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on Computational Economics |
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Issue of 2013‒07‒28
twelve papers chosen by |
| By: | Pekka Malo; Ankur Sinha; Pyry Takala; Pekka Korhonen; Jyrki Wallenius |
| Abstract: | The use of robo-readers to analyze news texts is an emerging technology trend in computational finance. In recent research, a substantial effort has been invested to develop sophisticated financial polarity-lexicons that can be used to investigate how financial sentiments relate to future company performance. However, based on experience from other fields, where sentiment analysis is commonly applied, it is well-known that the overall semantic orientation of a sentence may differ from the prior polarity of individual words. The objective of this article is to investigate how semantic orientations can be better detected in financial and economic news by accommodating the overall phrase-structure information and domain-specific use of language. Our three main contributions are: (1) establishment of a human-annotated finance phrase-bank, which can be used as benchmark for training and evaluating alternative models; (2) presentation of a technique to enhance financial lexicons with attributes that help to identify expected direction of events that affect overall sentiment; (3) development of a linearized phrase-structure model for detecting contextual semantic orientations in financial and economic news texts. The relevance of the newly added lexicon features and the benefit of using the proposed learning-algorithm are demonstrated in a comparative study against previously used general sentiment models as well as the popular word frequency models used in recent financial studies. The proposed framework is parsimonious and avoids the explosion in feature-space caused by the use of conventional n-gram features. |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1307.5336&r=cmp |
| By: | Mark Meyer (GWS - Institute of Economic Structures Research); Martin Distelkamp (GWS - Institute of Economic Structures Research); Gerd Ahlert (GWS - Institute of Economic Structures Research); Prof. Dr. Bernd Meyer (GWS - Institute of Economic Structures Research) |
| Abstract: | GINFORS (Global INterindustry FORecasting System) represents a state–of–the–art tool for integrated quantitative policy assessments of long run economic developments and associated pressures on the environment. Its empirical modelling framework rests on national input–output accounts which are bilaterally interconnected by international trade at the industry level. Assuming bounded rationality of agents and imperfect markets, an iterative solution algorithm facilitates ex ante simulation studies of the non-equilibrium features of globalizing economies. From a methodological point of view, GINFORS might thus be categorised as a dynamic econometric model. However, its powerful simulation capabilities also provide extensive insights into the broader economy–energy–environment nexus (see, i.a., http://cecilia2050.eu/ or www.topdad.eu/ for ongoing FP7 research work with references to climate change and the transformation to a low carbon economy as well as to climate change adaptation policy issues). The GINFORS approach relies heavily on the availability of harmonised international Input–Output datasets (preferably as annual time series). As the May 2012 release of the publicly available World Input Output Database (WIOD, see also http://www.wiod.org/) represents outstanding advancements in this regard, we decided to incorporate the WIOD datasets into the GINFORS database. This paper highlights selected issues of these most recent empirical maintenance works. Given our personal experience we intend to illustrate the significance of the WIOD database but also to stimulate a discussion of its linkages to the underlying United Nations data set on the sequence of accounts and balancing items, the second core data set within the System of National Accounts (SNA), from the viewpoint of applied economic research. |
| Keywords: | environmental policy, multi-region Input-Output analysis, world trade model, embodied environmental impacts |
| JEL: | C54 C63 C67 Q01 Q56 F17 F18 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:gws:dpaper:13-5&r=cmp |
| By: | Pierre Boulanger (European Commission – JRC - IPTS); Emanuele Ferrari (Oxford Brookes University); Jerzy Michalek (freelance researcher); Cristina Vinyes (European Commission – JRC - IPTS) |
| Abstract: | This report analyses the likely effects of Croatia's accession to the European Union (EU) on the agricultural and food sectors in terms of trade, production, employment and GDP for Croatia, the EU-27 and their main trading partners. Using a multi-country Computable General Equilibrium model (MAGNET) this study evaluates the impacts of the harmonisation of trade and agricultural policies that occur after this enlargement on July 1st, 2013. The results show that both Croatia's GDP and employment will slightly increase. The main conclusions point out significant market price effects as well as changes in trade patterns. |
| Keywords: | CGE, European integration, agricultural trade, agricultural policy |
| JEL: | C68 Q17 Q18 |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc77246&r=cmp |
| By: | Pierre Teller (GRM - Groupe de Recherche en Management - Institut d'Administration des Entreprises (IAE) - Nice - Institut d'Administration des Entreprises (IAE) - Toulon - Université Sud Toulon Var : EA4711 - Université Nice Sophia Antipolis [UNS] : EA4711); Philippe Luu (GRM - Groupe de Recherche en Management - Institut d'Administration des Entreprises (IAE) - Nice - Institut d'Administration des Entreprises (IAE) - Toulon - Université Sud Toulon Var : EA4711 - Université Nice Sophia Antipolis [UNS] : EA4711); Dominique Dufour (Groupe de Recherche en Management (EA 4711) - Institut d'Administration des Entreprises (IAE) - Nice - Université Sud Toulon Var) |
| Abstract: | The purpose of this study is to prepare a diffusion model of the new international accounting standards known as the IFRS (International Financial Reporting Standards). This model fits within the neo-institutional conceptual framework; more specifically, we used the DiMaggio/Powell analytical grid. Our desire to prepare this model was born from the observation that the analytical framework that is generally used to study the adoption of these new standards is the neo-institutional framework and that the principal methodologies implemented are qualitative. The question addressed in this study regards the forces leading an agent - in this case, an organisation providing standards for accounting - to adopt, at a given moment, these new standards. Existing studies, as interesting as they might be, are devoted to the question of adoption and leave aside the question of diffusion. In other words, the evolution of the system as a whole in time is ignored. Constructing a model appeared to us to be a way to move beyond these limitations. This model allows us to formalise the forces at work in the DiMaggio/Powell representation and to simulate the diffusion processes of the IFRS. To this end, we implement a multi-agent simulation. The various simulation scenarios are then compared to the observed diffusion of the IFRS. |
| Keywords: | IFRS, diffusion, neo-institutionalism, multi-agent simulation |
| Date: | 2013–07–18 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00719046&r=cmp |
| By: | Patrizio Lecca (Department of Economics, University of Strathclyde); Peter McGregor (Department of Economics, University of Strathclyde); J. Kim Swales (Department of Economics, University of Strathclyde); Karen Turner (Department of Accounting, Economics and Finance, School of Management and Languages, Heriot-Watt University) |
| Abstract: | The aim of the paper is to identify the added value from using general equilibrium techniques to consider the economy-wide impacts of increased efficiency in household energy use. We take as an illustrative case study the effect of a 5% improvement in household energy efficiency on the UK economy. This impact is measured through simulations that use models that have increasing degrees of endogeneity but are calibrated on a common data set. That is to say, we calculate rebound effects for models that progress from the most basic partial equilibrium approach to a fully specified general equilibrium treatment. The size of the rebound effect on total energy use depends upon: the elasticity of substitution of energy in household consumption; the energy intensity of the different elements of household consumption demand; and the impact of changes in income, economic activity and relative prices. A general equilibrium model is required to capture these final three impacts. |
| Keywords: | Energy efficiency, indirect rebound effects, economy-wide rebound effects, household energy consumption, CGE models |
| JEL: | C68 D57 D58 Q41 Q43 Q48 |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:str:wpaper:1308&r=cmp |
| By: | P Dorian Owen (University of Otago); Nicholas King (University of Otago) |
| Abstract: | Appropriate measurement of competitive balance is a cornerstone of the economic analysis of professional sports leagues. We examine the distributional properties of the ratio of standard deviations (RSD) of points percentages, the most widely used measure of competitive balance in the sports economics literature, in comparison with other standard-deviation-based measures. Simulation methods are used to evaluate the effects of changes in season length on the distributions of competitive balance measures for different distributions of the strengths of teams in a league. The popular RSD measure performs as expected only in cases of perfect balance; if there is imbalance in team strengths, its distribution is very sensitive to changes in season length. This has important implications for comparisons of competitive balance for different sports leagues with different numbers of teams and/or games played. |
| Keywords: | Competitive balance, Idealized standard deviation, Ratio of standard, deviations, Season length, Sports economics, Simulation |
| JEL: | L83 D63 C63 |
| Date: | 2013–07–24 |
| URL: | http://d.repec.org/n?u=RePEc:qut:auncer:2013_04&r=cmp |
| By: | David Hendry; Jurgen A. Doornik; Felix Pretis |
| Abstract: | Using an extension of general-to-specific modelling, based on the recent developments of impulse-indicator saturation (IIS), we consider selecting significant step indicators from a saturating set to capture location shifts. The approximate non-centrality of the test is derived for a variety of shifts using a 'split-half' analysis, the simplest specialization of a multiple-block search algorithm. Monte Carlo simulations confirm the accuracy of the nominal significance levels under the null, and show rejections when location shifts occur, improving in non-null rejection frequency compared to the corresponding IIS-based and to Chow (1960) tests. |
| Keywords: | General-so-specific, step-indicator saturation, test power, location shifts, model section, Autometrics |
| JEL: | C51 C22 |
| Date: | 2013–06–06 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:658&r=cmp |
| By: | Mathieu Gardrat (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - École Nationale des Travaux Publics de l'État [ENTPE] - Université Lumière - Lyon II); Marc Serouge (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - École Nationale des Travaux Publics de l'État [ENTPE] - Université Lumière - Lyon II); Florence Toilier (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - École Nationale des Travaux Publics de l'État [ENTPE] - Université Lumière - Lyon II); Jesus Gonzalez-Feliu (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - École Nationale des Travaux Publics de l'État [ENTPE] - Université Lumière - Lyon II) |
| Abstract: | This paper aims to introduce the methodology of the SIMETAB model which attempts to simulate the economic structure of an area, and then produce the inputs needed by many urban goods simulation models. The proposed model aims at understanding the economic structure of the city, in order to simulate the urban goods movements depending of the activity using an existing mode. This model's main function is to simulate the number of establishments by category of size and field of activity for a given zone, or to build evolution scenarios from a starting situation: starting from a known structure (or simulated through SIMETAB), it is possible to make the economic structure of a city evolve. This feature allows the decision makers to project an alteration of the urban framework in the future, from basic data such as population and employment statistics. |
| Keywords: | Urban modeling; urban typology; urban goods movements |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-00845063&r=cmp |
| By: | Muntean, Mihaela; Muntean, Cornelia |
| Abstract: | Business Intelligence (BI) initiatives are challenging tasks, implying significant costs in their implementation. Therefore, organizations have adopted prudent policies requiring a financial justification. A business-driven methodology is recommended in any BI project initiative, project scoping and planning being vital for the project success. A business-driven approach of a BI project implementation starts with a feasibility study. The decision-making process for large projects is very complicated, and will not be subject of this paper. Having in mind a middle-sized BI project, a feasibility study based on the Monte Carlo simulation method will be conducted. A SaaS BI initiative versus a traditional one will be taken into consideration. |
| Keywords: | Business Intelligence (BI), Software as a Service (SaaS), Monte Carlo method, BI project feasibility, Total Cost of Ownership (TCO), Return on Investment (ROI), Internal Rate of Return (IRR) |
| JEL: | C02 C88 G17 L21 L86 M15 |
| Date: | 2012–11–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:48478&r=cmp |
| By: | Talarico, Luca; Sörensen, Kenneth; Springael, Johan |
| Abstract: | This paper proposes a variant of the Vehicle Routing Problem in which a particular kind of risk constraint has been introduced to model the problem of routing vehicles in the cash-in-transit industry and a hard time window constraint, with no waiting times, delimits the customer's visit within a specified time interval. Two metaheuristic algorithms have been developed to cope with medium and large instances of the problem. In a computational experiment, the best parameter settings for each algorithm are determined. The resulting metaheuristics are compared, in their best possible setting, solving some benchmark instances for the capacitated vehicle routing problem with time windows. |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:ant:wpaper:2013012&r=cmp |
| By: | Muntean, Mihaela; Muntean, Cornelia; Cabau, Liviu Gabriel |
| Abstract: | The BI governance concept is introduced and with respect to the established framework for approaching Business Intelligence strategies, a demarche for evaluating BI initiatives will be proposed. Monte Carlo simulation method will be used to fundament the decision to move forward with a Business Intelligence project. |
| Keywords: | BI governance, feasibility study, Monte Carlo method |
| JEL: | C02 G34 M15 |
| Date: | 2013–03–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:48486&r=cmp |
| By: | Bakhtieva, Dilyara; Kiljański, Kamil |
| Abstract: | In network industries, a Universal Service Obligation (USO) is often seen as a burden on an incumbent, which requires compensation for the net cost of such service provision. This paper estimates the effects of consumer loyalty as an intangible benefit of USO in the postal sector. In doing so, the agent-based modelling (ABM) approach is applied, which makes it possible to model the behaviour of boundedly rational consumers and is thus particularly appropriate for taking into account intangibles considerations. The analysis shows that loyalty is crucial to whether the USO uniform pricing constraint results in loss-making or profitability. Under certain conditions and in the presence of a loyalty parameter, uniform pricing gives a USO provider an advantage, when the size of the rural area is sufficiently big and a disadvantage, if its size is too small. This finding is counterintuitive as USO providers in countries with sparsely populated areas are typically expected to incur a significant net cost of USO. |
| Keywords: | agent-based modelling; liberalisation of the postal markets; postal sector; Universal Service Obligation (USO); USO provider |
| JEL: | K21 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:48549&r=cmp |