New Economics Papers
on Computational Economics
Issue of 2013‒06‒16
seven papers chosen by

  1. Alternative Financial Solutions seeking via a Genetic Like Algorithm By Emmanuel Frenod; Jean-Philippe Gouigoux; Landry Touré
  2. An Iterated Local Search Algorithm for the Vehicle Routing Problem with Backhauls By Cuervo D. P.; Goos P.; Sörensen K.; Arráiz E.
  3. Urban logistics pooling viability analysis via a multicriteria multiactor method By Jesus Gonzalez-Feliu; Josep-Maria Salanova Grau; Joelle Morana; Evangelos Mitsakis
  4. Monetary Policy and Debt Deflation: Some Computational Experiments By Carl Chiarella; Corrado Di Guilmi
  5. Portfolio selection models based on characteristics of return distributions By Paweł Wnuk Lipinski
  6. A general equilibrium evaluation of tax policies in Spain during the Great Recession By María Teresa Álvarez Martínez; José Clemente Polo Andrés
  7. Economic Effects of Domestic and Neighbouring Countries' Cultural Diversity By Erkan Goeren

  1. By: Emmanuel Frenod (LMBA - Laboratoire de Mathématiques de Bretagne Atlantique (UMR 6205) - Université de Bretagne Occidentale [UBO] - Université de Bretagne Sud); Jean-Philippe Gouigoux (LMBA - Laboratoire de Mathématiques de Bretagne Atlantique (UMR 6205) - Université de Bretagne Occidentale [UBO] - Université de Bretagne Sud); Landry Touré (LMBA - Laboratoire de Mathématiques de Bretagne Atlantique (UMR 6205) - Université de Bretagne Occidentale [UBO] - Université de Bretagne Sud)
    Abstract: In this paper we build a method to optimize Multi-Year Prospective Budgets. First we present a systemic model of Local Community Finances. Then, from two acceptable Multi-Year Prospective Budgets the method implements a Genetic Algorithm to generate a collection of admissible Multi-Year Prospective Budgets among which Decision-Makers can choose. The method is tested on simplified cases and on in operational situation and gives satisfactory results.
    Keywords: Local Community Finances; Multi-Year Prospective Budgets; Optimization; Genetic Algorithms
    Date: 2013–03–29
  2. By: Cuervo D. P.; Goos P.; Sörensen K.; Arráiz E.
    Abstract: The Vehicle Routing Problem with Backhauls (VRPB) is an extension of the VRP that deals with two types of customers: the consumers (linehaul) that request goods from the depot and the suppliers (backhaul) that send goods to the depot. In this paper, we propose a simple yet eective iterated local search algorithm for the VRPB. Its main component is an oscillating local search heuristic that has two main features. First, it explores a wide neighborhood structure at each iteration. This is eciently done using an additional data structure that stores information about the set of neighboring solutions. Second, the heuristic performs constant transitions between feasible and infeasible regions of the solution space. These transitions are regulated by a dynamic adjustment of the penalty applied to infeasible solutions. An extensive statistical analysis was carried out in order to identify the most important components of the algorithm and to properly tune the values of their parameters. The results of the computational experiments carried out show that this algorithm is very competitive in comparison to the best metaheuristic algorithms for the VRPB. Additionally, new best solutions have been found for two instances in one of the benchmark sets. Through these results, the paper shows that by expanding the exploration area and improving the eciency of the local search heuristic, it is possible to develop simpler and faster metaheuristic algorithms without compromising the quality of the solutions obtained.
    Date: 2013–06
  3. By: Jesus Gonzalez-Feliu (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - École Nationale des Travaux Publics de l'État [ENTPE] - Université Lumière - Lyon II); Josep-Maria Salanova Grau (Hellenic Institute or Transport - Center of Research and Technologie Hellas); Joelle Morana (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - École Nationale des Travaux Publics de l'État [ENTPE] - Université Lumière - Lyon II); Evangelos Mitsakis (Hellenic Institute or Transport - Center of Research and Technologie Hellas)
    Abstract: Collaborative transportation and logistics pooling are relatively new concepts in research, but are very popular in practice. In the last years, collaborative transportation seems a good city logistics alternative to classical urban consolidation centres, but it is still in a development stage. This paper proposes a framework for urban logistics pooling ex-ante evaluation. This framework is developed with two purposes. The first is to generate comparable contrasted or progressive scenarios representing realistic situations; the second to simulate and assess them to make a "before-after" comparative analysis. In this framework, a demand generation model is combined with a route optimization algorithm to simulate the resulting routes of the proposed individual or collaborative distribution schemes assumed by each scenario. Then, several indicators can be obtained, mainly travelled distances, working times, road occupancy rates and operational monetary costs. To illustrate that framework, several scenarios for the urban area of Lyon (France) are simulated and discussed to illustrate the proposed framework possible applications.
    Keywords: urban logistics; resource sharing; freight transport pooling; collaborative multicriteria analysis.
    Date: 2013
  4. By: Carl Chiarella (Finance Discipline Group, UTS Business School, University of Technology, Sydney); Corrado Di Guilmi (Economics Discipline Group, UTS Business School, University of Technology, Sydney)
    Abstract: The paper presents an agent based model to study the possible effects of different fiscal and monetary policies in the context of debt deflation. We introduce a modified Taylor rule which includes the financial position of firms as a target. Monte Carlo simulations show that an excessive sensitivity of the central bank to inflation, the output gap and firms? debt can have undesired and destabilising effects on the system, while an active fiscal policy appears to be able to effectively stabilise the economy. The paper also addresses the puzzle of low inflation during stock market booms by testing different behavioural rules for the central bank. We find that, in a context of sticky prices and volatile expectations, endogenous credit can be identified as the main source of the divergent dynamics of prices in the real and financial sector.
    Keywords: Financial fragility; monetary policy; debt deflation; agent based modelling; complex dynamics
    JEL: E12 E31 E44
    Date: 2013–06–01
  5. By: Paweł Wnuk Lipinski (Faculty of Economic Sciences)
    Abstract: This article concerns the problem of optimal portfolio selection. The objective of this paper is to indicate the best method and criteria for optimal portfolio selection. In order to achieve the objective six models including such optimization criteria as mean, variance, skewness, kurtosis and transaction costs are analyzed. The method of fuzzy multi-objective programming is used to transform multiple conflicting criteria into a single objective problem and to find optimal portfolios. In order to indicate the best portfolio selection model a simulation based on five years data from January 1, 2007 to December 31, 2011 was conducted. The portfolios were constructed from WIG20 stocks and WIBID 3M as risk-free asset.
    Keywords: optimal portfolio, portfolio selection, fuzzy multi-objective programming, skewness, kurtosis
    JEL: G11 C61
    Date: 2013
  6. By: María Teresa Álvarez Martínez (Rutgers, The State University of New Jersey); José Clemente Polo Andrés (Universidad Autónoma de Barcelona)
    Abstract: The main goal of the paper is to assess the effects of several permanent tax rate hikes implemented by the Spanish Government in 2009 and 2010 to counteract the rapid increase of the public deficit and debt registered in 2009 and 2010. It uses a numerical general equilibrium model calibrated to a social accounting matrix elaborated by the authors for the year 2000. The effects of increases in excise, value added and personal income taxes are simulated separately and jointly. The results indicate that the extra revenues obtained from each tax figure are lower than ex-ante calculations estimated by the Government. Moreover, the reductions in the public deficit accomplished are considerably smaller due to general equilibrium effects, such as lower production levels, greater unemployment rates and higher prices and transfers paid by the Government. The joint results indicate the enormous difficulties the Government faces to close the deficit gap by raising taxes.
    Keywords: Computable General Equilibrium Models, Tax Reforms, Public Deficit
    JEL: C68 H20 H30
    Date: 2013–04
  7. By: Erkan Goeren (University of Oldenburg - Department of Economics and Statistics)
    Abstract: This paper investigates the economic growth impact of cultural diversity, both domestically and in neighbouring countries, in a balanced panel of 94 countries covering the period 1970 to 2004. The measures of cultural diversity used in this article were derived from a recently developed computer algorithm intended primarily to measure linguistic distances in an automated fashion. The empirical analysis suggests that the degree of cultural diversity in contiguous neighbouring countries has substantial positive effects on domestic per capita income growth, even controlling for a broad set of regional, institutional, religious and other proximate factors of economic growth. The conclusion is that culturally homogeneous countries gain a strategic advantage over their culturally diverse neighbours.
    Keywords: cultural diversity, ethnic diversity, economic growth
    JEL: O11 O5
    Date: 2013–04

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