nep-cmp New Economics Papers
on Computational Economics
Issue of 2010‒08‒14
eleven papers chosen by
Stan Miles
Thompson Rivers University

  1. Agent-Based Simulations of the Software Market under Different Pricing Schemes for Software-as-a-Service and Perpetual Software By Juthasit Rohitratana; Jorn Altmann
  2. Encouraging Cooperation in Ad-hoc Mobile-Phone Mesh Networks for Rural Connectivity By Kavitha Ranganathan; Vikramaditya Shekhar
  3. The EAGLE. A model for policy analysis of macroeconomic interdependence in the euro area By Sandra Gomes; Pascal Jacquinot; Massimiliano Pisani
  4. The ACEGES 1.0 Documentation: Simulated Scenarios of Conventional Oil Production By Voudouris, V; Di Maio , C
  5. A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance By Jan Hendrik Witte; Christoph Reisinger
  6. Modelling the Effects of Nuclear Fuel Reservoir Operation in a Competitive Electricity Market By Maria Lykidi; Jean-Michel Glachant; Pascal Gourdel
  7. Calculation of aggregate loss distributions By Pavel V. Shevchenko
  8. A Chaotic Approach to Market Dynamics By Carmen Pellicer-Lostao; Ricardo Lopez-Ruiz
  9. The role of macroeconomic policies in the global crisis By Pietro Catte; Pietro Cova; Patrizio Pagano; Ignazio Visco
  10. Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes By Mehmet Balcilar; Rangan Gupta; Anandamayee Majumdar; Stephen M. Miller
  11. Dynamically Optimal R\& D Subsidization By Grossmann, Volker; Steger, Thomas M.; Trimborn, Timo

  1. By: Juthasit Rohitratana; Jorn Altmann (Technology Management, Economics, and Policy Program (TEMEP), Seoul National University)
    Abstract: In this paper, we present agent-based simulations that model the interactions between software buyers and vendors in a software market that offers Software-as-a-Service (SaaS) and perpetual software (PS) licensing under different pricing schemes. In particular, scenarios are simulated, in which vendor agents dynamically set prices. Customer (or buyer) agents respond to these prices by selecting the software license scheme according to four fundamental criteria using Analytic Hierarchy Process (AHP) as decision support mechanism. These criteria relate to finance, software capability, organization, and vendor. Three pricing schemes are implemented for our simulations: derivative-follower (DF), demand-driven (DD), and competitor-oriented (CO). The results show that DD scheme is the most effective method but hard to implement since it requires perfect knowledge about market conditions. This result is supported through a price sensitivity analysis
    Keywords: Software-as-a-Service pricing, perpetual software pricing, agent-based simulation, Analytic Hierarchy Process (AHP), dynamic pricing, decision support
    JEL: C02 C15 C61 C63 D40 D81 D83 L11 L14 L23 L86 M21
    Date: 2010–07
  2. By: Kavitha Ranganathan; Vikramaditya Shekhar
    Abstract: This paper proposes a rating based scheme for encouraging user participation in adhoc mobile phone mesh networks. These networks are particularly attractive for remote/rural areas in developing countries as they do not depend on costly infrastructure and telecom operators. We evaluate our scheme using extensive simulations and find that our proposed scheme is successful in enhancing the network throughput. [W.P. No. 2009-08-01]
    Keywords: rating, encouraging, participation, mobile phone, infrastructure, telecom
    Date: 2010
  3. By: Sandra Gomes (Bank of Portugal); Pascal Jacquinot (European Central Bank); Massimiliano Pisani (Bank of Italy)
    Abstract: Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and GLobal Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions belonging to the euro area and between euro area regions and the world economy. Simulation analysis shows the transmission mechanism of region-specific or common shocks, originating in the euro area and abroad.
    Keywords: Open-economy macroeconomics, DSGE models, econometric models, policy analysis
    JEL: C53 E32 E52 F47
    Date: 2010–07
  4. By: Voudouris, V; Di Maio , C
    Abstract: he ACEGES (Agent-based Computational Economics of the Global Energy System) 1.0 model is an agent-based model of conventional oil production for 93 countries. The model accounts for four key uncertainties, namely Estimated Ultimate Recovery (EUR), estimated growth in oil demand, estimated growth in oil production and assumed peak/decline point. This documentation provides an overview of the ACEGES model capabilities and an example of how it can be used for long-term (discrete and continuous) scenarios of conventional oil production.
    Keywords: oil production; ACEGES; agent-based model; energy scenarios; oil forecasting
    JEL: Q41 C14 C63 C1
    Date: 2010–08–05
  5. By: Jan Hendrik Witte; Christoph Reisinger
    Abstract: We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered problems have only a viscosity solution, to which, fortunately, many intuitive (e.g. finite difference based) discretisations can be shown to converge. However, especially when using fully implicit time stepping schemes with their desireable stability properties, one is still faced with the considerable task of solving the resulting nonlinear discrete system. In this paper, we introduce a penalty method which approximates the nonlinear discrete system to first order in the penalty parameter, and we show that an iterative scheme can be used to solve the penalised discrete problem in finitely many steps. We include a number of examples from mathematical finance for which the described approach yields a rigorous numerical scheme and present numerical results.
    Date: 2010–08
  6. By: Maria Lykidi; Jean-Michel Glachant; Pascal Gourdel
    Abstract: In many countries, the electricity systems are quitting the vertically integrated monopoly organization for an operation framed by competitive markets. In such a competitive regime one can ask what the optimal management of the nuclear generation set is. We place ourselves in a medium-term horizon of the management in order to take into account the seasonal variation of the demand level between winter (high demand) and summer (low demand). A flexible nuclear set is operated to follow a part of the demand variations. In this context, nuclear fuel stock can be analyzed like a reservoir since nuclear plants stop periodically (every 12 or 18 months) to reload their fuel. The operation of the reservoir allows different profiles of nuclear fuel uses during the different seasons of the year. We analyze it within a general deterministic dynamic framework with two types of generation: nuclear and non-nuclear thermal. We study the optimal management of the production in a perfectly competitive market. Then, we build a very simple numerical model (based on data from the French market) with nuclear plants being not operated strictly as base load power plants but within a flexible dispatch frame (like the French nuclear set). Our simulations explain why we must anticipate future demand to manage the current production of the nuclear set (myopia can not be total). Moreover, it is necessary in order to ensure the equilibrium supply-demand, to take into account the non-nuclear thermal capacities in the management of the nuclear set. They also suggest that non-nuclear thermal could stay marginal during most of the year including the months of low demand.
    Date: 2010–07
  7. By: Pavel V. Shevchenko
    Abstract: Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for the distributions typically used in operational risk. However with modern computer processing power, these distributions can be calculated virtually exactly using numerical methods. This paper reviews numerical algorithms that can be successfully used to calculate the aggregate loss distributions. In particular Monte Carlo, Panjer recursion and Fourier transformation methods are presented and compared. Also, several closed-form approximations based on moment matching and asymptotic result for heavy-tailed distributions are reviewed.
    Date: 2010–08
  8. By: Carmen Pellicer-Lostao; Ricardo Lopez-Ruiz
    Abstract: Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions observed in real economies. However, this model reveals some technical hitches to explain the power law (Pareto) distribution, observed in individuals with high incomes. Here, non linear dynamics is introduced in the gas-like model. The results obtained demonstrate that a chaotic gas-like model can reproduce the two money distributions observed in real economies (Exponential and Pareto). Moreover, it is able to control the transition between them. This may give some insight of the micro-level causes that originate unfair distributions of money in a global society. Ultimately, the chaotic model makes obvious the inherent instability of asymmetric scenarios, where sinks of wealth appear in the market and doom it to complete inequality.
    Date: 2010–08
  9. By: Pietro Catte (Banca d'Italia); Pietro Cova (Banca d'Italia); Patrizio Pagano (Banca d'Italia); Ignazio Visco (Banca d'Italia)
    Abstract: This paper argues that the lack of timely and decisive policy action to correct domestic and external imbalances contributed crucially to the build-up of financial excesses that led to the financial crisis and the Great Recession. We focus on 2002-07 and perform a number of counterfactual simulations to investigate two central elements of the story, namely: (a) an over-expansionary US monetary policy and the absence of effective macro-prudential supervision, which permitted a prolonged expansion of debt-financed consumer spending; (b) the decision of China and other emerging countries to pursue an export-led growth strategy supported by pegging their currencies to the US dollar, resulting in a huge build-up of their official reserves, in conjunction with sluggish domestic demand in surplus advanced economies characterized by low potential output growth. The results of the simulations lend support to the view that if substantial, globally coordinated demand rebalancing had been undertaken in a timely manner, the macroeconomic and financial imbalances would not have accumulated to the extent that they did and the financial turmoil might have had less drastic global consequences.
    Keywords: global imbalances, financial crisis, monetary policy, macroprudential regulation, structural reforms.
    JEL: E52 F42 F43 F47 G15
    Date: 2010–07
  10. By: Mehmet Balcilar (Eastern Mediterranean University); Rangan Gupta (University of Pretoria); Anandamayee Majumdar (Arizona State University); Stephen M. Miller (University of Connecticut and University of Nevada, Las Vegas)
    Abstract: This paper provides out-of-sample forecasts of Nevada gross gaming revenue and taxable sales using a battery of linear and non-linear forecasting models and univariate and multivariate techniques. The linear models include vector autoregressive and vector error-correction models with and without Bayesian priors. The non-linear models include non-parametric and semi-parametric models, smooth transition autoregressive models and artificial neural network autoregressive models. In addition to gross gaming revenue and taxable sales, we employ recently constructed coincident and leading employment indexes for Nevada's economy. We conclude that non-linear models generally outperform linear models in forecasting future movements in gross gaming revenue and taxable sales.
    Keywords: Forecasting, Linear and non-linear models, Nevada gross gaming revenue, Nevada taxable sales
    JEL: C32 R31
    Date: 2010–07
  11. By: Grossmann, Volker; Steger, Thomas M.; Trimborn, Timo
    Abstract: Previous research on optimal R\& D subsidies has focussed on the long run. This paper characterizes the optimal time path of R\& D subsidization in a semi- endogenous growth model, by exploiting a recently developed numerical method. Starting from the steady state under current R\& D subsidization in the US, the R\& D subsidy should significantly jump upwards and then slightly decrease over time. There is a negligible loss in welfare, however, from immediately setting the R\& D subsidy to its optimal long run level, compared to the case where the dynamically optimal policy is implemented.
    Keywords: R\& D subsidy, Transitional dynamics, Semi-endogenous growth, Welfare
    JEL: H20 O30 O40
    Date: 2010–08

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