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on Computational Economics |
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Issue of 2015‒11‒01
eleven papers chosen by |
| By: | Renáta Géczi-Papp (University of Miskolc) |
| Abstract: | In the decision making process the forecasting and time series analysis are important, but unfortunately the reliability of the prediction is often questionable. In today's rapidly changing business environment, it is crucial that decisions are based on correct information which means a better estimate of the expected economic developments. In this paper I examine the possible applications of using genetic algorithms in time series analysis to improve the reliability of the forecast. I try to submit the most relevant findings in the field of genetic algorithms and forecasting. My goal is to give a thorough description about the possible applications of genetic algorithms (GA) and I like to prove that this method can be useful in the time series analysis. The literature review is focused only to the prediction of stock market data. First I summarize shortly the most important methods of time series analysis, then I introduce the genetic algorithm and its main steps. The essential of the paper is the literature review, where I try to describe the most important applications of GA in finance. There are lots of interesting results in the forecasting of stock market data, which makes the GA more important. Of course the GA model is not perfect, it has some shortcomings and limitations of application. After drawing the conclusionsI hope this study will help the reader to understand better the genetic algorithm and its significance in the forecast. |
| Date: | 2015–10–15 |
| URL: | http://d.repec.org/n?u=RePEc:mic:etpdsw:9&r=cmp |
| By: | Larisa Melnikova; Victor Suslov; Alexander Tsyplakov; Naimdjon Ibragimov; Dmitry Domozhirov; Vitaly Kostin |
| Abstract: | The paper presents a pilot version of spatial agent-based model simulating the national economy of Russia. The model is supposed to be used for evaluation the effects of industrial and spatial policies. The object of modeling is multi-regional economic space of Russia in its interaction with foreign market. The space is physical; locations of agents are defined by geographical coordinates. The basic hypothesis is that decisions of agents on microeconomic level lead to spatial changes on macroeconomic level. We consider Arrow-Debreu model with Leontief technologies as a microeconomic prototype of our model. Theoretical construction of the model, referred to models of stochastically converging equilibrium. The basic features of the model presented are the following. We explicitly account for space, consideringr interactions between trading agents located in physical space. Moreover, the model is compatible and exchanges information with an existent multiregional input-output model that uses the identical. There are agents of the following types: firms, households, commodity markets, labour market and foreign markets. Agents take decisions on the base of microeconomic models under bounded rationality with the account of transportation costs. Geographical pattern of the model is referred to the stylized map of Russia. Distance is measured as a length of the shortest arc between 2 points on the Earth with their coordinates of longitude and latitude. Initialization of the model uses some elements of geo-informational approach as well as informational exchange with multiregional input-output model. Agents are located on the map on the base of geographical coordinates of cities, real data on demography and statistical performance of economic activities. . Statistical performance is collected mostly across macro-regions and activities and is visualized by graphs. The model is realized on ?Lua? programming language. Spatial pattern of interactions among agents is created by two-part transport tariff: the first part is proportional to the amount of commodities and the second part is proportional to the distance between 2 agents and to the amount of deliveries. In the report we illustrate the algorithm of trade between households with the account of transportation costs. The geographic structure of commodity flows is analyzed. The report also presents some results of the experiments accomplished. We studied the influence of transportation costs on the convergence of prices to the state of quasi-equilibrium. Experiments demonstrated that the Law of One-Price is not observed. Prices converge to clusters within regions, which reflect the impact of differences in industrial pattern of regions. The prospects of future development of the model are discussed. |
| Keywords: | Spatial agent-based model; multi-industrial economy; transportation costs |
| JEL: | C63 R1 D58 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p603&r=cmp |
| By: | Luís de Sousa; Alberto Rodrigues da Silva |
| Abstract: | Techniques such as cellular automata and agent-based modelling have long been used to capture and simulate the temporal dynamics of spatial information. Tools commonly employed to implement spatial simulation models include code libraries and pre-compiled models; the former require advanced programming skills while the latter impose relevant constraints on application scope. Previous attempts to produce domain specific languages in the field have invariably resulted in new textual programming languages (e.g. SELES, NetLogo, Ocelet) that are platform specific and in some cases with weak GIS support and interoperability. The Domain Specific Language for Spatial Simulation Sce narios (DSL3S) is a Domain Specific Language (DSL) for spatial simulation in the GIS context. It tries to ease the development of simulation models through a Model-Driven Development (MDD) approach, whereby models are developed through the arrangement of graphical elements and their relationships, dispensing formal programming knowledge. These graphical models can then be translated into ready to run simulations through the application of a code generation infrastructure. This language has been implemented using the Model Driven Development (MDD) tools distributed with the Eclipse IDE. Model-Driven Development for Spatial Simulation Scenarios (MDD3S) is the resulting code generation infrastructure, that produces ready to run simulations from DSL3S models. The MDD3S framework currently relies on MASON, a modern Java library for spatial simulation. This option also guarantees interoperability with geographic data, namely through the GeoMASON extension. This framework was developed using the Eclipse MDD ad-ons Papyrus, for UML modelling, and Acceleo, for code generation. Both the DSL3S UML profile, the MDD3S framework and the example models presently in the public domain. This article reviews previous DSLs attempted in the field, noting the differences to DSL3S. It briefly describes the abstract syntax of the language and MDD3S, its implementation prototype, detailing the tools on which it relies. The usage of DSL3S is exemplified through a set of use cases that portrait its application to common spatial simulation scenarios. The MDD approach has proved to raise the level of abstraction at which development takes place, thus simplifying the communication between programmers and analysts, and other stakeholders lacking programming skills (Mohagheghi et al., 2013). MDD should also be applicable to other fields of simulation, allowing the development of complex models from a relatively simple graphical constructs. It may also be the foundation for a standard language in simulation, as the successful examples of SysML and ModelicaML in the field of Systems Engineering attest to. |
| Keywords: | Domain Specific Language; Spatial Simulation; UML Profile; Model-Driven Developm |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p1044&r=cmp |
| By: | Jouko Kinnunen; Heikki Metsäranta; Hannu Törmä; Seppo Laakso; Urszula Zimoch |
| Abstract: | Transport sector has a long tradition of using the principles of practical cost benefit analysis (CBA) in project appraisal that analyses the primary impacts of transport investments. The standard transport project assessment is necessary but not sufficient for the estimation of the wider economic impacts, which are in increasing demand among decision makers. Computable General Equilibrium models (CGE) have been proven to be powerful tools in the assessment of economic impacts of infrastructure investments. In this project, GEMPACK-based dynamic regional CGE-models (RegFinDyn and RegSweDyn) have been used in the assessment of rail investments in Finland and in Sweden. The models are fairly standard versions of the Australian TERM model, with some exceptions regarding labor market, migration, demography and agglomeration economies. The use of these models is, however, rather expensive and requires specific skills, software and knowledge. This project tackled these contradicting needs for a complex CGE-modelling and the desired easiness and flexibility of the analysis: A freely available spreadsheet tool was developed with a streamlined interface that uses a large number of previously made CGE-model simulations as basis for the assessment. The developed twin tools were named WebRailSwe and WebRailFin. The tools are made for a quantitative, first approximation of the wider economic impacts of large rail investments in the national areas of Sweden or Finland. The wider economic impacts calculated by this tool are supplementary to the results of a standard project assessment (CBA). The tools use generalised results of RegSweDyn and RegFinDyn CGE-modelling, which could be termed as ?model of a model? approach. CGE model results are used as observations to estimate regression equations where investment shock variables are used to explain the observed deviations from the base run. The four economic indicators calculated by the tools are real GDP, real household consumption, employment and population. It has been proven that it is possible to have an accessible tool that is relatively simple to use but gives results that are based on comprehensive CGE-modelling. This can be considered a promising start for a wider consideration of advanced modelling of economic impacts in the transport sector. However, the results of this project, WebRailSwe and WebRailFin, are only applicable to railway investments, and the results are calculated and presented on a spatial resolution that is rather coarse. Further work could be done to develop similar tools for road investments and other forms of transport improvements, and to increase the spatial resolution of the tools. |
| Keywords: | CGE Analysis of Regional Economies; Transport Planning; Regional Growth Analysis |
| JEL: | R13 R42 C68 R11 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p16&r=cmp |
| By: | Yuzuru Miyata; Hiroyuki Shibusawa; Takahide Fukuda |
| Abstract: | Economic measures are advanced to environmental problems in EU nations. The economic approach imposes a constant economic load on activities negatively affecting the environment, and it is also a technique for giving a constant profit for activities conserving the environment. The whole society is expected to be environmental-friendly state by this incentive. Moreover, this method has the advantage for inventing new technologies and efficient production processes. The direct regulation is pointed out as an environmental conservation measure. However dependence on the regulatory control has the anxiety to decline the economic vitality of firms. Therefore, the economic approach that does not decrease inventiveness and the autonomy of each firm becomes important. Carbon credit can be taken as one of the economic measures for controlling global warming. The upper limits of CO2 emissions are assigned to each firm or country, and the carbon credit is defined as a credit of the volume of CO2 emissions generated by economic activities. The mechanism in which the total CO2 emission is controlled by buying and selling the carbon credit is called emission right trading. The present study focusses on the carbon credit. Although researches on environmental and economic impact by carbon credit at a country level have already been conducted, studies on such a topic in developing countries emitting large CO2 and/or a city level have hardly been found. Hence, the present study analyzes the environmental and economic impact of introduction of carbon credit in Makassar City, which is a main city in east Indonesia, by employing a computable general equilibrium (CGE) model. The reason selecting Indonesia as a study country is that CO2 emissions in Indonesia considering the swiddens and the peaty land are ranked at the third place in the world. The reason selecting Makassar City as a study region is that there is an enough forest in surroundings of Makassar City and a big amount of the CO2 forest absorption can be expected for issuing the carbon credit. Moreover, it is another reason that there is an input-output table in Makassar City, and data that is necessary to construct a computable general equilibrium model is available. In this paper, Makassar City is assumed to issue a carbon credit and sell it to other regions. Numerical simulations are implemented to analyze the environmental and economic impact of the carbon credit. The simulation results show a decrease in CO2 emissions and an increase in household utility in Makassar City by selling the carbon credit to other regions. |
| Keywords: | carbon credit; global warming; Makassar; Indonesia; CGE |
| JEL: | Q50 Q53 Q54 Q56 Q58 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p314&r=cmp |
| By: | Alexandre Porsse; Felipe Madruga |
| Abstract: | Since the 2009 financial crisis, some national governments have adopted anticyclical tax policies for recovering and economic growth. These policies can be different in terms of what type of tax incentive policy (income, labor, value added) is chosen as well if the strategy is vertical, benefiting some sectors, or horizontal, benefiting all economic sectors. In Brazil, one of the anticyclical tax policy carried out by the federal government was to reduce the value added tax named ?Imposto sobre Produtos Industrializados? (IPI) using a vertical strategy mainly benefiting the automobile sector among few others. Taking into account this recent experience, this paper aims primary to assess the efficacy of vertical versus horizontal tax incentive policies for promoting economic recovering. Additionally, the paper addresses the distributive effects of these policy strategies considering the impact on the income classes as well on the regional public finances. Considering the price effects of tax policies, the computable general equilibrium approach is the most appropriated methodological framework to achieve the objectives of this paper. We calibrated a CGE model for the Brazilian economy for 2007, recognizing the productive structure for 56 sectors and 8 types of labor segmented by income classes. This model is integrated with a public finance module specifying the government accounts for each level of government (federal, states and municipalities) as well the vertical fiscal linkages. The CGE model allow short run and long run simulations. The CGE model was used for simulating two shock scenarios. The first one represents the vertical tax policy and simulate a reduction in the IPI tax rate of the automobile sector in accordance with the average incentives over the period 2010-2013. The second one represents the horizontal tax policy and the simulation imply reductions in the IPI tax rate of all sector keeping the amount of tax revenue reduction equal to the vertical shock. These shocks were simulated for a short run closure considering the transitory nature of anticyclical policies. The simulation results show that the economic impact of vertical and horizontal tax incentives strategies are quite similar. The policy implication is that both strategies are indifferent in terms of the impact on GDP and employment. Nevertheless, the distributive impact evaluated through the effects on labor factor by income classes shows the vertical policy is more regressive than the horizontal policy. Considering the impact on the regional public finance, both policies imply reductions in the level of transfers to the regional governments due the vertical fiscal linkages of the Brazilian federalism. Despite the positive economic impact on GDP and employment, the magnitude of this effect is not so high and fiscal linkages among governments seems play an important role at least for the Brazilian economy. |
| Keywords: | tax incentives; economic and distributive impacts; CGE model |
| JEL: | H23 H25 H30 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p839&r=cmp |
| By: | Dirk Männel (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg); Andreas Bortfeldt (Faculty of Economics and Management, Otto-von-Guericke University Magdeburg) |
| Abstract: | In this paper, we extend the classical Pickup and Delivery Problem (PDP) to an integrated routing and three-dimensional loading problem, called PDP with 3D loading constraints (3L-PDP). A set of routes of minimum total length has to be determined such that each request is transported from a loading site to the corresponding unloading site. In the 3L-PDP, each request is given as a set of 3D rectangular items (boxes) and the vehicle capacity is replaced by a 3D loading space. We investigate which constraints will ensure that no reloading effort will occur, i.e. that no box is moved after loading and before unloading. A spectrum of 3L-PDP variants is introduced with different characteristics in terms of reloading effort. We propose a hybrid algorithm for solving the 3L-PDP consisting of a routing and a packing procedure. The routing procedure modifies a well-known large neighborhood search for the 1D-PDP. A tree search heuristic is responsible for packing boxes. Computational experiments were carried out using 54 newly proposed 3L-PDP benchmark instances. |
| Keywords: | Transportation, vehicle routing, pickup and delivery, 3D loading constraints |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:mag:wpaper:150015&r=cmp |
| By: | Euijune Kim; Geoffrey J.D. Hewings; Hidayat Amir |
| Abstract: | We develop a Financial Computable General Equilibrium Model (FCGE) model that can analyse the economic impacts of the infrastructure investment projects and their financing options on growth and distribution in Indonesia economy. It is possible to estimate growth and distributional effects of each project based on the financing method (government financing with tax revenues, government bond, and private financing) over the construction and operation periods if the information on the investment expenditures, the construction location and the accessibility of the project are injected into the FCGE model. The government financing with tax revenues could generate higher effects on GDP than two other financing methods regardless of projects. However, the presented values of benefits over costs are less than one for two sample highway projects, so they cannot be sustainable with regard to economic assessment. |
| Keywords: | Transportation Investment; Infrastructure Policy; Financial CGE Model |
| JEL: | C68 D58 H54 O18 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p453&r=cmp |
| By: | Eduardo Haddad; Michael Lahr; Dina Elshahawany; Moisés Vassallo |
| Abstract: | We develop an interregional computable general equilibrium model to help assess the ex ante impact of transportation infrastructure policies in Egypt. The model is integrated with a GIS network. We illustrate the analytical capabilities of the model by looking at the domestic integration of the country. Improvements of transportation costs among Egyptian governorates and of their links to the broader world economy are considered in stylized simulations. The results provide quantitative and qualitative insights (general equilibrium effects) into trade-offs commonly faced by policy makers when dealing with transportation infrastructure projects in a spatial context. In the case of Egypt, there seems to be an important trade-off between efficiency and regional equity: projects that produce potential higher impacts on national GDP also tend to contribute more to regional concentration. |
| Keywords: | transportation costs; CGE model; spatially connective infrastructure; Egypt |
| JEL: | R11 R13 R15 R42 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p159&r=cmp |
| By: | Roman Šperka (Department of Business Economics and Management, School of Business Administration, Silesian University) |
| Abstract: | The main goal of this paper is to compare the results of an agent-based and Monte Carlo simulation experiments in business process negotiation between sellers and customers of a simple trading commodity. The motivation of the presented research is to find suitable method for predicting key performance indicators of a business company. The intention is to develop a software module in the future which might help the management of business companies to support their decisions. Microeconomic demand functions were used as a core element in the negotiation. Specifically, Marshallian demand function and Cobb-Douglas utility functions is introduced. The paper firstly presents some of the principles of agent-based and Monte Carlo simulation techniques, and demand function theory. Secondly, we present a conceptual model of a business company in terms of a simulation framework. Thirdly, a formalization of demand functions and their implementation in a seller-to-customer negotiation is introduced. Lastly, we discuss some of the simulation results in one year of selling commodities. The results obtained show that agent-based method is more suitable than Monte Carlo in the presented domain, and the demand functions could be used to predict the trading results of a company in some metrics. |
| Keywords: | simulation, agent-based, Monte Carlo, trading, price negotiation, commodity, key performance indicators. |
| JEL: | C63 C99 L21 M21 |
| Date: | 2015–10–22 |
| URL: | http://d.repec.org/n?u=RePEc:opa:wpaper:0019&r=cmp |
| By: | Yuzuru Miyata; Hiroyuki Shibusawa; Tomoaki Fujii |
| Abstract: | In this paper, we explore the economic impact of promotion and realization of an electric vehicle society (EVS) in Toyohashi City in Japan. More concretely, this paper emphasizes a computable general equilibrium (CGE) modeling approach to evaluate the following issues: economic impacts of subsidies for promotion of an EVS, economic impacts of carbon tax for reducing CO2, industrial structure change towards an EVS, and modal shift occurring towards an EVS. Our simulation results demonstrate that after applying 5 ~ 25% up subsidies to five industries including electric vehicle (EV) manufacturing, EV transport, solar power, cogeneration and other transport, the total industrial output and city GDP increase. A large growth rate is found in industries where subsidies are introduced, but non-ferrous metal industry also grows without subsidies due a repercussion effect. Moreover, it is interesting that decreasing proportions are found in oil and coal product, mining, heat supply and gasoline vehicle (GV) transport industries. However the total CO2 emission in Toyohashi City is increased being interpreted as a rebound effect. All the commodity prices decrease since subsidies are given to some industries. Hence Toyohashi CityÂfs economy shows a direction where the demand for conventional vehicles and energy use are decreased, conversely, the demand for EVs and renewable energy are increased illustrating a different life style from the current one. Regarding CO2 emissions, we introduced a carbon tax of 1,000 yen/t-CO2 for industries except the five industries mentioned above. As a result the total CO2 emission is decreased and the equivalent variation shows a positive value as compared with the base case. Thus introducing 5 ~ 25% subsidies and the carbon tax can really represent a realistic alternative society to EVS in Toyohashi City. |
| Keywords: | CGE model; electric vehicle; carbon tax; solar power; Toyohashi City |
| JEL: | Q00 Q01 Q50 Q51 Q53 Q55 |
| Date: | 2015–10 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwrsa:ersa15p319&r=cmp |