nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒04‒11
thirteen papers chosen by

  1. Multi-processor Exact Procedures for Regular Measures of the Multi-mode RCPSP By Dayal Madhukar; Verma, Sanjay
  2. Agent-based model with multi-level herding for complex financial systems By Jun-Jie Chen; Lei Tan; Bo Zheng
  3. Single-period cutting planes for inventory routing problems By AVELLA, Pasquale; BOCCIA, Maurizio; WOLSEY, Laurence A.
  4. Securely solving classical network flow problems By Van Vyve, Mathieu; Aly, Abdelrahaman
  5. An analysis of the sensitivity of a dynamic climate-economy CGE model (GDynE) to empirically estimated energy-related elasticity parameters By Alessandro Antimiani; Valeria Costantini; Elena Paglialunga
  6. Targeted carbon tariffs. Carbon leakage and welfare effects By Böhringer, Christoph; Bye, Brita; Fæhn, Taran; Rosendahl, Knut Einar
  7. Simulated Clinical Trias: some design issues By Alessandra Giovagnoli; Maroussa Zagoraiou
  8. The Next Chapter of ASEAN Economic Community through Integrating with the existing FTA partners (RCEP), Turkey, and Pakistan By durongkaveroj, wannaphong
  9. A Simulation on the Evolution of Markets: Call Market, Decentralized and Posted Offer By Jean Paul Rabanal; Olga A. Rabanal
  10. An evaluation of the 2014 subsidy reforms in Morocco and a simulation of further reforms By Verme,Paolo; El Massnaoui,Khalid
  11. Ants and crickets: arbitrary saving rates in an agent-based model with infinitely lived-agents By János Vincze; Gergely Varga
  12. Personal Income Tax Reforms: a Genetic Algorithm Approach By Matteo Morini; Simone Pellegrino
  13. Derivatives Pricing using QuantLib: An Introduction By Varma, Jayanth R.; Virmani, Vineet

  1. By: Dayal Madhukar; Verma, Sanjay
    Abstract: The multi-mode resource-constrained project scheduling problem (MM RCPSP) is an NP-hard problem representing a generalization of the well-studied RCPSP. Depth-first tree search approach by Sprecher & Drexl (1998) is the best-known exact solution tree search procedure for this problem. In this paper we modify an existing breadth-first algorithm for multiple processors. It is a computer-cluster implementation of the breadth-first procedure which improves the solution time taken for these problem instances.
  2. By: Jun-Jie Chen; Lei Tan; Bo Zheng
    Abstract: In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains challenging. We introduce a novel interaction mechanism, i.e., the multi-level herding, in constructing an agent-based model to investigate the sector structure combined with volatility clustering. According to the previous market performance, agents trade in groups, and their herding behavior comprises the herding at stock, sector and market levels. Further, we propose methods to determine the key model parameters from historical market data, rather than from statistical fitting of the results. From the simulation, we obtain the sector structure and volatility clustering, as well as the eigenvalue distribution of the cross-correlation matrix, for the New York and Hong Kong stock exchanges. These properties are in agreement with the empirical ones. Our results quantitatively reveal that the multi-level herding is the microscopic generation mechanism of the sector structure, and provide new insight into the spatio-temporal interactions in financial systems at the microscopic level.
    Date: 2015–04
  3. By: AVELLA, Pasquale (Universita del Sannio, Italy); BOCCIA, Maurizio (Universita del Sannio, Italy); WOLSEY, Laurence A. (Université catholique de Louvain, CORE, Belgium)
    Abstract: IRP involves the distribution of one or more products from a supplier to a set of clients over a discrete planning horizon. Each client has a known demand to be met in each period and can only hold a limited amount of stock. The product is shipped through a distribution network by one or more vehicles of limited capacity. The objective is to find replenishment decisions minimizing the sum of the storage and distribution costs. In this paper we present reformulations of IRP, under the Maximum Level replenishment policy, derived from a single-period substructure. We define a generic family of valid inequalities, and then introduce two specific subclasses for which the separation problem of generating violated inequalities can be solved effectively. A basic Branch-and-Cut algorithm has been implemented to demonstrate the strength of the single-period reformulations. Computational results are presented for the benchmark instances with 50 clients and three periods and 30 clients and six periods.
    Keywords: inventory routing, valid inequalities, cutting planes
    JEL: C65 D71
    Date: 2014–11–30
  4. By: Van Vyve, Mathieu (Université catholique de Louvain, CORE, Belgium); Aly, Abdelrahaman (Université catholique de Louvain, CORE, Belgium)
    Abstract: We investigate how to solve several classical network flow problems using secure multi-party computation. We consider the shortest path problem, the Minimum Mean Cycle problem and the Minimum Cost Flow problem. To the best of our knowledge, this is the first time the two last problems have been addressed in a general multi-party computation setting. Furthermore, our study highlights the complexity gaps between traditional and secure implementations of the solutions, to later test its implementation. It also explores various trade-offs between performance and security. Additionally it provides protocols that can be used as building blocks to solve complex problems. Applications of our work can be found in: communication networks, routing data from rival company hubs; benchmarking, comparing several IT appliances configurations of rival companies; distribution problems, retailer/supplier selection in multi-level supply chains that want to share routes without disclosing sensible information; amongst others.
    Keywords: network flows, multi-party computation, secure collaboration
    JEL: C61 C65
    Date: 2014–09–30
  5. By: Alessandro Antimiani (National Institute of Agricultural Economics (INEA), Italy); Valeria Costantini (Department of Economics, Roma Tre University, Italy); Elena Paglialunga (Department of Economics, Roma Tre University, Italy)
    Abstract: A dynamic energy-economic CGE model is used to analyse how sensitive simulation results are to alternative values assumed by several types of elasticity of substitution. Substitutability in the energy mix is analysed by taking into account the nest structure of the CGE model in the energy module. Input substitutability in the production function is tested for the relationship between capital and energy in different manufacturing sectors. The simulation exercise reveals that the model produces highly differentiated results when different sets of elasticity parameters are adopted. A reduction in the flexibility of energy substitution possibilities makes abatement efforts more expensive at the general level. Moreover, this restriction generates changes in the distribution of costs associated with abatement efforts across regions. The direct implication derived from this work is that in order to use CGE forecasting models to predict the costs and feasibility of climate policies, they must be integrated with empirically estimated behavioural parameters at the highest possible disaggregation level.
    Keywords: sensitivity analysis; CGE model; elasticity of substitution; climate policy
    JEL: C68 D58 L60 Q47 Q54
    Date: 2015–03
  6. By: Böhringer, Christoph (Department of Economics, University of Oldenburg, Germany); Bye, Brita (Statistics Norway, Research Department); Fæhn, Taran (Statistics Norway, Research Department); Rosendahl, Knut Einar (School of Economics and Business, Norwegian University of Life Sciences)
    Abstract: Climate effects of unilateral carbon policies are undermined by carbon leakage. To counteract leakage and increase global cost-effectiveness carbon tariffs can be imposed on the emissions embodied in imports from non-regulating regions. We present a theoretical analysis on the economic incentives for emission abatement of producers subjected to carbon tariffs. We quantify the impacts of different carbon tariff designs by an empirically based multi-sector, multi-region CGE model of the global economy. We find that firm-targeted tariffs can deliver much stronger leakage reduction and higher efficiency gains than tariff designs operated at the industry level. In particular, because the exporters are able to reduce their carbon tariffs by adjusting emissions, their competitiveness and the overall welfare of their economies will be less randomly and less adversely affected than in previously studied carbon tariff regimes. This beneficial distributional impact could facilitate a higher degree of legitimacy and legality of carbon tariffs.
    Keywords: carbon leakage; border carbon adjustment; carbon tariffs; computable general equilibrium (CGE)
    JEL: D61 H20 Q43 Q54
    Date: 2015–03–30
  7. By: Alessandra Giovagnoli (Università di Bologna); Maroussa Zagoraiou (Università di Bologna)
    Abstract: Simulation is widely used to investigate real-world systems in a large number of fields, including clinical trials for drug development, since real trials are costly, frequently fail and may lead to serious side effects. This paper is a survey of the statistical issues arising in these simulated trials. We illustrate the broad applicability of this investigation tool by means of examples selected from the literature. We discuss the aims and the peculiarities of the simulation models used in this context, including a brief mention of the use of metamodels. Of special interest is the topic of the design of the virtual experiments, stressing similarities and differences with the design of real life trials. Since it is important for a computerized model to possess a satisfactory range of accuracy consistent with its intended application, real data provided by physical experiments are used to confirm the simulator : we illustrate validating techniques through a number of examples. We end the paper with some challenging questions on the scientificity, ethics and effectiveness of simulation in the clinical research, and the interesting research problem of how to integrate simulated and physical experiments in a clinical context.
    Keywords: Simulation models; pharmacokinetics; pharmacodynamics; model validation; experimental design, ethics. Modelli di simulazione; farmacocinetica; farmacodinamica; validazione; disegno degli esperimenti; etica.
  8. By: durongkaveroj, wannaphong
    Abstract: Economic integration is nowadays likely to be larger in major economies around the world, especially among the ten active countries in the Southeast Asia. The purpose of this study is to investigate the impacts of the possible trade agreement between the ASEAN and its current FTA partners as RCEP, Turkey, and Pakistan through Computable General Equilibrium (CGE) model using Global Trade Analysis Project (GTAP) model. This study reveals that most of the ASEAN member countries is positively affected under various trade bloc on their GDP, export, import, and regional household income. However, there is the difference in the level of gains among all members which leads to an urgent responsibility to create an inclusive growth.
    Keywords: AEC; FTA; RCEP; Trade liberalization; CGE model; GTAP model
    JEL: C68 F0 F1 F15 F5
    Date: 2015–03–21
  9. By: Jean Paul Rabanal (Ball State University); Olga A. Rabanal (Ball State University)
    Abstract: We apply standard evolutionary dynamics to study of stability of three competing market formats –call market (CM), posted offer (PO) and decentralized market (DM). In our framework, heterogeneous buyers and sellers seek to transact a homogeneous good, which can be done by allocating their time among three different market formats. We study the allocation of time among different formats using simulations of a large (evolutionary) dynamic system. Our results show that (i) the final participation of traders in CM is much higher compared to the two other formats, (ii) the PO can coexist with CM, and (iii) DM vanishes against CM in the long run but can survive against PO, depending on the initial participation conditions.
    Keywords: Centralized markets, decentralized markets, decentralized bargaining, market design, market formation, evolutionary dynamics
    JEL: D40 C78 C73 L10
    Date: 2015–04
  10. By: Verme,Paolo; El Massnaoui,Khalid
    Abstract: Under increasing budget pressure, Morocco carried out an extensive set of subsidy reforms in 2014 and is planning for further reforms for 2015?2017, which will eliminate most consumers'subsidies. This paper evaluates (ex post) the 2014 reforms and simulates (ex ante) the impact on household welfare, poverty, and the government budget of the total elimination of subsidies. The paper considers food and energy subsidies and estimates direct and indirect effects using SUBSIM, a subsidies simulation model designed by the World Bank. It finds that the 2014 reforms have been a good mix of reforms from a distributional, welfare, poverty, and government budget perspectives. They are perhaps the most rational reforms undertaken in the Middle East and North Africa region in recent years. The analysis also finds further reforms costly for the poor and more complex from a political economy perspective, especially for liquefied petroleum gas.
    Keywords: Markets and Market Access,Energy Production and Transportation,Taxation&Subsidies,Transport Economics Policy&Planning,Emerging Markets
    Date: 2015–03–30
  11. By: János Vincze (Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences and Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest); Gergely Varga (Corvinus University of Budapest)
    Abstract: Savings behaviour seems to exhibit heterogeneity across nations, and within nations, too. Large changes in saving rates have been observed in the last decades that can be viewed as signs of the arbitrariness of saving. There is a long tradition in the savings literature that separates people into two groups: those who behave soberly (ants), and those who act in an extremely short-sighted fashion (crickets). A puzzle remains: why does an apparently inferior behavioural pattern persist? Our aim is to provide a model that exhibits the arbitrariness of savings by exploring the two-types idea, and also makes intelligible why both types can coexist in the long run. Our approach consists in setting up an agent-based model starting from a traditional production and factor market framework. The model features an evolutionary mechanism that promotes the behaviour conducive to the highest satisfaction of the consumption goal. Our main findings include the prevalence of non-ergodicity, and the genericity of non-stationarity. The model becomes stationary when the selection pressure is very high, and crickets are eliminated. Though in general ants have somewhat higher per capita consumption than crickets, and are less indebted, we have found cases where the total average consumption is higher with many crickets than without them.
    Keywords: E03, E14, E27
    Date: 2015–01
  12. By: Matteo Morini (ENS Lyon and University of Torino); Simone Pellegrino (University of Torino)
    Abstract: Given a settled reduction in the present level of tax revenue, and by exploring a very large combinatorial space of tax structures, in this paper we employ a genetic algorithm in order to determine the ‘best’ structure of a real world personal income tax that allows for the maximization of the redistributive effect of the tax, while preventing all taxpayers being worse off than with the present tax structure. We take Italy as a case study.
    Date: 2014–12
  13. By: Varma, Jayanth R.; Virmani, Vineet
    Abstract: Given the complexity of over-the-counter derivatives and structured products, al- most all of derivatives pricing today is based on numerical methods. While large fi- nancial institutions typically have their own team of developers who maintain state- of-the-art financial libraries, till a few years ago none of that sophistication was avail- able for use in teaching and research. For the last decade„ there is now a reliable C++ open-source library available called QuantLib. This note introduces QuantLib for pricing derivatives and documents our experience using QuantLib in our course on Computational Finance at the Indian Institute of Management Ahmedabad. The fact that it is also available (and extendable) in Python has allowed us to harness the power of C++ with the ease of iPython notebooks in the classroom as well as for stu- dent’s projects.

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