nep-cmp New Economics Papers
on Computational Economics
Issue of 2012‒12‒06
eleven papers chosen by
Stan Miles
Thompson Rivers University

  1. Informed Selection of Future Climates By Arndt, Channing; Fant, Charles; Robinson, Sherman; Strzepek, Kenneth
  2. Econometrics on GPUs By Michael Creel; Sonik Mandal; Mohammad Zubair
  3. The Effects of Group Composition and Fractionalization in a Public Goods Game: An Agent-Based Simulation By Lucas, Pablo; de Oliveira, Angela C.M.; Banuri, Sheheryar
  4. The Economic Costs of Climate Change: A Multi-Sector Impact Assessment for Vietnam By Arndt, Channing; Tarp, Finn; Thurlow, James
  5. Implications of Alternative Mitigation Policies on World Prices for Fossil Fuels and Agricultural Products By Paltsev, Sergey
  6. IT Service Platforms: Their Value Creation Model and the Impact of their Level of Openness on their Adoption By Selam Abrham Gebregiorgis; Jorn Altmann
  7. Multi-model analyses of the economic and energy implications for China and India in a post-Kyoto climate regime By Daniel J.A. Johansson; Paul L. Lucas; Matthias Weitzel; Erik O. Ahlgren; A.B. Bazaz; Wenying Chen; Michel G.J. den Elzen; Joydeep Ghosh; Qiao-Mei Liang; Sonja Peterson; Basanta K. Pradhan; Bas J. van Ruijven; P.R. Shukla; Detlef P. van Vuuren; Yi-Ming Wei
  8. Value Creation in IT Service Platforms through Two-Sided Network Effects By Netsanet Haile; Jorn Altmann
  9. Network analysis of correlation strength between the most developed countries By Janusz Mi\'skiewicz
  10. GARCH Option Valuation: Theory and Evidence By Peter Christoffersen; Kris Jacobs; Chayawat Ornthanalai
  11. Nonlinear Kalman Filtering in Affine Term Structure Models By Peter Christoffersen; Christian Dorion; Kris Jacobs; Lotfi Karoui

  1. By: Arndt, Channing; Fant, Charles; Robinson, Sherman; Strzepek, Kenneth
    Abstract: Analysis of climate change is often computationally burdensome. Here, we present an approach for intelligently selecting a sample of climates from a population of 6800 climates designed to represent the full distribution of likely climate outcomes out to
    Keywords: Gaussian quadrature sampling, climate uncertainty, computational burden, information theory
    Date: 2012
  2. By: Michael Creel; Sonik Mandal; Mohammad Zubair
    Abstract: A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing is the practice of using a GPU device for scientific or general purpose computations that are not necessarily related to the display of images. Many problems in econometrics have a structure that allows for successful use of GPU computing. We explore two examples. The first is simple: repeated evaluation of a likelihood function at different parameter values. The second is a more complicated estimator that involves simulation and nonparametric fitting. We find speedups from 1.5 up to 55.4 times, compared to computations done on a single CPU core. These speedups can be obtained with very little expense, energy consumption, and time dedicated to system maintenance, compared to equivalent performance solutions using CPUs. Code for the examples is provided.
    Keywords: parallel computing; graphical processing unit; GPU; econometrics; simulation-based methods; Bayesian estimation.
    JEL: C13 C14 C15 C33
    Date: 2012–11–12
  3. By: Lucas, Pablo; de Oliveira, Angela C.M.; Banuri, Sheheryar
    Abstract: Behavioural economics highlights the role of social preferences in economic decisions. Further, populations are heterogeneous; suggesting that group composition may impact the ability to sustain voluntary public goods contributions. This parallels researc
    Keywords: social preferences, agent-based simulation, group composition, beliefs
    Date: 2012
  4. By: Arndt, Channing; Tarp, Finn; Thurlow, James
    Abstract: Unlike existing studies, we adopt a multi-sectoral approach and consider the full range of climate projections. Biophysical damages are translated into economic costs using a dynamic economywide model. Our results for Vietnam indicate that the negative im
    Keywords: climate change, uncertainty, multi-sector, CGE model, Vietnam
    Date: 2012
  5. By: Paltsev, Sergey
    Keywords: climate change mitigation, fuel prices, agricultural prices, biofuels, computable general equilibrium
    Date: 2012
  6. By: Selam Abrham Gebregiorgis (Technology Management, Economics, and Policy Program, College of Engineering, Seoul National University); Jorn Altmann (Technology Management, Economics, and Policy Program, College of Engineering, Seoul National University)
    Abstract: Many IT service platforms (e.g., cloud computing platforms) are built as closed systems. They do not allow their customers to interoperate with other platforms or port their data to other platforms. As switching to different system is costly, customer of a closed IT system can be considered locked in. Consequently, potential customers, who are aware of this lock-in issue, do not adopt cloud services. Opening up an IT service platform, however, reduces users¡¯ concerns about lock-in and its associated switching cost. It is even predicted that an IT service platform gets more attractive, if it opens up. This paper validates this prediction by analyzing the level of openness (i.e., interoperability, portability, and usability) of cloud computing platforms on their adoption. For the validation, we develop a value creation model for IT service platforms, using existing methods on value networks. Based on this value creation model and a specification of requirements of open cloud computing platforms, the relationship between the openness of IT service platforms and the adoption of IT service platforms (i.e., attractiveness) is analyzed in detail. In particular, our results show that the level of openness plays a major role in the adoption of IT service platforms of emerging service providers.
    Keywords: Open IT Service Platforms, Interoperability, Portability, Usability, Openness, Cloud Computing Adoption; Value Creation Model, Simulation, Computational Economics, System Dynamics, Value Networks.
    JEL: C15 C61 C63 D21 D24 D46 D81 L11 L15 L22 L86 M15
    Date: 2012–06
  7. By: Daniel J.A. Johansson; Paul L. Lucas; Matthias Weitzel; Erik O. Ahlgren; A.B. Bazaz; Wenying Chen; Michel G.J. den Elzen; Joydeep Ghosh; Qiao-Mei Liang; Sonja Peterson; Basanta K. Pradhan; Bas J. van Ruijven; P.R. Shukla; Detlef P. van Vuuren; Yi-Ming Wei
    Abstract: This paper presents a modeling comparison project on how the 2°C climate target could affect economic and energy systems development in China and India. The analysis uses a framework that harmonizes baseline developments and soft-links seven national and global models being either economy wide (CGE models) or energy system models. The analysis is based on a global greenhouse gas emission pathway that aims at a radiative forcing of 2.9 W/m2 in 2100 and with a policy regime based on convergence of per capita CO2 emissions with emissions trading. Economic and energy implications for China and India vary across models. Decreased energy intensity is the most important abatement approach in the CGE models, while decreased carbon intensity is most important in the energy system models. Reliance on Coal without Carbon Capture and Storage (CCS) is significantly reduced in most models, while CCS is a central abatement technology in energy system models, as is renewable and nuclear energy. Concerning economic impacts China bears in general a higher cost than India, as China benefits less from emissions trading. Costs are also affected by changes in fossil fuel prices, currency depreciation from capital inflow from carbon trading and timing of emission reductions
    Keywords: Climate policy; China; India
    JEL: N7 O13 P28 Q4
    Date: 2012–11
  8. By: Netsanet Haile (Technology Management, Economics, and Policy Program, College of Engineering, Seoul National University); Jorn Altmann (Technology Management, Economics, and Policy Program, College of Engineering, Seoul National University)
    Abstract: IT service businesses can achieve economies of scale and scope faster than in traditional product businesses. In particular, as IT service platforms will become the founding infrastructure of our economies, the analysis and understanding of the value that a service platform can generate is of great importance. IT service platforms provide all involved market participants with different values. For this paper, we consider application service users, service developers and service platform providers as market participants and analyze the interrelationship between the value creations of these market participants. The basis for the description of the values and their interrelationship is the identification of parameters. Based on these parameters, a simulation model has been developed. It helps inferring the relative impact of these parameters on the evolution of the IT service platform stakeholder values. The results imply that there is a two-sided network effect. All stakeholders of a service platform mainly benefit from a growing installed base of application users. The benefit of a large service variety, however, mainly benefits the service platform provider. Therefore, we can state that a large fraction of the value from two-sided network effects goes to the platform provider.
    Keywords: IT Service Platform, Value Creation, System Dynamics, Two-Sided Network Effect, Business Modeling, IT Business, SaaS, Cloud Computing.
    JEL: C15 D02 D11 D46 D85 L14 L86 M15 M21 O31 O33
    Date: 2012–11
  9. By: Janusz Mi\'skiewicz
    Abstract: A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme (PLCS) followed by the analysis of the network on the percolation threshold (NPT). The algorithm was applied to the analysis of correlations among GDP per capita time series of 19 most developed countries in the periods (1982, 2011), (1992, 2011) and (2002, 2011). The representative countries with respect to strength of correlation, convergence of time series and stability of correlation are distinguished. The results are compared with ultrametric distance matrix analysed by NPT.
    Date: 2012–11
  10. By: Peter Christoffersen (University of Toronto - Rotman School of Management and CREATES); Kris Jacobs (University of Houston and Tilburg University); Chayawat Ornthanalai (Georgia Institute of Technology)
    Abstract: We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of functional forms available for the volatility dynamic, multifactor models, nonnormal shock distributions as well as style of pricing kernels typically used. Various strategies for empirical implementation are laid out and we also discuss the links between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte Carlo simulation for nonaffine models as well as Fourier inversion for affine models.
    Keywords: GARCH, option valuation.
    JEL: G13
    Date: 2012–05–08
  11. By: Peter Christoffersen (University of Toronto - Rotman School of Management and CREATES); Christian Dorion (HEC Montreal); Kris Jacobs (University of Houston and Tilburg University); Lotfi Karoui (Goldman, Sachs & Co.)
    Abstract: When the relationship between security prices and state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear fi?ltering is computationally demanding. We conduct an extensive investigation of this linearization and analyze the potential of the unscented Kalman ?filter to properly capture nonlinearities. To illustrate the advantages of the unscented Kalman ?filter, we analyze the cross section of swap rates, which are relatively simple non-linear instruments, and cap prices, which are highly nonlinear in the states. An extensive Monte Carlo experiment demonstrates that the unscented Kalman fi?lter is much more accurate than its extended counterpart in fi?ltering the states and forecasting swap rates and caps. Our fi?ndings suggest that the unscented Kalman fi?lter may prove to be a good approach for a number of other problems in fi?xed income pricing with nonlinear relationships between the state vector and the observations, such as the estimation of term structure models using coupon bonds and the estimation of quadratic term structure models.
    Keywords: Kalman filtering, nonlinearity, term structure models, swaps, caps.
    JEL: G12
    Date: 2012–05–14

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