nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒08‒19
sixteen papers chosen by
Stan Miles
Thompson Rivers University

  1. Analyzing Multiday Route Choice Behavior using GPS Data By Wenyun Tang; David Levinson
  2. Can the removal of VAT Exemptions support the Poor? The case of Niger By Celine De Quatrebarbes; Dorothée Boccanfuso; Luc Savard
  3. Simulating knowledge diffusion in four structurally distinct networks: An agent-based simulation model By Mueller, Matthias; Bogner, Kristina; Buchmann, Tobias; Kudic, Muhamed
  4. Branch-and-Price-and-Cut for a Service Network Design and Hub Location Problem By Ann-Kathrin Rothenbächer; Michael Drexl; Stefan Irnich
  5. Simulating Stock Markets: Risk-Aversion as a Cognitive Bias. By Fusillo, Fabrizio
  6. The virtues of the vice of cooperation between rival firms : a simulation model to evaluate the performance of coopetition strategy in the grain merchant industry By Mourad Hannachi; Francois-Christophe Coleno
  7. Hybrid search and the dial-a-ride problem with transfer scheduling constraints By Schönberger, Jörn
  8. Liquidity costs: a new numerical methodology and an empirical study By Christophe Michel; Victor Reutenauer; Denis Talay; Etienne Tanré
  9. Proposition et illustration d'un design de recherche combinant étude de cas et simulation multi-agents pour explorer les processus émergents en Systèmes d'information By Johanna Habib; François De Corbière
  10. US Climate Policy: A Critical Assessment of Intensity Standards By Christoph Böhringer; Xaquín Garcia-Muros; Mikel Gonzalez-Eguino; Luis Rey
  11. PUBLIC PERFORMANCE AND SIMULATION: A CASE STUDY IN THE FRENCH MILITARY HEALTH SERVICE By Jane Despatin; Michel Nakhla; Eric Wable; Yves Auroy
  12. Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm By Stefan Haring; Ronald Hochreiter
  13. A Branch-and-Price-and-Cut approach for Sustainable Crop Rotation Planning By Laurent Alfandari; Agnès Plateau; Xavier Schepler
  14. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix) By Anne Péguin-Feissolle; Bilel Sanhaji
  15. Instability of Endogenous Price Dispersion Equilibria: A Simulation By Lucas Herrenbrueck
  16. Heuristics for an Integrated Maintenance and Production Scheduling Problem on Parallel Machines with Stochastic Failures and Non-Resumable Jobs By Hoyningen-Huene, Wiebke von

  1. By: Wenyun Tang; David Levinson (Nexus (Networks, Economics, and Urban Systems) Research Group, Department of Civil Engineering, University of Minnesota)
    Abstract: Understanding variability in daily behavior is one of the most important missions in travelbehavior modeling. In traditional method, in order to find the differences, respondents were asked to list the used multiday paths. The quality of results is sensitive to the accuracy of respondents’ memories. However, few empirical studies of revealed route characteristics, chosen by the travelers day-to-day, have been reported in the literature. In this study, accurate Global Position Systems (GPS) and Geographic Information System (GIS) data were employed to reveal multiday routes people used, to study multiday route choice behavior for the same origin-destination (OD) trips. Travelers are classified into three kinds based on their route types. A two-stage route choice process is proposed. After analyzing the characteristics of different types of travelers, a neural network was adopted to classify travelers and model route choice behavior. An empirical study using GPS data collected in Minneapolis-St. Paul metropolitan area was carried out in the following part. It finds that most travelers follow the same route during commute trips on successive days. The results indicate that neural network framework can classify travelers and model route choice well.
    Keywords: multiday travel behavior, day-to-day modeling, route choice behavior, GPS data, neural networks
    JEL: C45 R41 R42
    Date: 2015
    URL: http://d.repec.org/n?u=RePEc:nex:wpaper:multiday&r=cmp
  2. By: Celine De Quatrebarbes (FERDI - Fondation pour les Etudes et Recherches sur le Développement International - FERDI); Dorothée Boccanfuso (GREDI - Groupe de recherche en économie et développement international - Université de Sherbrooke); Luc Savard (GREDI - Groupe de recherche en économie et développement international - Université de Sherbrooke)
    Abstract: What is the best pro-poor value-added tax (VAT) design to increase public revenue in developing countries: A perfect uniform tax, a multiple-rate system, or a tighter tax base with a high rate? This debate remains relevant, even though many studies have analyzed the economic impact of VAT reforms. Most of these studies have considered VAT as a consumption tax when analyzing the social impact of VAT reforms. However, if VAT exemptions are implemented or if the tax administration is inefficient in issuing refunds for VAT credits, then VAT increases producer’s tax burden and viewing the VAT only as a consumption tax becomes inaccurate. In order to take into account these complexities we built the first micro-macro computable general equilibrium model of Niger’s economy in order to shed some light on the best pro-poor VAT design. The main result of the model reveals that broadening the tax base while maintaining a high VAT rate will lead to an important increase in poverty. Lowering the rate or maintaining exemptions on agricultural goods have the least impact on poverty. However, the social impact of exemptions depends on the net effect of the additional tax burden supported by producers and the increase in domestic demand.
    Date: 2015–05–13
    URL: http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-01151644&r=cmp
  3. By: Mueller, Matthias; Bogner, Kristina; Buchmann, Tobias; Kudic, Muhamed
    Abstract: In our work we adopt a structural perspective and apply an agent-based simulation approach to analyse knowledge diffusion processes in four structurally distinct networks. The aim of this paper is to gain an in-depth understanding of how network characteristics, such as path length, cliquishness and the distribution and asymmetry of degree centrality affect the knowledge distribution properties of the system. Our results show - in line with the results of Cowan and Jonard (2007) - that an asymmetric or skewed degree distribution actually can have a negative impact on a network's knowledge diffusion performance in case of a barter trade knowledge diffusion process. Their key argument is that stars rapidly acquire so much knowledge that they interrupt the trading process at an early stage, which finally disconnects the network. However, our findings reveal that stars cannot be the sole explanation for negative effects on the diffusion properties of a network. In contrast, interestingly and quite surprisingly, our simulation results led to the conclusion that in particular very small, inadequately embedded agents can be a bottleneck for the efficient diffusion of knowledge throughout the networks.
    Keywords: innovation networks,knowledge diffusion,agent-based simulation,scale free networks,Netzwerk,Simulation,Wissen
    Date: 2015
    URL: http://d.repec.org/n?u=RePEc:zbw:hohdps:052015&r=cmp
  4. By: Ann-Kathrin Rothenbächer (Department of Economics, Johannes Gutenberg-Universitaet Mainz, Germany); Michael Drexl (Department of Economics, Johannes Gutenberg-Universitaet Mainz, and Fraunhofer Centre for Applied Research on Supply Chain Services SCS, Nuernberg, Germany); Stefan Irnich (Department of Economics, Johannes Gutenberg-Universitaet Mainz, Germany)
    Abstract: In the context of combined road-rail freight transport, we study the integrated tactical planning of hub locations and the design of a frequency service network. We consider a number of real-world constraints such as multiple transshipments of requests at hubs, transport time limits for requests, request splitting, and outsourcing possibilities. To our knowledge, the combination of problem features we deal with has not been described before. We present a path-based model and solve it with a branch-and-price-and-cut algorithm. Computational experiments show that large realistic instances from a major German rail freight company can be solved close to optimality within one hour on a standard desktop computer, allowing our algorithm to be used for practical planning purposes.
    Keywords: Service Network Design, Hub Location, Intermodal Transport, Branch-and-Price-and-Cut
    Date: 2015–07–06
    URL: http://d.repec.org/n?u=RePEc:jgu:wpaper:1506&r=cmp
  5. By: Fusillo, Fabrizio (University of Turin)
    Abstract: This paper analyzes market implications of behavioral nance by means of a representative agent model of fnancial market. The goal is to provide a model as tool for studying the emergence of behavioral market anomalies. We aim to show that such model can contribute to behavioral finance research by demonstrating if and to what extent risk-aversion can be used as a substitute of individual biases in determining market anomalies.
    Date: 2015–06
    URL: http://d.repec.org/n?u=RePEc:uto:dipeco:201527&r=cmp
  6. By: Mourad Hannachi (SADAPT - Sciences pour l'Action et le Développement : Activités, Produits, Territoires - Institut national de la recherche agronomique (INRA) - AgroParisTech); Francois-Christophe Coleno (SADAPT - Sciences pour l'Action et le Développement : Activités, Produits, Territoires - Institut national de la recherche agronomique (INRA) - AgroParisTech)
    Abstract: Coopetition is often seen as a phenomenon present in the tertiary sector encouraging the competitors to achieve cooperation upstream the production particularly in R & D. The literature suggest that coopetition's benefits occur inknowledge-intensive sectors. The aim of this paper is to explore how coopetition enables superior industry performance in primary sector. Using a simulation model on the case of grain merchant's industry in the context of coexistence between GM (genetically modified) and non-GM production, we demonstrate that coopetition enables superior performance and competitiveness in a context of market segmentation. The use of modelling enables us to compare a cooperative strategy with a non-cooperative strategy.
    Date: 2015
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-01123186&r=cmp
  7. By: Schönberger, Jörn
    Abstract: In a conventional dial-a-ride-system passengers are moved with the same vehicle between their pickup and their drop-off location. In a dial-a-ride-system with transfer, it is possible (or even standard) that passengers change the vehicle once or several times. Transfer Scheduling Constraints (TSC) are imposed in order to ensure that the comfort of the transfer remains on an acceptable level by avoiding too short or too long transfer times but also for limiting the total riding time between the initial pickup location to the final destination. In this contribution, we investigate the dial-a-ride-problem with transfer scheduling constraints (DARP-TSC) as an example for routing scenarios with TSC. We provide initial insights into the consequences of introducing TSCs using computational experiments with a memetic algorithm metaheuristic.
    Keywords: dial-a-ride,transfer planning,mathematical programming,metaheuristic,memetic algorithm
    Date: 2015
    URL: http://d.repec.org/n?u=RePEc:zbw:tudiwv:32015&r=cmp
  8. By: Christophe Michel (FIM - Service Interest Rates and Hybrid Quantitative Research - CALYON); Victor Reutenauer (Fotonower); Denis Talay (TOSCA - TO Simulate and CAlibrate stochastic models - CRISAM - Inria Sophia Antipolis - Méditerranée - INRIA - IECL - Institut Élie Cartan de Lorraine - Université de Lorraine - CNRS); Etienne Tanré (TOSCA - TO Simulate and CAlibrate stochastic models - CRISAM - Inria Sophia Antipolis - Méditerranée - INRIA - IECL - Institut Élie Cartan de Lorraine - Université de Lorraine - CNRS)
    Abstract: We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit optimal strategy minimizing a risk measure of the hedging error. We here propose an efficient algorithm, based on the stochas-tic gradient method, to obtain an approximate optimal strategy without solving a stochastic control problem. We validate our algorithm by numer-ical experiments. We also develop several variants of the algorithm and discuss their performances in terms of the numerical parameters and the liquidity cost.
    Date: 2015–02–02
    URL: http://d.repec.org/n?u=RePEc:hal:wpaper:hal-01098096&r=cmp
  9. By: Johanna Habib (IRG - Institut de Recherche en Gestion - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - UPEM - Université Paris-Est Marne-la-Vallée); François De Corbière (LEMNA - ECOLE DES MINES - Mines Nantes - Mines Nantes - Institut Mines-Télécom - LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - UN - Université de Nantes)
    Abstract: Si la simulation connait une popularité croissante en sciences des organisations, force est de constater que les recherches en systèmes d'information emploient encore peu fréquemment cette approche méthodologique. Dans cette communication, la pertinence de la simulation pour explorer des phénomènes complexes et émergents est tout d'abord mise en exergue. De plus, cet article se propose de souligner l'intérêt d'un design de recherche combinant deux approches méthodologiques : l'étude de cas et la simulation multi-agents. Deux modèles de simulation en systèmes d'information sont présentés pour illustrer l'apport de la combinaison des deux approches méthodologiques, en particulier pour asseoir la validité des résultats. En effet, l'ancrage qualitatif pour construire le modèle de la simulation, d'une part améliore la validité du modèle, et d'autre part accroit la portée de l'interprétation des résultats de la simulation. Mots clés : systèmes d'information, design de recherche, étude de cas, simulation multi-agents, validité des résultats, processus émergents. 2
    Date: 2014–05
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-01130779&r=cmp
  10. By: Christoph Böhringer (University of Oldenburg, Department of Economics); Xaquín Garcia-Muros (Basque Centre for Climate Change, Bilbao, Spain); Mikel Gonzalez-Eguino (Basque Centre for Climate Change, Bilbao, Spain); Luis Rey (Basque Country (UPV-EHU), Bilbao, Spain)
    Abstract: Intensity standards have gained substantial momentum as a regulatory instrument in US climate policy. Based on numerical simulations with a large-scale computable general equilibrium model we show that intensity standards may rather increase than decrease counterproductive carbon leakage. Moreover, standards can lead to considerable welfare losses compared to emission pricing via carbon taxation or an emissions trading system. The tradability of standards across industries is a mechanism that can reduce these negative effects.
    Keywords: Unilateral climate policy; carbon leakage, intensity sstandard, computable general equilibrium
    JEL: D21 H23 D58
    Date: 2015–07
    URL: http://d.repec.org/n?u=RePEc:old:dpaper:384&r=cmp
  11. By: Jane Despatin (CGS - Centre de Gestion Scientifique - MINES ParisTech - École nationale supérieure des mines de Paris); Michel Nakhla (CGS - Centre de Gestion Scientifique - MINES ParisTech - École nationale supérieure des mines de Paris); Eric Wable (Service de Santé des Armées); Yves Auroy (Service de Santé des Armées)
    Abstract: New public management emphasises the importance of performance for public utilities, in a context of public expenses reduction and increase in health care needs. Recent studies show that existing evaluations of hospital performance fail to assess the complete spectrum of hospital activities. What are the limits of existing performance indicators? How could we overcome them? An extreme case study, based on French Military Hospitals, is used to answer these issues in the present article. In fact, evaluation of military hospitals’ performance fails to take into account both military and civilian health care delivery. A simulation of the surgical process of these hospitals shows how incomplete performance indicators happen to misrepresent the impact of specific activities on hospital performance. Simulation is proposed as a levier to generate appropriate performance indicators both for civilian and military hospitals. Finally, hospital performance relevance is questioned with regard to public value.
    Date: 2015–05–28
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-01158733&r=cmp
  12. By: Stefan Haring; Ronald Hochreiter
    Abstract: In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be estimated. The difficult task of calibrating one of these models to American Put options data is the main objective of this paper. Numerical results are shown to substantiate the suitability of the chosen method to tackle this problem.
    Date: 2015–07
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1507.08937&r=cmp
  13. By: Laurent Alfandari (SID - Information Systems, Decision Sciences and Statistics Department - Essec Business School); Agnès Plateau (CEDRIC - Centre d'Etude et De Recherche en Informatique du Cnam - Conservatoire National des Arts et Métiers [CNAM]); Xavier Schepler (LITIS, Université du Havre - LMAH - Laboratoire de Mathématiques Appliquées du Havre - Université du Havre)
    Abstract: In this paper, we study a multi-periodic production planning problem in agriculture. This problem belongs to the class of crop rotation planning problems, which have received increased attention in the literature in recent years. Crop cultivation and fallow periods must be scheduled on land plots over a given time horizon so as to minimize the total surface area of land used, while satisfying crop demands every period. This problem is proven strongly NP-hard. We propose a 0-1 linear programming compact formulation based on crop-sequence graphs. An extended formulation is then provided with a polynomial-time pricing problem, and a Branch-and-Priceand- Cut (BPC) algorithm is presented with adapted branching rules and cutting planes. The numerical experiments on instances varying the number of crops, periods and plots show the effectiveness of the BPC for the extended formulation compared to solving the compact formulation, even though these two formulations have the same linear relaxation bound.
    Date: 2014–03–26
    URL: http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00987708&r=cmp
  14. By: Anne Péguin-Feissolle (AMSE - Aix-Marseille School of Economics - EHESS - École des hautes études en sciences sociales - Centre national de la recherche scientifique (CNRS) - Ecole Centrale Marseille (ECM) - AMU - Aix-Marseille Université); Bilel Sanhaji (AMSE - Aix-Marseille School of Economics - EHESS - École des hautes études en sciences sociales - Centre national de la recherche scientifique (CNRS) - Ecole Centrale Marseille (ECM) - AMU - Aix-Marseille Université)
    Abstract: We introduce two multivariate constant conditional correlation tests that require little knowledge of the functional relationship determining the conditional correlations. The first test is based on artificial neural networks and the second one is based on a Taylor expansion of each unknown conditional correlation. These new tests can be seen as general misspecification tests of a large set of multivariate GARCH-type models. We investigate the size and the power of these tests through Monte Carlo experiments. Moreover, we study their robustness to non-normality by simulating some models such as the GARCH−t and Beta−t−EGARCH models. We give some illustrative empirical examples based on financial data.
    Date: 2015–03
    URL: http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-01133751&r=cmp
  15. By: Lucas Herrenbrueck (Simon Fraser University)
    Abstract: Models of price posting by firms and search by consumers often feature equilibria with endogenous price dispersion. However, such equilibria are fragile in the sense that an individual firm’s decision problem is not concave (or even well-formed) outside of equilibrium. I simulate various procedures firms may use to update their prices sequentially. I find that the benchmark model performs surprisingly well, but that substantial differences in the level, volatility, and dispersion of profits remain even with as many as 100 firms. Certain procedures for price updating lead to “odd” results such as cyclicality or excessive volatility of prices and profits. When cost dispersion becomes large, prices become less volatile as they are more closely tied to costs.
    Keywords: Simulation; search frictions; Burdett-Judd pricing; Edgeworth cycles; disequilibrium dynamics
    JEL: D21 D43 D83
    Date: 2015–07–01
    URL: http://d.repec.org/n?u=RePEc:sfu:sfudps:dp15-07&r=cmp
  16. By: Hoyningen-Huene, Wiebke von
    Abstract: Maintenance activities can have a large impact on the performance of a production process and promised delivery dates. Therefore, maintenance and production planning should be handled as an integrated problem. In this paper, the problem of scheduling n jobs on m identical parallel machines is solved such that the expected makespan is minimised. The machines are affected by stochastic machine failures which are assumed to result in long production stops. To avoid this, preventive maintenance activities are planned beforehand. If a failure cannot be averted, a corrective maintenance has to be performed. Furthermore, it is assumed that jobs, interrupted by machine failure, have to be repeated (non-resumable case). In this paper, three construction heuristics and an Ant Colony System (ACS) algorithm are developed for solving this integrated problem. The excellent performance of the ACS as well as the benefit solving the problem in an integrated manner instead of sequentially, is shown in a numerical study.
    Keywords: Parallel Machine Scheduling,Maintenance,Stochastic Failures,Non-Resumable Jobs,Ant Colony System
    Date: 2015
    URL: http://d.repec.org/n?u=RePEc:zbw:esprep:112746&r=cmp

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