New Economics Papers
on Computational Economics
Issue of 2014‒07‒13
eight papers chosen by

  1. Manual of VIKAASA 2.0: An application for computing and graphing viability kernels for simple viability problems By Krawczyk, Jacek B; Pharo, Alastair S
  2. How Diverse Can Spatial Measures of Cultural Diversity Be? Results from Monte Carlo Simulations of an Agent-Based Model By Arribas-Bel, Daniel; Nijkamp, Peter; Poot, Jacques
  3. How Variability in Individual Patterns of Behavior Changes the Structural Properties of Networks By Somayeh Koohborfardhaghighi; Jorn Altmann
  4. Internal versus External Growth in Industries with Scale Economies: A Computational Model of Optimal Merger Policy By Mermelstein, Ben; Nocke, Volker; Satterthwaite, Mark A.; Whinston, Michael D.
  5. Dynamiken in asymmetrischen Konflikten: eine Simulationsstudie By Beckmann, Klaus; Reimer, Lennart
  6. The Multi-Compartment Vehicle Routing Problem with Flexible Compartment Sizes By Tino Henke; M. Grazia Speranza; Gerhard Wäscher
  7. Robust Portfolio Protection: A Scenarios-Based Approach By Selim Mankaï; Khaled Guesmi
  8. Financial Crises in DSGE Models: Selected Applications of MAPMOD By Jaromir Benes; Michael Kumhof; Douglas Laxton

  1. By: Krawczyk, Jacek B; Pharo, Alastair S
    Abstract: This manual introduces and provides usage details for an application we have developed called VIKAASA, as well as the library of functions underlying it. VIKAASA runs in GNU Octave or MATLAB®, using the numerical computing and graphing capabilities of those packages to approximate, visualise and test viability kernels for viability problems involving a differential inclusion of two or more dynamic variables, a rectangular constraint set and a single scalar control. This document details version 2.0 of the software.
    Keywords: Computational economics, Viability theory., VIKAASA 2.0,
    Date: 2014
  2. By: Arribas-Bel, Daniel (University of Birmingham); Nijkamp, Peter (VU University Amsterdam); Poot, Jacques (University of Waikato)
    Abstract: Cultural diversity is a complex and multi-faceted concept. Commonly used quantitative measures of the spatial distribution of culturally-defined groups – such as segregation, isolation or concentration indexes – are often only capable of identifying just one aspect of this distribution. The strengths or weaknesses of any measure can only be comprehensively assessed empirically. This paper provides evidence on the empirical properties of various spatial measures of cultural diversity by using Monte Carlo replications of agent-based modeling (MC-ABM) simulations with synthetic data assigned to a realistic and detailed geographical context of the city of Amsterdam. Schelling's classical segregation model is used as the theoretical engine to generate patterns of spatial clustering. The data inputs include the initial population, the number and shares of various cultural groups, and their preferences with respect to co-location. Our MC-ABM data generating process produces output maps that enable us to assess the performance of various spatial measures of cultural diversity under a range of demographic compositions and preferences. We find that, as our simulated city becomes more diverse, stable residential location equilibria are only possible when people, particularly minorities, become more tolerant. We test whether observed measures can be interpreted as revealing unobserved preferences for co-location of individuals with their own group and find that the segregation and isolation measures of spatial diversity are shown to be non-decreasing in increasing preference for within-group co-location, but the Gini coefficient and concentration measures are not.
    Keywords: cultural diversity, spatial segregation, agent-based model, Monte Carlo simulation
    JEL: C63 J15 R23 Z13
    Date: 2014–06
  3. By: Somayeh Koohborfardhaghighi (Technology Management, Economics, and Policy Program, College of Engineering, Seoul National University); Jorn Altmann (Technology Management, Economics, and Policy Program, College of Engineering, Seoul National University)
    Abstract: Dynamic processes in complex networks have received much attention. This attention reflects the fact that dynamic processes are the main source of changes in the structural properties of complex networks (e.g., clustering coefficient and average shortest-path length). In this paper, we develop an agent-based model to capture, compare, and explain the structural changes within a growing social network with respect to individuals’ social characteristics (e.g., their activities for expanding social relations beyond their social circles). According to our simulation results, the probability increases that the network’s average shortest-path length is between 3 and 4, if most of the dynamic processes are based on random link formations. That means, in Facebook, the existing average shortest path length of 4.7 can even shrink to smaller values. Another result is that, if the node increase is larger than the link increase when the network is formed, the probability increases that the average shortest-path length is between 4 and 8.
    Keywords: Network Properties, Network Growth Models, Small World Theory, Network Science, Simulation, Clustering Coefficient, Complex Networks.
    JEL: C02 C6 C15 D85
    Date: 2014–06
  4. By: Mermelstein, Ben; Nocke, Volker; Satterthwaite, Mark A.; Whinston, Michael D.
    Abstract: We study optimal merger policy in a dynamic model in which the presence of scale economies implies that firms can reduce costs through either internal investment in build- ing capital or through mergers. The model, which we solve computationally, allows firms to invest or propose mergers according to the relative profitability of these strategies. An antitrust authority is able to block mergers at some cost. We examine the optimal policy when the antitrust authority can commit to a policy rule and when it cannot commit, and consider both consumer value and aggregate value as possible objectives of the antitrust authority. We find that optimal policy can differ substantially from what would be best considering only welfare in the period the merger is proposed. We also find that the abil- ity to commit can lead to a significant welfare improvement. In general, antitrust policy can greatly affect firms` optimal investment behavior, and firms` investment behavior can in turn greatly affect the antitrust authority`s optimal policy.
    Keywords: Merger Policy , Antitrust , Investment , Entry , Commitment
    JEL: L41 L13
    Date: 2014
  5. By: Beckmann, Klaus (Helmut Schmidt University, Hamburg); Reimer, Lennart (Helmut Schmidt University, Hamburg)
    Abstract: Wir illustrieren den Einsatz von Simulationstechniken zur Betrachtung komplexer Dynamiken in asymmetrischen Konfliktsituationen mit begrenzt rationalen Akteuren. Dazu wird erst ein formaler Modellrahmen entwickelt, dessen Steady state wir bestimmen. Darauf baut eine Umsetzung des Modells in SIMULINK und die Entwicklung von Entscheidungsverfahren für die Spieler auf. Anhand eines Basisszenarios diskutieren wir typische Verläufe von asymmetrischen Konflikten.
    Keywords: conflict dynamics; simulation; terrorism; media
    JEL: C72 D74
    Date: 2014–07–03
  6. By: Tino Henke (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg); M. Grazia Speranza (Department of Quantitative, University of Brescia); Gerhard Wäscher (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg)
    Abstract: In this paper, a capacitated vehicle routing problem is discussed which occurs in the context of glass waste collection. Supplies of several different product types (glass of different colors) are available at customer locations. The supplies have to be picked up at their locations and moved to a central depot at minimum cost. Different product types may be transported on the same vehicle, however, while being transported they must not be mixed. Technically this is enabled by a specific device, which allows for separating the capacity of each vehicle individually into a limited number of compartments where each compartment can accommodate one or several supplies of the same product type. For this problem, a model formulation and a variable neighborhood search algorithm for its solution are presented. The performance of the proposed heuristic is evaluated by means of extensive numerical experiments. Furthermore, the economic benefits of introducing compartments on the vehicles are investigated.
    Keywords: vehicle routing, multiple compartments, glass waste collection, variable neighborhood search, heuristics
    Date: 2014–06
  7. By: Selim Mankaï; Khaled Guesmi
    Abstract: This paper constructs a robust optimization framework of the uncertain worst-case return. The model defines an adjustable discrete uncertainty set which controls the conservatism of the optimal asset allocation. Without prior assumptions on the data generating process, the model also develops an a priori probabilistic guarantee of the robust solution. Unlike previous measures that depend solely on the uncertainty model, the new measure is also sensitive to asset allocation and investment horizon. We provide an application of international stock indexes portfolio protection during the 2008 financial crisis. Computational experiments and ex-post analysis provide evidence for the effectiveness of our model.
    Keywords: Portfolio protection, Robust optimization, Multivariate tail dependence, Nonparametric predictive inference.
    JEL: C14 D81 G11 G15
    Date: 2014–06–27
  8. By: Jaromir Benes; Michael Kumhof; Douglas Laxton
    Abstract: This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of both the pre-crisis and crisis phases of financial cycles.
    Keywords: Financial crisis;Credit expansion;Banks;Loans;Credit risk;Macroprudential Policy;Economic models;lending boom, credit crunch, financial crisis, financial cycle, asset price bubble, macroprudential policy
    Date: 2014–04–04

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