nep-cmp New Economics Papers
on Computational Economics
Issue of 2016‒07‒02
eight papers chosen by
Stan Miles
Thompson Rivers University

  1. Analysis of stochastic technical trading algorithms By Höchstötter, Markus; Safarian, Mher M.; Krumetsadik, Anna
  2. Job placement agencies in an agent-based model of the local labor market with the long-term unemployed and on-the-job flows By Wozniak, Marcin
  3. The Development of Fiscal Social Accounting Matrix for Indonesia By Hidayat Amir; Ferry Irawan; Djoni Hartono; Anda Nugroho
  4. Price formation on a housing market and spatial income segregation By Marco Pangallo; Jean Pierre Nadal; Annick Vignes
  5. Water distribution network design optimisation with respect to reliability By JANSSENS, Jochen; DE CORTE, Annelies; SÖRENSEN, Kenneth
  6. Modelling the potential impacts of economic reform in a partnership between Australia and China By Paul Gretton
  7. Using String Invariants for Prediction Searching for Optimal Parameters By Marek Bundzel; Tomas Kasanicky; Richard Pincak
  8. News versus Sentiment : Predicting Stock Returns from News Stories By Heston, Steven L.; Sinha, Nitish R.

  1. By: Höchstötter, Markus; Safarian, Mher M.; Krumetsadik, Anna
    Abstract: We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of fixed thresholds for up- and downmovements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the improved Brodsky-Darkovsky technique not only outperforms the passive investment in the DAX but also the other three presented algorithms.
    Keywords: CUSUM,Girshick-Rubin,Graversen-Peskir-Shiryaev,Brodsky-Darkovsky,trading algorithm,DAX
    Date: 2016
  2. By: Wozniak, Marcin
    Abstract: In this paper, an agent-based search model of the labor market with heterogeneous agents and an on-the-job search is developed, i.e. the long-term unemployed and other job seekers compete for vacancies which differ in skills demands and in the sector of the economy. Job placement agencies help both types of unemployed persons find the proper vacant job by improving their search effectiveness and by sharing leveraged job advertisements. The agents' interactions take place in an artificial world drawn from labor market search theory. Six global model parameters were calibrated with the Latin hypercube sampling technique for one of the largest urban areas in Poland. To investigate the impact of parameters on model output, two global sensitivity analysis methods were used, i.e. Morris screening and Sobol indices. The results show that both programs considerably influence unemployment and long-term unemployment ratios as well as the level of wages, duration of unemployment, skills demand and worker turnover. Moreover, strong cross-effects were detected: programs aimed at one group of job seekers affect other job seekers and the whole economy. This impact is sometimes positive and sometimes it is negative.
    Keywords: agent-based search model,skills heterogeneity,on-the-job search,ALMP evaluation,sensitivity analysis
    JEL: C63 C69 J48 J63 J64
    Date: 2016
  3. By: Hidayat Amir; Ferry Irawan; Djoni Hartono; Anda Nugroho (Fiscal Policy Agency (BKF))
    Abstract: The Social Accounting Matrix (SAM), is a matrix to represent the transaction in a socio-economic system. It provides a comprehensive description of an economy with emphasis on social and distributive aspects. It describes the economic flows: income generation by production activities, income distribution, and the redistribution between economic agents. The SAM framework provides a useful tool for various policy analysis such as income distribution analysis and incidence studies. BPS-Statistics Indonesia develops SAM as a complementary of Input-Output Table in every five year. However, the standard SAM only offers a limited set of fiscal instruments. Fiscal policy instruments are important tools in policy analysis for government institutions, namely Fiscal Policy Agency (Badan Kebijakan Fiskal/BKF). BKF is a unit within the Indonesian Ministry of Finance that has the responsibility in the fiscal policy formulation. The purpose of this study is to develop the Fiscal SAM (FiSAM) for the year of 2008. The FiSAM features a more detail fiscal instrument of SAM framework. It captures the government’s indirect tax revenue and government’s transfer. The government’s indirect tax is disaggregated into more detail categories: value added taxes (VAT), sales taxes for luxury items, excises, import tax, property tax, stamp duty, and others (including local taxes). While the government’s transfer is disaggregated into: subsidy for poor students, food subsidy for the poor, conditional cash transfer, and other government’s transfer. With these extensions, the FiSAM has more capability to capture a wide range analysis of fiscal policies more precisely. The FiSAM may also serves as data for further development of Computable General Equilibrium (CGE) models.
    Keywords: Fiscal, Social Accounting Matrix, BKF, Indonesia
    JEL: H20 E16
    Date: 2015–10
  4. By: Marco Pangallo; Jean Pierre Nadal; Annick Vignes
    Abstract: The price formation in Non-Walrasian markets is notoriously an open problem. Here we focus on urban housing markets, where the mismatch between supply and demand has important consequences in terms of social welfare. We propose a simple Agent-Based Model (ABM) that explicitly reproduces the market mechanism and which is specifically suited to study issues related to spatial income segregation. We first find the analytical solution of the ABM in some specific cases, shedding light on the structure of the model and on the effect of the parameters. We then simulate the fully-fledged ABM and find that: (i) the market mechanism easily implies income segregation; (ii) an increase of the demand in one part of the city can potentially increase the prices all over the city (in qualitative agreement with the data); (iii) subsidies are more efficient than taxes in mitigating income segregation. These non-trivial results provide an example of the kind of insights that can be gained if one considers bounded rationality, heterogeneity and the potential lack of (Walrasian) equilibrium, as it would have been much less natural to address these issues under more standard assumptions.
    Date: 2016–06
  5. By: JANSSENS, Jochen; DE CORTE, Annelies; SÖRENSEN, Kenneth
    Abstract: In this paper, two approaches for distribution network design optimisation that take into account reliability at critical nodes in the network, are presented. An exact solution method is compared with an adaptive large neighbourhood search solution technique. Both procedures are tested on a set of realistic test instances, and compared on computational time and objective value.
    Keywords: Network design, Network security, Metaheuristics, Adaptive large neighbourhood search (ALNS)
    Date: 2016–05
  6. By: Paul Gretton (EABER)
    Abstract: Effective economic reform agendas provide a means for promoting national economic growth, raising living standards and adapting to changes in trading conditions, new technologies and ways of working. Taking as a focus the Australia-China economic relationship, the GTAP model of the global economy is used to project the implications for Australia and China of preferential, unilateral and broader approaches to trade liberalisation, a broad agenda for reform across the services sector and financial market reform. The simulations show that reform strategies based on non-discriminatory trade liberalization and broadly-based concerted domestic reforms are likely to deliver substantive economic benefits and contribute to growth. Agendas that are restrictive, either through preferential deals between trading partners or through a narrow sectoral focus domestically are likely to constrain gains below levels that would otherwise be attainable.
    JEL: F1 F3 F4 O4 O5
    Date: 2016–06
  7. By: Marek Bundzel; Tomas Kasanicky; Richard Pincak
    Abstract: We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance. We have implemented an evolutionary algorithm for the parametric optimization. We have tested the performance of the method on artificial and real world data and compared the performance to statistical methods and to a number of artificial intelligence methods. We have used data and the results of a prediction competition as a benchmark. The results show that the method performs well in single step prediction but the methods performance for multiple step prediction needs to be improved. The method works well for a wide range of parameters.
    Date: 2016–06
  8. By: Heston, Steven L.; Sinha, Nitish R.
    Abstract: This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news, however, predicts stock returns for one quarter. Positive news stories increase stock returns quickly, but negative stories have a long delayed reaction. Much of the delayed response to news occurs around the subsequent earnings announcement.
    Keywords: News ; Text Analysis
    JEL: G12 G14
    Date: 2016–06

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