin des systèmes complexes - INRIA - Ecole Normale Supérieure de Lyon - ENS Lyon - Institut National des Sciences Appliquées de Lyon - Université Claude Bernard - Lyon I - Ecole Normale Supérieure Lettres et Sciences Humaines - Université Joseph Fourier - Grenoble I - CNRS - IRD, Phys-ENS - Laboratoire de Physique de l'ENS Lyon - CNRS : UMR5672 - Ecole Normale Supérieure de Lyon - ENS Lyon) |
| Abstract: | We simulate a closed rental housing market with search and matching frictions, in which both landlord and tenant agents are imperfectly informed. Homogeneous landlords set rents to maximise revenue, using information on the market to estimate the relationship between posted rent and time-on-the-market (TOM). Tenants, heterogeneous in income, engage in undirected search accepting residences based on their idiosyncratic tastes for housing and a disagreement point derived from information on the distribution of offers. The steady state to which the simulation evolves shows price dispersion, nonzero search times and vacancies.The main results concern the effects of increasing information on either side of the market. When tenants see a greater percentage of the distribution of offers, tenants learn to refuse high rents and so the population rises and tenants' utilities rise as does overall welfare. Conversely, when landlords have less information, their utility can rise as over estimations in best posting rent move the market to higher rents. |
| Keywords: | Real estate; Rental markets; Search; Information; Simulation; Multi-agent systems |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-00374157_v2&r=cmp |
| By: | V. VAN PETEGHEM; M. VANHOUCKE |
| Abstract: | In the past decades, resource parameters have been introduced in project scheduling literature to measure the scarceness of resources of a project instance. In this paper, we use these resource scarceness parameters to dierentiate in the search process needed to solve the multi-mode resource constrained project scheduling problem, in which multiple execution modes are available for each activity in the project. Therefore, we propose a scatter search algorithm, which is executed with dierent improvement methods, each tailored to the specic characteristics of dierent renewable and nonrenewable resource scarceness values. Computational results prove the eectiveness of the improvement methods and reveal that the procedure is among the most competitive algorithms in the open literature. |
| Keywords: | project scheduling, scatter search, multi-mode RCPSP, resource scarceness matrix |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:09/595&r=cmp |
| By: | Fabio Eboli (Fondazione Eni Enrico Mattei); Ramiro Parrado (Fondazione Eni Enrico Mattei and Ca’ Foscari University); Roberto Roson (Ca’ Foscari University, Venice) |
| Abstract: | Human-generated greenhouse gases depend on the level of economic activity. Therefore, most climate change studies are based on models and scenarios of economic growth. Economic growth itself, however, is likely to be affected by climate change impacts. These impacts affect the economy in multiple and complex ways: changes in productivity, resource endowments, production and consumption patterns. We use a new dynamic, multi-regional Computable General Equilibrium (CGE) model of the world economy to answer the following questions: Will climate change impacts significantly affect growth and wealth distribution in the world? Should forecasts of human-induced greenhouse gases emissions be revised, once climate change impacts are taken into account? We found that, even though economic growth and emission paths do not change significantly at the global level, relevant differences exist at the regional and sectoral level. In particular, developing countries appear to suffer the most from climate change impacts. |
| Keywords: | Computable General Equilibrium Models, Climate Change, Economic Growth |
| JEL: | C68 E27 O12 Q54 Q56 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2009.43&r=cmp |
| By: | Jan Pieter Krahnen; Christian Wilde |
| Abstract: | This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of individual ABS tranches can directly be compared to those of corporate bonds, within and across rating classes. By applying Monte Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making. On an economic level, our analysis suggests a new explanation for the observed rating inflation in structured finance markets during the pre-crisis period 2004-2007. On a policy level, our findings call for a termination of the 'one-size-fits-all' approach to the rating methodology for fixed income instruments, requiring an own rating methodology for structured finance instruments. |
| Keywords: | credit risk, risk transfer, systematic risk |
| JEL: | G21 G28 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:fra:franaf:203&r=cmp |
| By: | W. LAURIER; G. POELS |
| Abstract: | This paper provides an ontology-based set of Petri-nets for simulating the effect of business process changes on an organisation’s liquidity, and demonstrates that certain types of business process redesign can increase or reduce the amount of external funding that is required to prevent an organisation from defaulting on its debt. This debt defaulting may lead to proliferating liquidity constraints for subsequent supply chain partners. Consequently, this paper provides a proper toolkit for assessing and mitigating the propagation of liquidity constraints in supply chains. The paper uses the accounting-based Resource-Event-Agent ontology to create workflow patterns for modelling exchanges between supply chain partners and for the value chains that represent an organisation’s internal processes. Both the exchange and internal processes continuously convert money into resources and vice versa. These models for money to resource and resource to money conversions are then used for constructing supply chain models for liquidity modelling and analysis. |
| Keywords: | Resource-Event-Agent ontology, Petri-net, Simulation, Business Process Management, Workflow Model, Business Performance, Liquidity |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:09/574&r=cmp |
| By: | Li, Hongyan; Tesfatsion, Leigh S. |
| Abstract: | This study uses an agent-based test bed to systematically explore the net surplus (congestion rents) accruing to non-profit independent system operators (ISOs) in restructured wholesale power markets with grid congestion managed by locational marginal pricing. A key finding is that ISO net surplus can be extremely large, particularly in circumstances in which price sensitivity of demand is low and generation companies learn to tacitly collude on strategic supply offers resulting in higher costs. A practical implication is that ``monitoring of the monitors" is desirable because locational marginal pricing does not align ISO financial incentives with ISO fiduciary responsibilities for efficient market operation. Related work can be found at: http://www.econ.iastate.edu/tesfatsi/AME SMarketHome.htm |
| Keywords: | Restructured wholesale power markets, ISO net surplus (congestion rents), multi-agent learning, demand-bid price sensitivity, AMES Wholesale Power Market Test Bed |
| JEL: | C6 D4 D6 L1 L3 Q4 |
| Date: | 2009–07–18 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:13092&r=cmp |
| By: | Lars J. Ravn-Jonsen (Department of Environmental and Business Economics, University of Southern Denmark) |
| Abstract: | Ecosystem Management requires models that can link the ecosystem level to the operation level. This link can be created by an ecosystem production model. Because the function of the individual fish in the marine ecosystem, seen in trophic context, is closely related to its size, the model groups fish according to size. The model summarises individual predation events into ecosystem level properties, and thereby uses the law of conservation of mass as a framework. This paper provides the background, the conceptual model, basic assumptions, integration of fishing activities, mathematical completion, and a numeric implementation. Using two experiments, the model’s ability to act as tool for economic production analysis and regulation design testing is demonstrated. The presented model is the simplest possible and is built on the principles of (i) size, as the attribute that determines the predator–prey interaction, (ii) mass balance in the predator–prey allocation, and (iii) mortality and somatic growth as a consequence of the predator–prey allocation. By incorporating additional assumptions, the model can be extended to other dimensions of the ecosystem, for example, space or species. The formulation and description of the present model can serve as a reference for future work. |
| Keywords: | Ecosystem-model, side-based-model, trophic-model, numeric, fishery, economic. |
| Date: | 2009–03 |
| URL: | http://d.repec.org/n?u=RePEc:sdk:wpaper:87&r=cmp |
| By: | Wolfgang Lutz; Sergei Scherbov |
| Abstract: | This paper addresses in a systematic demographic manner the widely discussed question: To what extent can immigration compensate for low fertility in Europe? We begin with a set of 28 alternative scenarios combining seven different fertility levels with four different migration assumptions at the level of the EU-15 to 2050. Next, we address the research question in the context of probabilistic population projections, and the new concept of conditional uncertainty distributions in population forecasting is introduced. Statistically this is done by sorting one thousand simulations into low, medium, and high groups for fertility and migration according to the average levels of paths over the simulation period. The results show a similar picture to that of the probability-free scenarios, but also indicate that for the old-age dependency ratio, the uncertainty about future mortality trends greatly adds to the ranges of the conditional uncertainty distributions. |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:vid:eudgrp:0301&r=cmp |
| By: | Chi, K.C.; Reiner, D.M.; Nuttall, W.J. |
| Abstract: | We present a dynamic model of the indigenous natural gas industry in the UK. The model has been built using a system dynamics approach. Using the model several scenarios have been analysed. We found that management of the supply-side policy alone cannot substantially postpone the discovery, production and consumption peak. We also found that the dynamics of the main variables, namely, exploration, production and consumption, are sensitive to initial demand conditions. Postponing the onset of gas price increases can therefore be achieved more effectively through efforts to reduce demand growth. One might expect that a low taxation policy would encourage more exploration and production of gas and thereby stimulate higher consumption rates. Instead, there was no overall net effect on production and consumption in the long term. The depletion effect on cost of exploration acts as counterbalance to low taxation policy. Depletion effect causes cost and thus price to rise further which depress consumption rate. The advances in exploration and production technology can delay the peak of exploration, production and consumption. Technological improvements mean lower cost of exploration and production which pressure down long-term pattern of price dynamics. |
| Keywords: | System Dynamics; Simulation Modelling; natural gas; energy policy; long-term policy analysis |
| JEL: | Q48 C63 Q41 |
| Date: | 2009–06–09 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:0922&r=cmp |
| By: | Hugo M. M. Aguiar (Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia); Pedro M. B. Afonso (Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia) |
| Abstract: | Some years ago, Information Technologies (IT) were in the leading edge, it was possible to have a power never seen before in calculation, simulation and data storage. This fact turned the computational power of the new technologies essential, currently representing a significant weight in the budget of companies, the state and even the common households. Today, the world is positively condemned to focus itself on sustainability - conserving an ecological balance by avoiding depletion of natural resources. We can find the great world-wide leaders face to face with a great challenge - to contribute for the development of a sustainable world. It is important that these leaders are able to focus themselves on the economic development without forgetting important environmental and social matters that every time become more and more pertinent. Innovation in informatics and grid computing appears not only as a promising solution concerning this sustainable economic development but also as the best answer to the stagnation or contraction of the world-wide economy. Our paper presents some trends and examples of development of new systems that use in a sustainable way the computer energy available and contribute to more productive and powerful computer systems. |
| Keywords: | Sustainable Development, Informatics, Computer Energy, Grid Computing |
| JEL: | L59 O31 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:ieu:wpaper:20&r=cmp |
| By: | M. VANHOUCKE; B. MAENHOUT |
| Abstract: | Managing nursing personnel properly is of critical importance as these resources comprise a vast share of the hospital's operational costs. The organizational support and the managerial policy decisions on the scheduling level are important determinants for the nurses' working conditions and the related quality of care. In this paper, we use a decision support system to gain insights and understanding in the consequences and outcomes of various personnel re-rostering policy decisions and strategies. We explore the boundaries of the time horizon and the nurse staffing size to consider for the nurse re-rostering problem based on computational experiments in a real-life problem environment. |
| Keywords: | Manpower planning; Resource allocation; Hospitals |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:09/591&r=cmp |
| By: | Sami Bibi; John Cockburn; Luca Tiberti; Massa Coulibaly |
| Abstract: | Since 2006, Mali has experienced the full effects of the global food crisis, with price increases of up to 67%. This study presents simulations of the impacts of this crisis and a number of policy responses with respect to the welfare of children. The impacts are analyzed in terms of monetary (food) poverty, nutrition, education, child labor and access to health services of children. According to simulations, food poverty among children would have increased from 41% to 51%, with a corresponding rise in caloric insufficiency from 32% to 40%, while the impacts on school participation, work and access to health services would have been relatively weak. |
| Keywords: | child education; child health; child labour; child poverty; economic crisis; food crises; nutrition; |
| JEL: | E39 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ucf:inwopa:inwopa09/65&r=cmp |
| By: | Anastasios Xepapadeas (Athens University of Economics and Business and Beijer Fellow); William Brock (University of Wisconsin and Beijer Fellow) |
| Abstract: | This paper presents a fairly general treatment of recursive infinite horizon forward looking optimizing systems on infinite dimensional spatial domains. It includes optimal control, an analysis of local stability of spatially flat optimal steady states and development of techniques to compute spatially heterogeneous optimal steady states. The paper also develops a concept of rational expectations equilibrium, a local stability analysis for spatially homogeneous rational expectations steady states, and computational techniques for spatially heterogeneous rational expectations steady states. |
| Keywords: | Pattern Formation, Spatial Spillovers, Optimal Control, Spillover Induced Instability, Growth Models |
| JEL: | C61 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2009.49&r=cmp |