nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒02‒16
nine papers chosen by
Stan Miles
Thompson Rivers University

  1. Simple heuristics as equilibrium strategies in mutual sequential mate search By Saglam, Ismail
  2. Integrating Cotton and Beef Production in the Texas Southern High Plains: A Simulation Approach By Mitchell, Donna; Johnson, Phillip N.; Allen, Vivien; Zilverberg, Cody
  3. The Economics of Vampires: An Agent-based Perspective By Dan Farhat
  4. Stochastic Local Intensity Loss Models with Interacting Particle Systems By Aur\'elien Alfonsi; C\'eline Labart; J\'er\^ome Lelong
  5. An Agent-based Model of Interdisciplinary Science and the Evolution of Scientific Research Networks By Dan Farhat
  6. Unemployment benefits and financial factors in an agent-based macroeconomic model By Riccetti, Luca; Russo, Alberto; Gallegati, Mauro
  7. Proposed Farm Bill Impact On The Optimal Hedge Ratios For Crops By Tran, Trang; Coble, Keith H.; Harri, Ardian; Barnett, Barry J.; Riley, John Michael
  8. Financial shocks in Japan : A case for a small open economy By Yue Zhao
  9. Simulating Conventions and Norms under Local Interactions and Imitation By Sebastian Ille

  1. By: Saglam, Ismail
    Abstract: In this paper, we study whether simple heuristics can arise as equilibrium strategies in mutual sequential mate search. To this aim, we extend the mate search model of Todd and Miller (1999), involving an adolescence (learning) phase followed by an actual mating phase, to a strategic game where the players, as the individuals in the mating population, choose before starting the adolescence phase, the best rule - among the four available search (aspiration adjustment) rules - to maximize their likelihood of mating, given the choice of other individuals. Conducting Monte Carlo simulations, we show that the use of the Take the Next Best Rule by the whole population never becomes a (Nash) equilibrium in the simulation range of adolescence lengths. While the unanimous use of the Adjust Relative Rule by the whole population arises as an equilibrium for a wide part of the simulation range, especially for medium to high adolescence lengths, the rules Adjust Up/Down and Adjust Relative/2 are unanimously chosen as equilibrium strategies for a small part of the simulation range and only when the adolescence is long and short, respectively.
    Keywords: Mate Choice; Mate Search; Simple Heuristics; Agent-Based Simulation; Stability; Equilibrium Strategies
    JEL: C63 J12 C72
    Date: 2013–01–24
  2. By: Mitchell, Donna; Johnson, Phillip N.; Allen, Vivien; Zilverberg, Cody
    Abstract: This study uses a simulation approach to determine the economic viability of two different production systems in the Texas Southern High Plains. Results show that a traditional cotton monoculture system is more profitable, although integrated cotton/forage/livestock systems require less water.
    Keywords: simulation, integrated livestock, economic viability, Agricultural Finance, Farm Management, Land Economics/Use, Livestock Production/Industries, Production Economics, Q14, Q15,
    Date: 2013
  3. By: Dan Farhat (Department of Economics, University of Otago, New Zealand)
    Abstract: Vampires are a prominent feature of modern culture. Past research identifies the ecological and economic relationship between vampires and living humans under the assumption that 'representative agents' are capable of characterising entire communities. Whether populations of individuals can coordinate themselves sufficiently or not to achieve the same outcomes as the representative agent is not addressed. The purpose of this study is to create a human-vampire ecosystem using artificial social simulation. An agent-based computational model is constructed in which heterogeneous vampire and human individuals engage in one-on-one interaction within a virtual landscape. These interactions result in the emergence of aggregate-level phenomena. Simulating alternative virtual economies under different model calibrations shows under what conditions these emergent phenomena are similar to those produced by the representative agents in previous studies. This article contends that growing human-vampire economies can shed light on an array of social and economic issues even if vampires never existed at all.
    Keywords: economics of vampires, agent-based modelling, artificial social simulation
    JEL: C63 J10 P0
    Date: 2013–01
  4. By: Aur\'elien Alfonsi (CERMICS, INRIA Paris-Rocquencourt); C\'eline Labart (INRIA Paris-Rocquencourt, LAMA); J\'er\^ome Lelong (INRIA Paris-Rocquencourt, LJK)
    Abstract: It is well-known from the work of Sch\"onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one proposed by Arnsdorf and Halperin (2008) allow to get a stochastic jump intensity while keeping the same marginal laws. These models involve a non-linear SDE with jumps. The first contribution of this paper is to prove the existence and uniqueness of such processes. This is made by means of an interacting particle system, whose convergence rate towards the non-linear SDE is analyzed. Second, this approach provides a powerful way to compute pathwise expectations with the SLI model: we show that the computational cost is roughly the same as a crude Monte-Carlo algorithm for standard SDEs.
    Date: 2013–02
  5. By: Dan Farhat (Department of Economics, University of Otago, New Zealand)
    Abstract: This study proposes an agent-based model of the impact of research success on the structure of scientific communities. In the model, heterogeneous scientists scattered about a ‘social landscape’ influence each other through networking. Peer networks are allowed to change based on the accumulated achievements (or prestige) of researchers. The dynamics of these networks are illustrated. The framework is then adjusted to allow for interdisciplinary practices (modelled as network links to more distant peers on the social landscape). Separate disciplines are shown to collapse into a single, large scientific network. Managing growing research networks, therefore, becomes a concern.
    Keywords: Agent-based modelling, evolution of academic networks, interdisciplinary science, sociology of science
    JEL: A14 B49 Z13
    Date: 2013–01
  6. By: Riccetti, Luca; Russo, Alberto; Gallegati, Mauro
    Abstract: This paper is aimed at investigating the effects of government intervention through unemployment benefits on macroeconomic dynamics in an agent-based decentralized matching framework. The major result is that the presence of such a public intervention in the economy stabilizes the aggregate demand and the financial conditions of the system at the cost of a modest increase of both the inflation rate and the ratio between public deficit and nominal GDP. The successful action of the public sector is sustained by the central bank, which is committed to buy outstanding government securities. --
    Keywords: Agent-based macroeconomics,business cycle,crisis,unemployment,leverage
    JEL: E32 C63
    Date: 2013
  7. By: Tran, Trang; Coble, Keith H.; Harri, Ardian; Barnett, Barry J.; Riley, John Michael
    Abstract: Revenue insurance with shallow loss protection for farmers has been introduced recently. A common attribute of most shallow loss proposals is that they would be area-revenue triggered. The impact on optimal hedge ratios of combining these shallow loss insurance proposals with deep loss farm-level insurance is examined. Since crop insurance, commodity programs and forward pricing are commonly used concurrently to manage crop revenue risk, the optimal combinations of these tools are explored. Numerical analysis in the presence of yield, basis and futures price variability is used to find the futures hedge ratio which maximizes the certainty equivalent of a risk averse producer. The results generally reveal a lower optimal hedge ratio with area-insurance than with individual insurance and show that STAX and ARC tend to slightly increase optimal hedge ratios.
    Keywords: crop insurance, simulation, hedging, Agricultural Finance, Farm Management, Risk and Uncertainty,
    Date: 2013
  8. By: Yue Zhao (Graduate School of Economics, Kyoto University)
    Abstract: Following Jermann and Quadrini (2012), we apply the dynamic stochastic general equilib- rium modeling method (DSGE) to assess whether nancial shocks matter for the Japanese economy. We construct time series of nancial shocks and productivity shocks using Japan's quarterly data since 2001 and conduct simultaneous replication on major indi- cators of aggregate financial flows and real variables. Preliminary results tell us that in a closed economy, nancial shocks seem less important than they were in the U.S. economy. However, after extending the original model to a small open economy in which rms can borrow from overseas lenders but may have to pay a default risk premium on interest payments, simulated results show that nancial shocks have contributed heavily to the dynamics of aggregate debt and dividend flows. This is consistent with Jermann and Quadrini's (2012) nding on the U.S. economy. By contrast, however, productivity shocks seem to have been dominant in accounting for fluctuations of real variables, such as output, consumption ratio, and investment ratio in Japan.
    Keywords: DSGE model, financial friction, small open economy, simulation
    JEL: E44 E32 F41
    Date: 2013–02
  9. By: Sebastian Ille
    Abstract: This paper is based on Ille 2013. Both papers analyze the same model, but in contrast, this paper does not provide an analytical solution but rather resorts to simulations. This allows the reader, who is familiar with the former article, to retrace the results more thoroughly and without the requirement of a sophisticated mathematical background. Additionally, this paper illustrates the dynamics of the setting. Focus is placed on 2X2 Nash coordination games on a two-dimensional lattice. Players imitate the most successful player in their reference group (Moore neighborhood) in the former period. Similarly individual pay-o is only dened by the current strategic choice of this reference group. We observe that the long-term convention is defined by a trade-off between risk and efficiency and that player population converges to the Pareto dominant though risk inferior convention for a broad range of pay-off congurations. In the case of two player populations, the long-term convention is defined by the equilibrium granting the highest benet to one population. Consequently, conventions illustrate a tendency to be inegalitarian.
    Keywords: Existence and Stability of Equilibria; Evolutionary Games; Behavior; Simulation Modeling
    Date: 2013–01–25

This nep-cmp issue is ©2013 by Stan Miles. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.