nep-cmp New Economics Papers
on Computational Economics
Issue of 2015‒12‒01
ten papers chosen by

  1. A General Equilibrium Approach of Retail Payments By Tamás Ilyés; Lóránt Varga
  2. Inequality, Financialisation and economic crises : an agent-based model By Alberto Cardacci; Francesco Saraceno
  3. A Discontinuity Model of Technological Change: Catastrophe Theory and Network Structure By Heinrich, Torsten
  4. The Labour Module in a dynamic, regional CGE model By Glyn Wittwer; Janine Dixon
  5. Dealing with farm heterogeneity on modeling agricultural policy: An Agent Based Modeling Approach By Dimitris Kremmydas; Stelios Rozakis; Ioannis N. Athanasiadis
  6. Estimating Discrete-Continuous Choice Models: The Endogenous Grid Method with Taste Shocks By Fedor Iskhakov; Thomas Høgholm Jørgensen; John Rust; Bertel Schjerning
  7. Contemplation vs. Intuition. A reinforcement learning approach By CHO, IN-KOO; Rubinchik, Anna
  8. An Application of Correlation Clustering to Portfolio Diversification By Hannah Cheng Juan Zhan; William Rea; Alethea Rea
  9. Comparing orders, rankings, queues, tournaments and lists By Can B.; Storcken A.J.A.
  10. Aspetti di efficacia per la formazione di un sistema di trasporto e di controllo di processo nel settore delle macro costruzioni secondo il Supply Chain Management-SCM By Ferrarese, Moreno; Sychev, Sergey A.; Badin, Gennady M.

  1. By: Tamás Ilyés (Magyar Nemzeti Bank (Central Bank of Hungary)); Lóránt Varga (Magyar Nemzeti Bank (Central Bank of Hungary))
    Abstract: In our paper, we introduce the Hungarian Payment System Model (HUPS), a computable general equilibrium model with detailed payment services which can be used for policy evaluation and forecast. In the last years, several studies investigated different aspects of payment systems and some papers used equilibrium theory to study a specific segment or question of retail payments. In our paper, we take a step forward as we extend this research using the general equilibrium approach. The HUPS model is a large and highly disaggregated computable general equilibrium model with 25 economic agents and nearly 100 payment services, which cover most of the payment system supply chain in Hungary. It contains 7 types of costs for each payment service, varying degree of economies of scale, oligopoly and cross-product pricing and agent behaviour adjustments to payment method costs. In our model, the payment sector is an integrated part of the economy as every actor has to make payment decisions related to its activities. As a result, the model can be used for thorough economic evaluation of many kinds of policies and other changes in the field of retail payments. The HUPS model is calibrated on the large and up-to-date information base of Hungarian payment statistics, surveys and studies – most notably the Hungarian cost of payments study – which makes it a powerful and robust modelling and forecasting tool.
    Keywords: payment economics, CGE modelling, retail payments, cost of payments.
    JEL: C68 E27 E42
    Date: 2015
  2. By: Alberto Cardacci (Lombardy Advanced School of Economics Milan); Francesco Saraceno (OFCE)
    Abstract: By means of a macroeconomic model with an agent-based household sector and a stockflow consistent structure, we analyse the im-pact of rising income inequality on the likelihood of a crisis for different institutional settings. In particular, we study how economic crises emerge in the presence of different credit conditions and policy reactions to rising income disparities. Our simulations show the relevance of the degree of financialisation of an economy. In fact, when inequality grows, a Scylla and Charybdis kind of dilemma seems to arise: on the one hand, low credit availability implies a drop in aggregate demand and output; on the other hand, relaxed credit constraints and a higher willingness to lend result in greater financial instability and a debt-driven boom and bust cycle. We also point out that policy reactions play a key role: a real structural reform that tackles inequality, by means of a more progressive tax system, actually compensates for the rise in income disparities thereby stabilising the economy. Results also show that this is a better solution compared to a stronger fiscalpolicy reaction, which, instead, only leads to a larger duration of the boom and bust cycle.
    Keywords: Inequality; Household debt; Credit markets; Agent-based models; Stock-flow consistency
    JEL: C63 D31 E21 E62 G1
    Date: 2015–11
  3. By: Heinrich, Torsten
    Abstract: Discontinuities as a crucial aspect of economic systems have been discussed both verbally - particularly in institutionalist theory - and formally, chiefly using catastrophe theory. Catastrophe theory has, however, been criticized heavily for lacking micro-foundations and has mainly fallen out of use in economics and social sciences. The present paper proposes a simple catastrophe theory model of technological change with network externalities and reevaluates the value of such a model by adding an agent-based micro layer. To this end an agent-based variant of the model is proposed and investigated specifically with regard to the network structure among the agents. While the macro level of the model produces a classical cusp catastrophe - a result that is preserved in the agent-based form - it is found that the behavior of the model changes locally depending on the network structure, especially if networks with features that resemble social networks (low diameter, high clustering, power law distributed node degree) are considered. While the present work investigates merely an aspect out of a large possibility space, it encourages further research using agent-based catastrophe theory models especially of economic aspects to which catastrophe theory has previously successfully been applied; aspects such as technological and institutional change, economic crises, or industry structure.
    Keywords: network structures; agent-based modeling; catastrophe theory; information and communication technology; preferential attachment networks; technological change
    JEL: C63 D85 L14 L86
    Date: 2015–02–26
  4. By: Glyn Wittwer; Janine Dixon
    Abstract: The NSW Department of Industry commissioned CGE model development in order to enhance regional labour market analysis. The Centre of Policy Studies has developed VUEF (Victoria University Employment Forecasting), a dynamic model used in labour market forecasting. VUEF is a national dynamic model. It includes regional detail, but this is limited to a top-down module in which regions do not have separate labour markets and production functions. Rather, it relies on exogenous regional shares to distribute national results to each region. Dynamic TERM (The Enormous Regional Model), with multi-regional bottom-up representation, has been used for policy analysis at the regional level at the Centre of Policy Studies since 2003. Until now, it has not been used to examine occupational or skills composition in the labour market. We have adapted the recently developed VUEF labour market module for use in dynamic TERM. This paper elaborates on the regional labour market module, with minimal details of the linkages with the core TERM model. The labour market module has been developed as a standalone model for training purposes. In practice, it is likely that the fully dynamic TERM model with the labour market module will be used for analysis. This paper also includes some guidance concerning the use of RunDynam.
    Keywords: skills shortages, occupational forecasting, regional modelling, RunDynam
    JEL: R13 R15 R23 P25 P48
    Date: 2015–11
  5. By: Dimitris Kremmydas (Department of Agricultural Economics and Rural Development, Agricultural University of Athens); Stelios Rozakis (Department of Agricultural Economics and Rural Development, Agricultural University of Athens); Ioannis N. Athanasiadis (Electrical and Computer Engineering Dept. of Democritus University of Thrace, in Xanthi, Greece)
    Abstract: The Common Agricultural Policy (CAP) has been gradually transformed from directly supporting prices and production to a decoupled scheme, where farmers receive a payment per hectare regardless of their production decisions. Within this framework and given the multitude of CAP's objectives, ranging from market competiveness to multifunctionality of agriculture, the inclusion of the heterogeneity of farms on modeling CAP will continuously arise in the immediate future as a key research question. In this paper we make a brief discussion of the aspects of farm heterogeneity within the agricultural policy modeling context and we show that Agent Based Modeling approach, coupled with Object Oriented System Analysis, is a very good alternative for considering all aspects of diversity of farms. Finally we present Agroscape, a flexible ABM Agricultural Policy Framework that can easily incorporates both behavioral and capacity heterogeneity presenting a proof-of-concept case study
    Keywords: Agricultural Policy, Agent Based Modeling, Object Oriented System analysis, Farm heterogeneity
    JEL: Q12 Q18 C63
    Date: 2015
  6. By: Fedor Iskhakov (ARC Centre of Excellence in Population Ageing Research, University New South Wales); Thomas Høgholm Jørgensen (Department of Economics, University of Copenhagen); John Rust (Department of Economics, Georgetown University); Bertel Schjerning (Department of Economics, University of Copenhagen)
    Abstract: We present a fast and accurate computational method for solving and estimating a class of dynamic programming models with discrete and continuous choice variables. The solution method we develop for structural estimation extends the endogenous gridpoint method (EGM) to discrete-continuous (DC) problems. Discrete choices can lead to kinks in the value functions and discontinuities in the optimal policy rules, greatly complicating the solution of the model. We show how these problems are ameliorated in the presence of additive choice-specic IID extreme value taste shocks. We present Monte Carlo experiments that demonstrate the reliability and eciency of the DC-EGM and the associated Maximum Likelihood estimator for structural estimation of a life cycle model of consumption with discrete retirement decisions.
    Keywords: Structural estimation, lifecycle model, discrete and continuous choice, retirement choice, endogenous gridpoint method, nested xed point algorithm, extreme value taste shocks, smoothed max function.
    JEL: C13 C63 D91
    Date: 2015–11–27
  7. By: CHO, IN-KOO (Department of Economics, University of Illinois, USA); Rubinchik, Anna (Department of Economics, University of Haifa)
    Abstract: In a search for a positive model of decision-making with observable primitives, we rely on the burgeoning literature in cognitive neuroscience to construct a three-element machine (agent). Its control unit initiates either impulsive or cognitive element to solve a problem in a stationary Markov environment, the element "chosen" depends on whether the problem is mundane or novel, memory of past successes and the strength of inhibition. Our predictions are based on a stationary asymptotic distribution of the memory, which, depending on the parameters, can generate different "characters", e.g., an uptight dimwit, who could succeed more often with less inhibition, as well as a relaxed wise-guy, who could gain more with a stronger inhibition of impulsive (intuitive) responses. As one would expect, stronger inhibition and lower cognitive costs increase the frequency of decisions made by the cognitive element. More surprisingly, increasing the "carrot" and reducing the "stick" (being in a more supportive environment) enhances contemplative decisions (made by the cognitive unit) for an alert agent, i.e., the one who identifies novel problems frequently enough.
    Keywords: the two-system decision-making, executive control, inhibition, adaptive learning, stochastic approximation
    JEL: D01
  8. By: Hannah Cheng Juan Zhan; William Rea; Alethea Rea
    Abstract: This paper presents a novel application of a clustering algorithm developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the correlation matrix using a Neighbor-Net network and using the circular ordering produced during the construction of the network we can reduce the risk of a diversified portfolio compared with random or industry group based selection methods in times of market increase.
    Date: 2015–11
  9. By: Can B.; Storcken A.J.A. (GSBE)
    Abstract: We study measures on orders that are based on the swaps needed to convert one order into the other. Two classes of of such measures are characterized. In one class, the necessary swaps between orders are weighted by their positions in the orders. In the other class, these swaps are weighted by the alternatives involved in these swaps. The results are realized by means of the betweenness condition and several other natural or well-known derivates. As the axioms are formulated on abstract domains of orders, they apply to all well-known sets of orderings. Asa by-product we also show some logical dependencies in the well established characterization result of Kemeny 1959.
    Keywords: Computational Techniques; Simulation Modeling; Social Choice; Clubs; Committees; Associations; Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior; Conflict; Conflict Resolution; Alliances;
    JEL: C63 D71 D72 D74
    Date: 2015
  10. By: Ferrarese, Moreno; Sychev, Sergey A.; Badin, Gennady M.
    Abstract: The construction sector and the construction yards will have to adapt changes in order to survive, and incorporating and applying production and new organizational techniques from other more advanced sectors such as transport and logistics management. So, construction companies are optimizing their costs through application of lean production - lean construction - and a careful revision of the supply chain from the construction site. The supply chains in construction could be divided into two major groups as materials chain and the construction chain, which would help to separate the procurement and management operations. In this context it should read this study: the need to reduce yards costs and time with a reduction of pollutants from whole construction site, to make the construction sector more competitive in the world scenario. Finally, this paper seeks to introduce, according to the Decision Science, a new optimizing supply chain computational model for the yards construction sector.
    Date: 2015

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