nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒03‒30
four papers chosen by
Stan Miles
Thompson Rivers University

  1. Adjustable Robust Parameter Design with Unknown Distributions By Yanikoglu, I.; Hertog, D. den; Kleijnen, Jack P.C.
  2. Taxation of agricultural sector in Morocco. An Analysis using a Dynamic Computable General Equilibrium Model By Karim, Mohamed
  3. International Monetary Transmission with Bank Heterogeneity and Default Risk By Tsvetomira Tsenova
  4. Financial Time Series Forecasting by Developing a Hybrid Intelligent System By Abounoori, Abbas Ali; Naderi, Esmaeil; Gandali Alikhani, Nadiya; Amiri, Ashkan

  1. By: Yanikoglu, I.; Hertog, D. den; Kleijnen, Jack P.C. (Tilburg University, Center for Economic Research)
    Abstract: Abstract This article presents a novel combination of robust optimization developed in mathematical programming, and robust parameter design developed in statistical quality control. Robust parameter design uses metamodels estimated from experiments with both controllable and environmental inputs (factors). These experiments may be performed with either real or simulated systems; we focus on simulation experiments. For the environmental inputs, classic robust parameter design assumes known means and covariances, and sometimes even a known distribution. We, however, develop a robust optimization approach that uses only experimental data, so it does not need these classic assumptions. Moreover, we develop `adjustable' robust parameter design which adjusts the values of some or all of the controllable factors after observing the values of some or all of the environmental inputs. We also propose a new decision rule that is suitable for adjustable integer decision variables. We illustrate our novel method through several numerical examples, which demonstrate its effectiveness.
    Keywords: robust optimization;simulation optimization;robust parameter design;phi-divergence
    JEL: C00 C15 C44 C61 C63 C67
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:dgr:kubcen:2013022&r=cmp
  2. By: Karim, Mohamed
    Abstract: The agricultural sector has always been the subject of a great attention from officials in Morocco as it is a sector that maintains exchange relations with the other sectors and a production sector of the most important Fast-moving consumer goods (FMCG) in the rural and urban areas. Indeed, agriculture accounts for 15 to 20% of the GDP and 44% of total employment. If one adds food processing, its contribution to the GDP and employment passes respectively to 20 and 50%. However, Moroccan agriculture suffers from low productivity, low yields and high logistics costs, in particular in transport, lack of integration between production and market, insufficient development of post-harvest systems, high costs of production, high risks, low coordination within chains, inadequate post-harvest technologies, lack of quality assurance system, and limited expertise in the processing of the agricultural products. For these reasons, agriculture has benefited from huge tax exemptions extended until the end of 2013.The exemption of the sector is supposed to promote, attract and develop private investments in this sector. Effectively, for the past two years, the agricultural sector was the second sector, after the property, having benefited from tax derogations, which represents about 13.4% of total measures identified in 2011. However, it is admitted that these tax advantages are a source of distortions and inefficient allocation of investments and resources towards this sector. The optimal tax theory provides, for this purpose, lessons that are useful for our empirical study.¶ Today, and besides the question concerning the place of the Moroccan agriculture in the economy which led to the design and implementation of the Green Morocco Plan (GMP), it should be noted that the question of its taxation was not as much in the central concerns as evidenced by the Royal orientations to establish an appropriate system to the agricultural sector in 2014 by taking into consideration the social security of the small-holder farmers. The model used is a dynamic multi-sector general equilibrium model. It registered voter in the line of the models built by Shoven and Whalley (1970) like Decaluwé and Savard (2001). Three agents, namely explicitly there the consumers, the producers and the public authorities, are introduced. However, to take into account the foreign trade and more generally the degree of opening of the Moroccan economy, we add a fourth agent to it: the rest of the world.
    Keywords: Taxation; Agricultural sector; Computable General Equilibrium Model
    JEL: D58 H21 Q18
    Date: 2013–04–01
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:45622&r=cmp
  3. By: Tsvetomira Tsenova
    Abstract: This paper compares the effectiveness, efficiency and robustness of standard and non-standard monetary policy tools, such as the banks’ refinancing interest rate, penalty interest rate on deposit facility holdings and minimum reserve requirements on attracted deposits. The assessment is performed on the basis of a numerically evaluated open economy general equilibrium model for macro-prudential analysis where optimal decisions by internationally linked banks are key determinants of international financial flows and wider economic outcomes. Banks differ in terms of balance sheet endowments and risk preferences, and take decisions rationally and competitively. Default risk, borrowing and lending are endogenous results of individual decisions of private agents (banks and households), as well as systemic outcomes of market interaction.
    Keywords: Banking, Monetary Policy, Non-standard Instruments, Macro-Prudential Policies, Financial Stability, Contingency Planning
    JEL: C68 D58 E44 E51 E52 E58 G21
    Date: 2013–03
    URL: http://d.repec.org/n?u=RePEc:wsr:wpaper:y:2013:i:110&r=cmp
  4. By: Abounoori, Abbas Ali; Naderi, Esmaeil; Gandali Alikhani, Nadiya; Amiri, Ashkan
    Abstract: The design of models for time series forecasting has found a solid foundation on statistics and mathematics. On this basis, in recent years, using intelligence-based techniques for forecasting has proved to be extremely successful and also is an appropriate choice as approximators to model and forecast time series, but designing a neural network model which provides a desirable forecasting is the main concern of researchers. For this purpose, the present study tries to examine the capabilities of two sets of models, i.e., those based on artificial intelligence and regressive models. In addition, fractal markets hypothesis investigates in daily data of the Tehran Stock Exchange (TSE) index. Finally, in order to introduce a complete design of a neural network for modeling and forecasting of stock return series, the long memory feature and dynamic neural network model were combined. Our results showed that fractal markets hypothesis was confirmed in TSE; therefore, it can be concluded that the fractal structure exists in the return of the TSE series. The results further indicate that although dynamic artificial neural network model have a stronger performance compared to ARFIMA model, taking into consideration the inherent features of a market and combining it with neural network models can yield much better results.
    Keywords: Stock Return, Long Memory, NNAR, ARFIMA, Hybrid Models
    JEL: C22 C45 C53 G10
    Date: 2013–01–17
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:45615&r=cmp

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 http://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. 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.