nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒09‒26
ten papers chosen by
Stan Miles
Thompson Rivers University

  1. Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods By Ludwig, Alexander; Schön, Matthias
  2. Grand canonical minority game as a sign predictor By Karol Wawrzyniak; Wojciech Wi\'slicki
  3. A Numerical Algorithm to find All Scalar Feedback Nash Equilibria By Engwerda, J.C.
  4. Competitive Balance Measures in Sports Leagues: The Effects of Variation in Season Length By P Dorian Owen; Nicholas King
  5. Modelling the impact of HIV/AIDS: A literature review By Louise Roos
  6. A comparative study on forecasting polyester chips prices for 15 days, using different hybrid intelligent systems By Mojtaba Sedigh Fazli; Jean-Fabrice Lebraty
  7. Options and Strategies for Fiscal Consolidation in India By Sampawende J.-A. Tapsoba
  8. Computability Theory in Economics - Frontiers and a Restrospective By K. Vela Velupillai
  9. Sensitivity of cautious-relaxed investment policies to target variation By Foster, Jarred; Krawczyk, Jacek B
  10. Oblivious Equilibrium for Concentrated Industries By C. Lanier Benkard; Przemyslaw Jeziorski; Gabriel Y. Weintraub

  1. By: Ludwig, Alexander; Schön, Matthias (Munich Center for the Economics of Aging (MEA))
    Abstract: This paper investigates extensions of the method of endogenous grid-points (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different categories of algorithms: (i) the conventional method with exogenous grids (EXGM), (ii) the pure method of endogenous grid-points (ENDGM) and (iii) a hybrid method (HEGM). ENDGM comes along with Delaunay interpolation on irregular grids. Comparison of methods is done by evaluating speed and accuracy. We find that HEGM and ENDGM both dominate EXGM. The choice between HEGM and ENDGM depends on the number of dimensions and the number of grid-points in each dimension. With less than 150 grid-points in each dimension ENDGM is faster than HEGM, and vice versa. For a standard choice of 20 to 40 grid-points in each dimension, ENDGM is 1:6 to 1:8 times faster than HEGM.
    JEL: C63 E21
    Date: 2013–09–10
    URL: http://d.repec.org/n?u=RePEc:mea:meawpa:13274&r=cmp
  2. By: Karol Wawrzyniak; Wojciech Wi\'slicki
    Abstract: In this paper the extended model of Minority game (MG), incorporating variable number of agents and therefore called Grand Canonical, is used for prediction. We proved that the best MG-based predictor is constituted by a tremendously degenerated system, when only one agent is involved. The prediction is the most efficient if the agent is equipped with all strategies from the Full Strategy Space. Each of these filters is evaluated and, in each step, the best one is chosen. Despite the casual simplicity of the method its usefulness is invaluable in many cases including real problems. The significant power of the method lies in its ability to fast adaptation if \lambda-GCMG modification is used. The success rate of prediction is sensitive to the properly set memory length. We considered the feasibility of prediction for the Minority and Majority games. These two games are driven by different dynamics when self-generated time series are considered. Both dynamics tend to be the same when a feedback effect is removed and an exogenous signal is applied.
    Date: 2013–09
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1309.3399&r=cmp
  3. By: Engwerda, J.C. (Tilburg University, Center for Economic Research)
    Abstract: Abstract: In this note we generalize a numerical algorithm presented in [9] to calculate all solutions of the scalar algebraic Riccati equations that play an important role in finding feedback Nash equilibria of the scalar N-player linear affine-quadratic differential game. The algorithm is based on calculating the positive roots of a polynomial matrix.
    Keywords: linear-quadratic differential games;linear feedback Nash equilibrium;affine systems;numerical solution;Riccati equations.
    JEL: C02 C61 C63 C72
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:dgr:kubcen:2013050&r=cmp
  4. 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_4&r=cmp
  5. By: Louise Roos
    Abstract: A number of methods and models have been used to analyse the economic impacts of HIV/AIDS. The overall consensus is that depending on the severity of the epidemic, HIV/AIDS holds serious negative consequences for economic growth and economic welfare. The aim of this paper is to give a broad overview of the methodologies used in analysing the economic impact of HIV/AIDS on various countries, including South Africa. The literature review is structured by method of analysis. For each method, selected papers are briefly described. This paper is set out as follows: Section 1 describes studies using econometric estimation. This method is useful in cross-country analysis and allows for the impact of the disease to be compared internationally. Section.2 describes studies applying country-specific macroeconometric models to examine the impact of HIV/AIDS. Section 3 describes the use of aggregate growth models. These models extend the Solow model, allowing HIV/AIDS to be captured via the reduction in employment and population growth. These country-specific models are useful in analysing the impact of HIV/AIDS on economic growth and per capita income. Section 4 describes the use of country-specific CGE models in the analysis of HIV/AIDS. Section 5 reviews other methods used for analysing the impact of HIV/AIDS on an economy. These methods include overlapping-generations models, demographic models and sector-specific analysis. The paper ends with concluding remarks. .
    Keywords: HIV/AIDS, Africa
    JEL: I19 O55
    Date: 2013–05
    URL: http://d.repec.org/n?u=RePEc:cop:wpaper:g-233&r=cmp
  6. By: Mojtaba Sedigh Fazli (Centre de Recherche Magellan - Université Jean Moulin - Lyon III : EA3713); Jean-Fabrice Lebraty (Centre de Recherche Magellan - Université Jean Moulin - Lyon III : EA3713)
    Abstract: Forecasting in a risky situation is a very important function for managers to assist in decision making. One of the fluctuated markets in stock exchange market is chemical market. In this research the target item for prediction is PET (Poly Ethylene Terephthalate) which is the raw material for textile industries and its very sensitive on oil prices and the demand and supply ratio. The main idea is coming through NORN model which was presented by T. Lee and James N.K. Liu in 2001. In this article after modifying the NORN model, a model has been proposed and real data are applied to this new model (we named it AHIS which stands for Adaptive Hybrid Intelligent System). Finally three different types of simulation have been conducted and compared together, which show that hybrid model which is supporting both Fuzzy Systems and Neural Networks concepts, satisfied the research question considerably. In normal situation the model forecasts a relevant trend and can be used as a DSS for a manager.
    Keywords: Efficient Market Hypothesis; Financial Forecasting; Chemicals; Artificial Intelligence; Artificial Neural Networks; Decision Support System; Locally Linear Model Tree; Hybrid Neuro Fuzzy Model.
    Date: 2013–08
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-00859445&r=cmp
  7. By: Sampawende J.-A. Tapsoba
    Abstract: The paper uses a multi-region DSGE model to quantify the macroeconomic implications of three adjustment scenarios for India: growth-friendly, social-friendly, and a benchmark case centered on bringing down unproductive spending and strengthening the consumption tax. Simulations indicate that fiscal consolidation yields considerable long-term benefits but also entails output costs in the near term. The scenarios in which deficit reduction is accompanied by greater investment and social spending lead to better results than the benchmark case. The consolidation package alone is not enough to maximize net gains. Other factors, such as the pace and the credibility of consolidation, the concomitant implementation of structural reforms, and global economic conditions, play a critical role in the success of fiscal consolidation.
    Keywords: Fiscal consolidation;India;Economic growth;Fiscal reforms;Economic models;fiscal consolidation, open economy macroeconomics, DSGE models, India.
    Date: 2013–05–29
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:13/127&r=cmp
  8. By: K. Vela Velupillai
    Abstract: This is an outline of the origins and development of the way computability theory was incorporated into formal economic theory. I try to place in the context of the development of computable economics, some of the classics of the subject as well as those that have, from time to time, been credited with having contributed to the advancement of the field. Speculative methodological thoughts and reflections suggest directions in which fruitful research could proceed to reduce the current deficit in the epistemology of computation in economics. Finally, thoughts on where the frontiers of computable economics are, and how to move towards them, conclude the paper. In a precise sense -- both historically and analytically -- it would not be an exaggeration to claim that both the origins of computable economics and its frontiers are defined by two classics, both by Banach and Mazur: that one page masterpiece by Banach and Mazur and the unpublished Mazur conjecture of 1928, and its unpublished proof by Banach. For the undisputed original classic of computable economics is Rabin's effectivization of the Gale-Stewart game; the frontiers, as I see them, are defined by recursive analysis and constructive mathematics, underpinning computability over the computable and constructive reals and providing computable foundations for the economist's Marshallian penchant for curve-sketching and, in general, the contents of Theoretical Computer Science, Vol. 219, Issue 1-2). The former work has its roots in the Banach-Mazur game, at least in one reading of it; the latter in Banach and Mazur (1937), as well as other, earlier, contributions, not least by Brouwer.
    Keywords: Computability, Effectivization, Constructivity, Uncomputability, Computable Economics
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:trn:utwpas:1302&r=cmp
  9. By: Foster, Jarred; Krawczyk, Jacek B
    Abstract: This study builds on recent findings that target-based utility measures, used in the dynamic portfolio optimisation, deliver investment policies that can generate leftskewed payoff distributions. These policies can lead to small probabilities of low payoffs. This is in contrast to the classical portfolio optimisation strategies that commonly deliver right-skewed payoff distributions, which imply a high probability of losses. The left-skewed payoff distributions can be obtained when a “cautious-relaxed” investment policy is applied in portfolio management. Such a policy will be adopted by investors who are both cautious in seeking a payoff meeting a certain target, but relaxed toward the possibility of exceeding it. We use computational methods to analyse the effects of varying the target on the payoff distribution and also examine how the fund manager’s explicit preferences, when they differ from the investor’s, can impact the distribution. We found that increasing the target causes the distribution to become less left skewed. Lowering the target slightly, keeps the left-skewed payoff distribution albeit the mode diminishes. Decreasing the target substantially so it is below the safe investment payoff, changes the skew. Investor’s payoff will not suffer even if the actual fund manager allows for their own utility in the optimisation problem.
    Keywords: Investment policies, Portfolio management, Investment strategy,
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:vuw:vuwecf:2972&r=cmp
  10. By: C. Lanier Benkard; Przemyslaw Jeziorski; Gabriel Y. Weintraub
    Abstract: This paper explores the application of oblivious equilibrium to concentrated industries. We define an extended notion of oblivious equilibrium that we call partially oblivious equilibrium (POE) that allows for there to be a set of "dominant firms'', whose firm states are always monitored by every other firm in the market. We perform computational experiments that show that POE are often close to MPE in concentrated industries with characteristics similar to real world industries even when OE are not. We derive error bounds for evaluating the performance of POE when MPE cannot be computed. Finally, we demonstrate an important trade-off facing empirical researchers between implementing an equilibrium concept that is computationally light in a richer economic model, and implementing MPE in a simpler one.
    JEL: L0 L1 L13
    Date: 2013–08
    URL: http://d.repec.org/n?u=RePEc:nbr:nberwo:19307&r=cmp

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