nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒12‒15
six papers chosen by
Stan Miles
Thompson Rivers University

  1. MIRAGE-e: A General Equilibrium Long-term Path of the World Economy By Lionel Fontagné; Jean Fouré; Maria Priscila Ramos
  2. Modelling the dynamic effects of transfer policy: the LINDA policy analysis tool By Justin van de Ven; Paolo Lucchino
  3. Distance rationalizability of scoring rules By Can B.
  4. The effect of freight transport time changes on the performance of manufacturing companies By Sambracos, Evangelos; Ramfou, Irene
  5. Conditioned Higher Moment Portfolio Optimisation Using Optimal Control By Marc Boissaux; Jang Schiltz
  6. Sentiment Trades and Option Prices By Thorsten Lehnert; Bart Frijns; Remco Zwinkels

  1. By: Lionel Fontagné; Jean Fouré; Maria Priscila Ramos
    Abstract: Thinking of how the relative sizes of countries and how the geography of world production and trade will be affected in the long run must be based on sound economic reasoning about the determinants of long term growth. It must also be embedded in a general equilibrium framework that takes account of the interactions among markets and sectors, as well as between countries. This paper takes stock of a three phase research project. The first step consists of deriving and estimating a three-factor (labour, capital, energy) macroeconomic growth model for a large set of individual countries, which fits two forms of technological progress (standard TFP and energy efficiency). The second step consists of recovering the sectoral detail with an energy-oriented Computable General Equilibrium model of the world economy calibrated to fit these projections. In a third step we confront the assumptions for our baseline to alternative scenarios.
    Keywords: CGE model;Dynamic Baseline;Growth model;Energy
    JEL: C53 C68 O44 O47 Q56
    Date: 2013–12
  2. By: Justin van de Ven; Paolo Lucchino
    Abstract: This paper describes a structural dynamic microsimulation model that generates individualspeci?c data over a range of demographic and economic characteristics at annual intervals overthe life-course. The model is speci?cally designed to analyse the distributional implications of policy alternatives in terms of their bearing on income and consumption measured over alternative time periods, from one year up to the entire life-course. This focus on economic characteristics measured over appreciable periods of life motivates endogenous simulation of savings and labour supply decisions, taking explicit account of uncertainty regarding the evolving decision environment. Re?ecting the demands of policy makers, and in contrast to the majority of the associated literature, the model described here is designed to project from data observed for a population cross-section.
    Date: 2013–03
  3. By: Can B. (GSBE)
    Abstract: Collective decision making problems can be seen as finding an outcome that is closest to a concept of consensus. 1 introduced Closeness to Unanimity Procedure as a first example to this approach and showed that the Borda rule is the closest to unanimity under swap distance a.k.a the 2 distance. 3 shows that the Dodgson rule is the closest to Condorcet under swap distance. 4, 5 generalized this concept as distance-rationalizability, where being close is measured via various distance functions and with many concepts of consensus, e.g., unanimity, Condorcet etc. In this paper, we show that all non-degenerate scoring rules can be distance-rationalized as Closeness to Unanimity procedures under a class of weighted distance functions introduced in 6. Therefore, the results herein generalizes 1 and builds a connection between scoring rules and a generalization of the Kemeny distance, i.e. weighted distances.
    Keywords: Computational Techniques; Simulation Modeling; Social Choice; Clubs; Committees; Associations; Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior; Conflict; Conflict Resolution; Alliances;
    JEL: C63 D71 D72 D74
    Date: 2013
  4. By: Sambracos, Evangelos; Ramfou, Irene
    Abstract: Freight Transport Time (FTT) is an important resource for manufacturing companies, firstly as a cost driver of logistics processes and secondly as a key factor of customer satisfaction. Yet, there is a lot of controversy between researchers regarding the strength of the link between changes in transport time and business performance and the methods used to measure this effect. In this context, the aim of this paper is to estimate the effect that changes in freight transport time have on the economic performance of transport consuming manufacturing companies. With the use of System Dynamics Modelling a simulation model is built identifying the role of FTT in the internal supply chain of a Make to Stock manufacturer. Changes in FTT are introduced in the system affecting the production materials inventory replenishment time and the delivery to consumer time. Simulation results suggest that the effect of FTT changes depend highly on the structure of the company’s decision making process. Through the development and simulation of several scenarios it is evident that information feedback about changes in FTT if interpreted and processed by different decision rules and strategies can lead to different results allowing companies to fruitfully - or not - reap the benefits of improved FTT.
    Keywords: Freight Transport Time; Manufacturers; Performance; Systems Dynamics.
    JEL: C63 L21 L6 L91 O12
    Date: 2013–09–18
  5. By: Marc Boissaux; Jang Schiltz (LSF)
    Abstract: Within a traditional context of myopic discrete-time mean-variance portfolio investments, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was first expressed and solved in concrete terms by [1]. An optimal control formulation of conditioned portfolio problems was proposed and justified by [2]. This opens up the possibility of solving variants of the basic problem that do not allow for closed-form solutions through the use of standard numerical algorithms used for the discretisation of optimal control problems. The present paper applies this formulation to set and solve variants of the conditioned portfolio problem which use the third and fourth moments as well as the variance. Using backtests over a realistic data set, the performance of strategies resulting from conditioned optimisation is then compared to that obtained using analogous optimisation strategies which do not exploit conditioning information. In particular, we report on both ex ante improvements to the accessible expected return-risk boundaries and the ex post results obtained.
    Keywords: Skewness, Kurtosis, Optimal Control, Portfolio Optimization
    JEL: C02 C61 G11
    Date: 2012
  6. By: Thorsten Lehnert; Bart Frijns; Remco Zwinkels (LSF)
    Abstract: This paper examines whether trading based on market sentiment can explain mispricing in S&P 500 options. We test the heterogeneous agent s option pricing model developed in Frijns et al. (2010), where our agents have different beliefs about the future level of market volatility and trade accordingly. Our agents trade on long-term mean reversion in volatility as well as on exogenous shocks from the underlying market, but we also consider irrational traders, sentimentalists, that incorporate market sentiment into their beliefs. Our option valuation framework is similar to a stochastic volatility model and is implemented using a filtered historical simulation approach. We find that sentimentalists play an important role in option markets. Their sentiment is an important determinant of index option prices and partly explains the term structure of the index option smile, because it primarily affects short-term options.
    Keywords: Sentimentalists, Option Valuation, Investor Sentiment, Heterogeneous,Agents, Filtered Historical Simulations.
    JEL: G12 C15
    Date: 2012

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