New Economics Papers
on Computational Economics
Issue of 2011‒10‒22
six papers chosen by

  1. Social Interactions and Long-Term Fertility Dynamics.A Simulation Experiment in the Context of the French Fertility Decline By Sandra González-Bailón; Tommy E. Murphy
  2. Assessing the Impact of the Global Financial and Economic Crisis in Developing Countries: the Case of Uruguay By Carmen Estrades; Cecilia Llambi
  3. Parallel Binomial American Option Pricing with (and without) Transaction Costs By Nan Zhang; Alet Roux; Tomasz Zastawniak
  4. Fitted Value Function Iteration With Probability One Contractions By Jenö Pál; John Stachurski
  5. Forecasting seasonality in prices of potatoes and onions: challenge between geostatistical models, neuro fuzzy approach and Winter method By Amiri, Arshia; Bakhshoodeh, Mohamad; Najafi, Bahaeddin
  6. Conservative self-organized extremal model for wealth distribution By Abhijit Chakraborty; G. Mukherjee; S. S. Manna

  1. By: Sandra González-Bailón; Tommy E. Murphy
    Abstract: We build an agent-based simulation model that incorporates both historical data on population characteristics and spatial information on the geography of France to experimentally study the role of social interactions in fertility decisions. We assess how different behavioural and interdependence assumptions cause variations in macro dynamics and diffusion patterns. The analyses show that incorporating social interactions into the model contribute to mimic empirically observed behaviour. Our findings suggest individual-level mechanisms through which the observed demographic transition was materialised. Keywords fertility decline, demographic transition, diffusion, France, simulation experiments, agent-based models, decision-making, social norms, social interactions. JEL classification N33, J13, C15.
    Date: 2011
  2. By: Carmen Estrades; Cecilia Llambi
    Abstract: This paper uses a static computable general equilibrium model (CGE) linked to a microsimulation model to analyze how the global crisis and some adopted policy responses may have affected the Uruguayan economy. The focus is on the trade channel and foreign capital flows, since they are the most important mechanisms through which the global crisis affected the Uruguayan economy. The crisis had a strong impact on exports and fixed investment. Poorest households would be the most affected, as they face a stronger reduction in real wages and a rise in unemployment. We find a negative impact on extreme poverty, but not on moderate poverty, as households near the poverty line would benefit from the fall in some consumer prices. A policy based in increasing current public consumption does moderately counteract some negative impacts of the crisis, but benefits mainly skilled workers, and does not act directly towards the most affected.
    Keywords: Global economic crisis, trade shock, fiscal response, Uruguay, unemployment
    JEL: D58 I32 J68 H50
    Date: 2011
  3. By: Nan Zhang; Alet Roux; Tomasz Zastawniak
    Abstract: We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to the trading of the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs into consideration. The algorithm that we propose partitions a binomial tree into blocks. In any round of computation a block is further partitioned into regions which are assigned to distinct processors. To minimise load imbalance the assignment of nodes to processors is dynamically adjusted before each new round starts. Synchronisation is required both within a round and between two successive rounds. The parallel speedup of the algorithm is proportional to the number of processors used. The parallel algorithm was implemented in C/C++ via POSIX Threads, and was tested on a machine with 8 processors. In the pricing of an American put option, the parallel speedup against an efficient sequential implementation was 5.26 using 8 processors and 1500 time steps, achieving a parallel efficiency of 65.75%.
    Date: 2011–10
  4. By: Jenö Pál; John Stachurski
    Abstract: This paper studies a value function iteration algorithm that can be applied to almost all stationary dynamic programming problems. Using nonexpansive function approximation and Monte Carlo integration, we develop a randomized fitted Bellman operator and a corresponding algorithm that is globally convergent with probability one. When additional restrictions are imposed, an OP(n-1/2) rate of convergence for Monte Carlo error is obtained.
    Date: 2011–10
  5. By: Amiri, Arshia; Bakhshoodeh, Mohamad; Najafi, Bahaeddin
    Abstract: This paper, we studied the ability of geostatistical models (ordinary kriging (OK) and Inverse distance weighting (IDW)), adaptive neuro-fuzzy inference system (ANFIS) and Winter method for prediction of seasonality in prices of potatoes and onions in Iran over the seasonal period 1986_2001. Results show that the best estimators in order are winter method, ANFIS and geostatistical methods. The results indicate that Winter and ANFIS had powerful results for prediction the prices while geostatistical models were not useful in this respect.
    Keywords: Price; Geostatistical model; Kiriging; Inverse distance weighting; Winter’s method; Adaptive neuro fuzzy inference system; Potatoes; Onions; Iran
    JEL: Q1 C53
    Date: 2011–10–13
  6. By: Abhijit Chakraborty; G. Mukherjee; S. S. Manna
    Abstract: We present a detailed numerical analysis of the modified version of a conservative self-organized extremal model introduced by Pianegonda et. al. for the distribution of wealth of the people in a society. Here the trading process has been modified by the stochastic bipartite trading rule. More specifically in a trade one of the agents is necessarily the one with the globally minimal value of wealth, the other one being selected randomly from the neighbors of the first agent. The pair of agents then randomly re-shuffle their entire amount of wealth without saving. This model has most of the characteristics similar to the self-organized critical Bak-Sneppen model of evolutionary dynamics. Numerical estimates of a number of critical exponents indicate this model is likely to belong to a new universality class different from the well known models in the literature. In addition the persistence time, which is the time interval between two successive updates of wealth of an agent has been observed to have a non-trivial power law distribution. An opposite version of the model has also been studied where the agent with maximal wealth is selected instead of the one with minimal wealth, which however, exhibits similar behavior as the Minimal Wealth model.
    Date: 2011–09

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