nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒08‒25
twelve papers chosen by
Stan Miles
Thompson Rivers University

  1. Monetary Economics Simulation: Stock-Flow Consistent Invariance, Monadic Style By Pierre Boudes; Antoine Kaszczyc; Luc Pellissier
  2. Comparing fast VRP algorithms for collaborative urban freight transport systems: a solution probleming analysis By Josep-Maria Salanova Grau; Jesus Gonzalez-Feliu
  3. A probabilistic numerical method for optimal multiple switching problems in high dimension By René Aïd; Luciano Campi; Nicolas Langrené; Huyên Pham
  4. Sectoral Imbalance in Two-Sector Economy with Mobility Constraint and Firm Migration By Li, Xi Hao; Gallegati, Mauro
  5. Cobweb Heuristic for solving Multi-Objective Vehicle Routing Problem By Okitonyumbe Y.F., Joseph; Ulungu, Berthold E.-L.; Kapiamba Nt., Joel
  6. Output-based rebating of carbon taxes in the neighbor’s backyard By Christoph Böhringer; Brita Bye; Taran Fæhn; Rosendahl Knut Einar
  7. Rock around the clock: an agent-based model of low- and high-frequency trading By Sandrine Jacob Leal; Mauro Napoletano; Andrea Roventini; Giorgio Fagiolo
  8. Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches By Dhaoui, Abderrazak; Audi, Mohamed; Ouled Ahmed Ben Ali, Raja
  9. The Monte Carlo first-come-first-served heuristic for network revenue management By Nicolas Houy; François Le Grand
  10. Explicit solutions to dynamic portfolio choice problems: A continuous-time detour By François Legendre; Djibril Togola
  11. Fiscal consolidation in times of crisis: is the sooner really the better? By Christophe Blot; Marion Cochard; Jérôme Creel; Bruno Ducoudre; Danielle Schweisguth; Xavier Timbeau
  12. Towards a flexible work-force planning methodology: a simulation approach in the operating suite By Jane Despatin; Eric Wable; Michel Nakhla; Yves Auroy

  1. By: Pierre Boudes (LIPN - Laboratoire d'Informatique de Paris-Nord - CNRS - Université Paris 13 - Université Sorbonne Paris Cité (USPC) - Institut Galilée); Antoine Kaszczyc (LIPN - Laboratoire d'Informatique de Paris-Nord - CNRS - Université Paris 13 - Université Sorbonne Paris Cité (USPC) - Institut Galilée); Luc Pellissier (LIPN - Laboratoire d'Informatique de Paris-Nord - CNRS - Université Paris 13 - Université Sorbonne Paris Cité (USPC) - Institut Galilée)
    Abstract: An agent-based simulation of a monetary economy as a whole should be stock-flow consistent [7]. We aim at providing a compile-time verification of the preservation of this invariant by the computation. We guarantee this invariant by wrapping the accounting operations in a monad. Our objective is to increase the confidence in the SFCness of an existing complex simulation with a minimal refactoring of code.
    Date: 2015–06–05
  2. By: Josep-Maria Salanova Grau (Hellenic Institute or Transport - Center of Research and Technologie Hellas); Jesus Gonzalez-Feliu (PIESO-ENSMSE - Département Performance Industrielle et Environnementale des Systèmes et des Organisations - Mines Saint-Étienne MSE - École des Mines de Saint-Étienne - Institut Mines-Télécom - Institut Henri Fayol, EVS - UMR 5600 Environnement Ville Société - ENSAL - Ecole nationale supérieure d'architecture de Lyon - Ecole Nationale Supérieure des Mines de Saint-Etienne - CNRS - UL2 - Université Lumière - Lyon 2 - Université Jean Moulin - Lyon III - Université Jean Monnet - Saint-Etienne - École Nationale des Travaux Publics de l'État [ENTPE] - ENS Lyon - École normale supérieure - Lyon)
    Abstract: This paper proposes a comparison between two fast heuristic algorithms to solve a multi-carrier 2E-VRP in city logistics, under realistic conditions. We propose a cluster-first route second algorithm to compare the performance of two route construction and post-optimization algorithms on real-size test cases. The clustering phase is made by a seep algorithm, which defines the number of used vehicles and assigns a set of customers to it. Then, for each cluster, which represents a vehicle, we build a min-cost route by the two following methods. The first is a semi-greedy algorithm. The second is a genetic algorithm that includes post-optimization at the level of each route. In this work we make the route construction and post-optimization without any possible exchange of the routes to guaranty a pertinent comparison between both algorithms. After presenting both approaches, we apply them, first to classical 2E-CVRP instances to state on the algorithm capabilities, then on real-size instances to compare them. Computational results are presented and discussed. Finally, practical implications are addressed.
    Date: 2015
  3. By: René Aïd; Luciano Campi; Nicolas Langrené; Huyên Pham
    Abstract: In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the rate of convergence of the method in terms of the time step used to discretize the problem, of the regression basis used to approximate conditional expectations, and of the truncating time horizon. To make the method viable for problems in high dimension and long time horizon, we extend a memory reduction method to the general Euler scheme, so that, when performing the numerical resolution, the storage of the Monte Carlo simulation paths is not needed. Then, we apply this algorithm to a model of optimal investment in power plants in dimension eight, i.e. with two different technologies and six random factors.
    JEL: C1 R14 J01
    Date: 2014
  4. By: Li, Xi Hao; Gallegati, Mauro
    Abstract: We consider a two-sector economy with a low-technology agriculture sector (sector A) and a high-technology manufacture sector (sector M). We investigate the scenario with mobility constraint that worker in sector A, when unemployed, has to afford the migration cost in order to move to sector M. By developing an agent-based two-sector model with computational simulation, we show that productivity growth localized at agriculture sector with mobility constraint leads to a decrease of agricultural market price, sectoral imbalance that workers are trapped unemployed in agriculture sector, and the overall economy experiencing economic downturn. In particular, localized productivity growth leads to both sectors bearing with high unemployment, low level of aggregate output, and low level of aggregate real wage income. Regarding remedy for the economic downturn under this scenario, we investigate the policy of firm migration such that agriculture firms can migrate to manufacture sector together with their employed workers. Agent-based study shows that this policy restores employment in both sectors, with a side effect of an increase of agricultural market price.
    Keywords: two-sector model, agent-based economic modeling, productivity growth, sectoral imbalance, economic downturn, mobility constraint
    JEL: C63 E17 E24 L5
    Date: 2015–07
  5. By: Okitonyumbe Y.F., Joseph; Ulungu, Berthold E.-L.; Kapiamba Nt., Joel
    Abstract: Abstract Solving a classical vehicle routing problem (VRP) by exact methods presents many difficulties for large dimension problem. Consequently, in multi-objective framework, heuristic or metaheuristic methods are required. Due to particular VRP structure, it seems that a dedicated heuristic is more suitable than a metaheuristic. The aim of this article is to collapse different heuristics solving classical VRP and adapt them for to solve the multi-objective vehicle routing problem (MOVRP). The so-called Cobweb Algorithm simulates spider’s behavior when weaving cobweb. This paper presents the algorithm, a didactic example, concluding remarks and way for further researches.
    Keywords: Keywords: Savings, Cobweb, Heuristics, Multiobjective, Vehicle Routing Problem.
    JEL: C61
    Date: 2015–07–11
  6. By: Christoph Böhringer (University of Oldenburg, Department of Economics); Brita Bye; Taran Fæhn; Rosendahl Knut Einar
    Abstract: We investigate how carbon taxes combined with output-based rebating (OBR) in an open economy perform in interaction with the carbon policies of a large neighboring trading partner. Analytical results suggest that whether the purpose of the OBR policy is to compensate firms for carbon tax burdens or to maximize welfare (accounting for global emission reductions), the second-best OBR rate should be positive in most cases. Further, it should fall with the introduction of carbon taxation in the neighboring country, particularly if the neighbor refrains from OBR. Numerical simulations for Canada with the US as the neighboring trading partner, indicates that the impact of US policies on the second-best OBR rate will depend crucially on the purpose of the domestic OBR policies. If the aim is to restore the competitiveness of domestic emission-intensive, trade exposed (EITE) firms at the same level as before the introduction of its own carbon taxation for a given US carbon policy, we find that the domestic optimal OBR rates are relatively insensitive to the foreign carbon policies. If the aim is to compensate the firms for actions taken by the US following a Canadian carbon tax, the necessary domestic OBR rates will be lower if also the US regulates its emissions, particularly if the US refrains from OBR. If the goal is rather to increase the efficiency of Canadian policies in an economy-wide sense by accounting for carbon leakage, the US policies have but a minor reducing impact on domestic optimal OBR rates.
    Keywords: carbon leakage, second-best optimal carbon policies, output-based rebates
    JEL: Q43 Q54 H2 D61
    Date: 2014–06
  7. By: Sandrine Jacob Leal (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis - CNRS); Mauro Napoletano (OFCE - OFCE - Sciences Po); Andrea Roventini (Department of Economics - Tilburg University); Giorgio Fagiolo (LEM - Laboratory of Economics and Management - Sant'Anna School of Advanced Studies)
    Abstract: We build an agent-based model to study how the interplay between low- and high frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt trading rules based on chronological time and can switch between fundamentalist and chartist strategies. On the contrary, high-frequency traders activation is event-driven and depends on price the contrary, high-frequency traders activation is event-driven and depends on price formation produced by low-frequency traders. Monte-Carlo simulations reveal that the model replicates the main stylized facts of financial markets. Furthermore, we found that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of flash crashes. The emergence of flash crashes is explained by two salient characteristics of high-frequency traders, i.e., their ability to i) generate high bid-ask spreads and ii) synchronize on the sell side of the limit order book. Finally, we found that higher rates of order cancellation by high-frequency traders increase the incidence of flash crashes but reduce their duration.
    Date: 2014–02
  8. By: Dhaoui, Abderrazak; Audi, Mohamed; Ouled Ahmed Ben Ali, Raja
    Abstract: Over the years, the oil price has shown an impressive fluctuation and isn’t without signification impact on the evolution of stock market returns. Because of the complexity of stock market data, developing an efficient model for predicting linkages between macroeconomic data and stock price movement is very difficult. This study attempted to develop two robust and efficient models and compared their performance in predicting the direction of movement in the Canadian stock market. The proposed models are based on two classification techniques, artificial neural networks and Support Vector Machines. Considering together world oil production and world oil prices in order to supervise for oil supply and oil demand shocks, strong evidence of sensitivity of stock price movement direction to the oil price shocks specifications is found. Experimental results showed that average performance of artificial neural networks model is around 96.75% that is significantly better than that of the Support Vector Machines reaching 95.67%.
    Keywords: Oil price; Stock price movement; Oil supply shocks; Oil demand shocks; Artificial neural networks model, Support Vector Machines.
    JEL: G12 G17
    Date: 2015–08–07
  9. By: Nicolas Houy (GATE Lyon Saint-Étienne - Groupe d'analyse et de théorie économique - CNRS - UCBL - Université Claude Bernard Lyon 1 - UL2 - Université Lumière - Lyon 2 - Université Jean Monnet - Saint-Etienne - PRES Université de Lyon - ENS Lyon - École normale supérieure - Lyon); François Le Grand (EMLYON Business school - EMLYON Business School)
    Abstract: We introduce the Monte-Carlo based heuristic with first-come-first-served approximation for future optimal strategy (MC-FCFS) in order to maximize profit in a network revenue management problem. Like the randomized linear programming (RLP) model, one purpose of the MC-FCFS heuristic is to have information about displacement costs, considering the full probability distribution of future demands instead of a simplified degenerate distribution as in the deterministic linear programming (DLP) model. However, this information is conveyed by applying the FCFS heuristic as a future strategy rather than using the optimal ex-post profits as in the RLP heuristic. We show that MC-FCFS performs approximately as well as the RLP heuristic at a much lower computational cost and much better than the DLP heuristic at maximizing profit in a multi-night hotel booking setting with or without planned upgrades.
    Date: 2015
  10. By: François Legendre (TEPP - Travail, Emploi et Politiques Publiques - UPEM - Université Paris-Est Marne-la-Vallée - CNRS, ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12); Djibril Togola (ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)
    Abstract: Recently, many academic researchers have implemented different numerical procedures to solve a dynamic portfolio choice problem especially in incomplete markets. The subsequent numerical results are sometimes significantly different from one paper to another. Thus, they have all advocated the accuracy of their methods. This paper contributes to this accuracy debate by showing how to obtain some accurate numerical results without numerical approximations, for a given investment horizon. We use a dynamic programming approach in continuous-time, and illustrate the framework with one risky and one riskless asset under a power utility. The framework is flexible enough to cover all the HARA class of utility functions.
    Date: 2015–05–26
  11. By: Christophe Blot (OFCE - OFCE - Sciences Po); Marion Cochard (OFCE - OFCE - Sciences Po); Jérôme Creel (OFCE - OFCE - Sciences Po); Bruno Ducoudre (OFCE - OFCE - Sciences Po); Danielle Schweisguth (OFCE - OFCE - Sciences Po); Xavier Timbeau (OFCE - OFCE - Sciences Po)
    Abstract: Recent evidence has renewed views on the size of fiscal multipliers. It is notably emphasized that fiscal multipliers are higher in times of crisis. Starting from this literature, we develop a simple and tractable model to deal with the fiscal strategy led by euro area countries. Constrained by fiscal rules and by speculative attacks in financial markets, euro area members have adopted restrictive fiscal policies despite strong negative output gaps. Based on the model, we present simulations to determine the path of public debt given the current expected consolidation. Our simulations suggest that despite strong austerity measures, not all countries would be able to reach the 60% debt-to-GDP. If fiscal multipliers vary along the business cycle, this would give a strong case for delaying austerity. This alternative scenario is considered. Our results show not only that delaying austerity would improve growth perspectives and would not be incompatible with public debt converging to 60% of GDP.
    Date: 2014–04
  12. By: Jane Despatin (CGS - Centre de Gestion Scientifique - MINES ParisTech - École nationale supérieure des mines de Paris); Eric Wable (Service de Santé des Armées); Michel Nakhla (CGS - Centre de Gestion Scientifique - MINES ParisTech - École nationale supérieure des mines de Paris); Yves Auroy (Service de Santé des Armées)
    Abstract: In hospitals, availability of human resources is highly variable: absences and non patient-care activities impact considerably the organisation of the hospital. Making cost-effective staffing decisions is thus complex and can be of high importance in a costly and highly technical area such as the operating suite. Our research question is: 'what is the impact of non patient-care activities on the surgical activity of the hospital?'A deterministic simulation of the surgery production process is developed based on 43 semi-directive interviews conducted in five French military hospitals. We apply our simulation to a case study based on the participation of military nurses and practitioners in temporary military missions abroad for two military hospitals. Two main findings arise from our study. First, medical staff has high flexibility in work organisation that favours balancing the impact of colleagues' absence. Second, respecting the equilibrium of staffing levels in the hospital appears crucial to limit the impact of non patient-care missions on the efficiency of hospitals.
    Date: 2014–07–30

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