nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒10‒17
twelve papers chosen by

  1. A Replicator Dynamic and Simulation Analysis of Network Externalities and Compatibility Among Standards By Heinrich, Torsten
  2. Remittances and the Brain Drain in Ghana: A Computable General Equilibrium Approach By Isaac Dadson; Ryuta Ray Kato
  3. SIMTASK: A Microsimulation of the Slovak Tax-Benefit System By Zuzana Siebertová; Norbert Švarda; Jana Valachyová
  4. A Column Generation Approach for Locating Roadside Clinics in Africa based upon Effectiveness and Equity By Núñez Ares, J.; de Vries, H.; Huisman, D.
  5. Knowledge Clusters and Multidimensional Proximity: An Agent-Based Simulation. By Bottai, carlo; Iori, Martina
  6. Difficulty is critical: Psychological factors in modeling diffusion of green products and practices By Katarzyna Byrka; Arkadiusz Jedrzejewski; Katarzyna Sznajd-Weron; Rafal Weron
  7. Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products By Katarzyna Maciejowska; Arkadiusz Jedrzejewski; Anna Kowalska-Pyzalska; Katarzyna Sznajd-Weron; Rafal Weron
  8. Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation By Ahmed Kebaier; J\'er\^ome Lelong
  9. Propriétés structurelles de la VAN équivalent certain des flux futurs By Charlotte Belin; Rémi Gerboud; Julien Vedani
  10. On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects By Roberto Ortiz; Mauricio Contreras; Marcelo Villena
  12. The End of the Flat Tax Experiment in Slovakia By Michal Horváth; Matúš Senaj; Zuzana Siebertová; Norbert Švarda

  1. By: Heinrich, Torsten
    Abstract: In the presence of network externalities, compatibility and tying or bundling of standards may be employed as strategic tools. This has reportedly been done by, e.g., many competitors in ICT industries. It remains, however, less clear which mechanisms exactly are exploited and in what way. The present paper investigates the economic role of compatibility or incompatibility of tied standards for the dynamics of competition between standards. A replicator model operating on an aggregated level is complemented by an agent-based simulation that takes into account the network structure among users and by an empirical example from the information technology sector. A variety of effects and strategic options of vendors of the standards are studied, including the role of initial usage share distribution, controlling the inter-subsectoral compatibility, setting up new competitors, and utilizing properties of the network such as central or peripheral positioning of agents (Feld's friendship paradox). The agent-based model contrasts a complete network and a regular ring network with asymmetric network structures derived from Barabàsi and Albert's preferential attachment mechanism and triadic closure. Though this explores only a small subset of the theoretically possible effects, it may contribute to a better understanding of strategic interaction in the presence of network externalities.
    Keywords: network externalities \and platform competition \and standard tying; information and communication technology; agent-based modeling; replicator dynamics; preferential attachment networks
    JEL: C61 C63 D43 L81 L86 L96
    Date: 2015–10–12
  2. By: Isaac Dadson (Ghana Statistical Service, Economic Statistics Division, Ghana); Ryuta Ray Kato (International University of Japan)
    Abstract: This paper presents a computable general equilibrium (CGE) framework to numerically examine the impact of remittances and the brain drain on poverty reduction as well as income inequality in Ghana. The generalized framework with the latest Ghanaian input-output table of year 2005 with 59 different production sectors provides the following results: On the impact of remittances, more remittances reduce poverty, and expand the Ghanaian economy. On the impact on income inequality, it depends on who receives more remittances. If the rural (urban) households receive more remittances, then income inequality shrinks (widens). On the impact of the brain drain, it is negative to both poverty reduction and income inequality, even if the externality effect of the brain drain is taken into account. On the overall impact of both remittances and the brain drain in Ghana, income inequality becomes more severe. On the other hand, the overall impact on poverty reduction, it depends on the amount of remittances as well as the sector where the brain drain occurs. As long as the brain drain occurs in either the education or the health sector, then the positive impact of remittances outweighs the negative impact of the brain drain. However, if the brain drain occurs in the public administration sector, then more remittances are needed to offset the negative impact of more brain drain. Furthermore, if the brain drain occurs in all sectors by more than 5 percent, then even a 30 percent increase in remittances to both rural and urban households is not large enough to offset the negative impact of the brain drain, thus, eventuating in the Ghanaian economy being damaged as a whole.
    Keywords: Ghana, Remittance, Brain Drain, Poverty, Income Inequality, ComputableGeneral Equilibrium (CGE) Model, Simulation
    JEL: C68 D58 I32 O15
    Date: 2015–10
  3. By: Zuzana Siebertová; Norbert Švarda; Jana Valachyová
    Abstract: In this paper we introduce a microsimulation model of the Slovak tax and transfer system SIMTASK. It presents a complex toolkit for static microsimulations. Compared to earlier version of the CBR microsimulation model, simulated results are closer to reality. This has been achieved by recalibrating sample weights of the input database, where the income distribution has been taken into account directly. The improved fit is documented by validating the tax and transfer aggregates using both the original sample weights and the new ones against external data. Along with some other refinements to the model and external data considerations, the paper concludes that the validity of SIMTASK improved in terms of personal income tax simulations, social security contributions simulations, as well as simulations of family related benefits.
    Keywords: microsimulation, EUROMOD, tax and transfer policy, Slovakia
    JEL: C81 I38 H24
    Date: 2015–10–05
  4. By: Núñez Ares, J.; de Vries, H.; Huisman, D.
    Abstract: Long distance truck drivers in Sub-Saharan Africa are extremely vulnerable to HIV and other infectious diseases. The NGO North Star Alliance aims to alleviate this situation by placing so-called Roadside Wellness Centers (RWCs) at busy truck stops along major truck routes. Currently, locations for new RWCs are chosen so as to maximize the expected patient volume and to ensure continuity of access along the routes. As North Star's network grows larger, the objective to provide equal access to healthcare along the different truck routes gains importance. This paper considers the problem to locate a fixed number of RWCs based on these effectiveness and equity objectives. We come up with a novel, set-partitioning type of formulation for the problem and propose a column generation algorithm to solve it. Additionally, we propose and analyze several state-of-the-art acceleration techniques, including dual stabilization, column pool management, and accelerated pricing, which solves the pricing problem as a sequence of shortest path problems. Though the facility location problem is strongly NP-hard, our algorithm yields near-optimal solutions to large randomly generated problem instances within an acceptable amount of time. Our analysis of the trade-off between the equity criterion and North Star's current criteria shows that solutions that are close to optimal with respect to each of the effectiveness and equity objectives are likely to be attainable.
    Keywords: humanitarian logistics, facility location, equity, column generation
    Date: 2015–08–15
  5. By: Bottai, carlo; Iori, Martina (University of Turin)
    Abstract: We will use an Agent-Based Model in order to study how innovation can emerge from the interaction between firms. In particular, we are interested in studying how the clusters that emerges from these interactions influence the ability of bounded rational firms in reacting creatively to out-of-equilibrium conditions. Moreover, we will introduce two type of firms – traditional and innovative – and we will observe if and how this difference influences the outcomes.
    Date: 2015–07
  6. By: Katarzyna Byrka; Arkadiusz Jedrzejewski; Katarzyna Sznajd-Weron; Rafal Weron
    Abstract: Despite the very positive - as measured by market surveys - attitude towards eco-innovations and sustainability in general, the actual market penetration of green products and practices generally falls behind the expectations. In this paper we argue that considering difficulty of engagement, as used in the Campbell Paradigm, is of critical importance when modeling diffusion of eco-innovations. Such a notion of difficulty possesses three desired properties: (i) parsimony - it is represented by a single value, (ii) interpretability - it can be regarded as an estimator of the otherwise complex notion of behavioral cost, and (iii) applicability - it can be easily measured through market surveys. In an extensive simulation and analytical study involving empirically measured difficulty and an agent-based model spanned on different social network structures, we show that innovation adoption may exhibit abrupt changes in market penetration as a result of even small changes in difficulty. The latter may be of particular interest to policy makers who have to make strategic decisions when introducing socially - but not necessarily individually - desired products and practices, like dynamic or green electricity tariffs.
    Keywords: Green products and practices; Energy policy; Innovation diffusion; Difficulty; Social network; Agent-based model
    JEL: C63 O33 Q48 Q55
    Date: 2015–10–13
  7. By: Katarzyna Maciejowska; Arkadiusz Jedrzejewski; Anna Kowalska-Pyzalska; Katarzyna Sznajd-Weron; Rafal Weron
    Abstract: Word-of-mouth (WOM) is a puzzling phenomenon. It strongly influences the innovation diffusion process and is responsible for the 'S' shape of the adoption curve. However, it is not clear how WOM affects demand curves for innovative products and strategic decisions of producers. In this paper, we build an agent-based model of innovation diffusion, which links the opinions of potential consumers with their market behavior via the concept of reservation prices. We show that when reversibility of opinions is allowed, WOM may have either a positive or a negative effect on the adoption process, depending on the model parameters and the level of market prices. Our results suggest that a relatively strong WOM effect can lead to the creation of two separated price-quantity regimes, with a nonlinear transition between them. A small shift of the market price can result in a drastic change of the demanded quantity and, hence, the revenues of a firm. Using Monte Carlo simulations and mean-field (semi-)analytical treatment we demonstrate that WOM may have ambiguous consequences and should be taken into account when designing marketing strategies.
    Keywords: Word-of-mouth; Innovation diffusion; Agent-based model; Demand curve; Marketing strategy
    JEL: C63 O33 Q48 Q55
    Date: 2015–10–04
  8. By: Ahmed Kebaier (LAGA); J\'er\^ome Lelong (MATHRISK)
    Abstract: In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo. We advocate a per level approach with as many importance sampling parameters as the number of levels, which enables us to compute the different levels independently. The search for parameters is carried out using sample average approximation, which basically consists in applying deterministic optimisation techniques to Monte Carlo approximation rather than resorting to stochastic approximation. Our innovative estima-tor leads to a robust and efficient procedure reducing both the bias and the variance for a given computational effort. In the setting of discretized diffusions, we prove that our estimator satisfies a strong law of large numbers and a central limit theorem with optimal limiting variance. Finally, we illustrate the efficiency of our method on several numerical challenges coming from quantitative finance.
    Date: 2015–10
  9. By: Charlotte Belin (ENSAE - École Nationale de la Statistique et de l'Administration Économique - ENSAE ParisTech); Rémi Gerboud (ENSAE - École Nationale de la Statistique et de l'Administration Économique - ENSAE ParisTech); Julien Vedani (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)
    Abstract: Avec l’implémentation du cadre défini par la directive Solvabilité II, les assureurs ont la possibilité de développer un modèle interne, afin de mieux refléter les spécificités de leurs risques propres, plutôt qu’utiliser une approche plus simplifiée et moins spécifique, la formule standard. En assurance vie, la méthode des Simulations dans les Simulations (SdS) est une première approche à la disposition des opérationnels pour évaluer le capital de solvabilité requis. Cette approche très simulatoire permet de disposer d’une distribution complète des fonds propres économiques à un an, sans nécessiter d’hypothèse restrictive. Toutefois, sa complexité algorithmique la rend opérationnellement lourde à implémenter. L’accélérateur SdS proposé par Devineau et Loisel (2008) permet de réduire le nombre de simulations, à l’aide d’une procédure de sélection a priori des scénarios les plus adverses. Toutefois, la sélection est basée sur un critère donné, qui, bien que relativement efficace, peut se révéler simpliste et apparait optimisable. La Valeur Actuelle Nette de marges forward est une Valeur Actuelle Nette de marges calculée sur un scénario central, dans lequel toutes les variables financières suivent leur trajectoire espérée. Elle permet d’apporter une information de type équivalent certain quant à l’espérance des VAN de marge, les fonds propres économiques. Cet article, synthèse d’un mémoire d’actuariat réalisé par les auteurs, s’intéresse aux propriétés de cette Valeur Actuelle Nette de marges, dite forward, et aux moyens de l’utiliser dans un cadre opérationnel pour accélérer les approches simulatoires de calcul du capital économique en assurance vie.
    Keywords: accélérateur SdS, Simulations dans les Simulations,modèle interne, Solvabilité II, VAN forward
    Date: 2015–10–02
  10. By: Roberto Ortiz; Mauricio Contreras; Marcelo Villena
    Abstract: In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency, using the standard ratio variance test, considering over 1600 one week rolling windows. For the equally weighted index, the null hypothesis of random walk is rejected in the whole period, while for the weighted market value index, the null hypothesis start to be accepted from the 1990s. In order to explain this difference, we raised the hypothesis that this behavior can be explained by the joint action of portfolios and non-synchronous trading effects. To check the feasibility of the above assumption, we performed a simulation of both effects, on two- and six-asset portfolios. The results showed that it is possible to explain the empirical difference between the two index, almost entirely by the joint effects of portfolio and non-synchronous trading.
    Date: 2015–10
  11. By: Strüve, Hanna; Recke, Guido
    Abstract: Das Thema Tierwohl in der Nutztierhaltung wird zunehmend kritisch diskutiert. In diesem Beitrag wird der Frage nachgegangen, wie sich tierwohlsteigernde Maßnahmen auf die wirtschaftliche Situation eines typischen Betriebes mit Putenhaltung im nordwestdeutschen Raum auswirken. Ausgehend von Daten eines Forschungsprojektes an der Hochschule Osnabrück werden betriebswirtschaftliche Analysen durchgeführt, die den jeweiligen Einfluss von tierwohlsteigernden Maßnahmen mit stochastischer Simulation aufzeigen. Erste Ergebnisse zeigen, dass die Preise für das Schlachttier und der Eintagsküken einen größeren Einfluss auf den Gewinn haben, als die Tierwohlmaßnahmen geringere Besatzdichte und Einsatz von Picksteinen.
    Keywords: Tierwohl, Putenhaltung, Stochastische Simulation, @Risk, Farm Management, Livestock Production/Industries, Risk and Uncertainty,
    Date: 2015
  12. By: Michal Horváth; Matúš Senaj; Zuzana Siebertová; Norbert Švarda
    Abstract: The paper provides a quantitative assessment of the consequences of departing from a flat-tax system in the context of Slovakia. A behavioural microsimulation model of the labour supply is embedded into a general equilibrium framework with search and matching frictions. Some recently implemented changes in the tax system leave aggregate labour market indicators as well as inequality measures virtually unaffected. We also examine hypothetical revenue-neutral reforms that would significantly increase the progressivity of the system through graduated marginal tax rates. We find that there are narrow limits to what policy makers could accomplish through such reforms in terms of employment and equality of income. Hence, an income tax reform should at best be seen as a complementary tool to other initiatives promoting such objectives. Moreover, we highlight an important trade-off: income tax reforms that promote employment may harm growth.
    Keywords: flat tax, microsimulation, general equilibrium, search and matching, labour supply elasticity
    JEL: E24 H24 H31 J22
    Date: 2015–10–05

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