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on Computational Economics |
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Issue of 2017‒09‒17
nine papers chosen by |
| By: | Matteo Morini (ENS Lyon - École normale supérieure - Lyon, DANTE - Dynamic Networks : Temporal and Structural Capture Approach - Inria Grenoble - Rhône-Alpes - Inria - Institut National de Recherche en Informatique et en Automatique - LIP - Laboratoire de l'Informatique du Parallélisme - ENS Lyon - École normale supérieure - Lyon - UCBL - Université Claude Bernard Lyon 1 - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lyon - CNRS - Centre National de la Recherche Scientifique - IXXI - Institut Rhône-Alpin des systèmes complexes - ENS Lyon - École normale supérieure - Lyon - UJF - Université Joseph Fourier - Grenoble 1 - UCBL - Université Claude Bernard Lyon 1 - INSA Lyon - Institut National des Sciences Appliquées Lyon - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lyon - CNRS - Centre National de la Recherche Scientifique, ESOMAS - Department of Economics and Statistics - UNITO - Università degli studi di Torino, IXXI - Institut Rhône-Alpin des systèmes complexes - ENS Lyon - École normale supérieure - Lyon - UJF - Université Joseph Fourier - Grenoble 1 - UCBL - Université Claude Bernard Lyon 1 - INSA Lyon - Institut National des Sciences Appliquées Lyon - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lyon - CNRS - Centre National de la Recherche Scientifique, LIP - Laboratoire de l'Informatique du Parallélisme - ENS Lyon - École normale supérieure - Lyon - UCBL - Université Claude Bernard Lyon 1 - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lyon - CNRS - Centre National de la Recherche Scientifique); Pellegrino Simone (ESOMAS - Department of Economics and Statistics - UNITO - Università degli studi di Torino) |
| Abstract: | Given a settled reduction in the present level of tax revenue, and by exploring a very large combinatorial space of tax structures, in this paper we employ a genetic algorithm in order to determine the 'best' structure of a real world personal income tax that allows for the maximisation of the redistributive effect of the tax, while preventing all taxpayers being worse off than with the present tax structure. We take Italy as a case study. |
| Keywords: | Tax reforms,Reynolds–Smolensky index,Micro-simulation models,Personal income taxation,Genetic algorithms |
| Date: | 2016–08–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-01388958&r=cmp |
| By: | Tomas Klinger; Petr Teply |
| Abstract: | The 2007-2009 financial crisis highlighted the vulnerabilities in the global banking system and shifted research focus to the study of systemic risk. Network theory and agent-based simulation have been used to investigate complex banking systems that would be difficult to model analytically. Nevertheless, the difficulty of obtaining accurate data, as well as the computational complexity of running such models, are limiting their ability to capture the complexities that are emerging in real-world scenarios. In this paper, we use an agent-based simulation combined with innovative calibration techniques in order to model the European banking system as accurately as possible. We extend the existing network approach by adding the ability to model banks of different sizes as well as the detailed connections of individual banks across countries. Our model consists of 286 banks in 9 European countries. We believe that the experiments in this model provide valuable insights into systemic risk within the European banking system as well as useful guidelines for creating new policies. |
| Keywords: | agent-based models; bank, contagion; network models; systemic risk |
| JEL: | C63 D85 G21 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:cer:papers:wp602&r=cmp |
| By: | Giovanni Dosi; Andrea Roventini |
| Abstract: | In this work, we discuss how the rich academic milieu left by different Italian political economy traditions after WWII paved the way to the development of a new generation of macroeconomic agent-based models. The K+S (Dosi et al., 2010, 2016a), CATS (Delli Gatti et al., 2005, 2011) and EURACE (Cincotti et al., 2010; Teglio et al., 2012) families of agent- based models are at the frontier of an alternative macroeconomic research paradigm which considers the economy as a complex evolving system. The three families of models are presented in details and their empirical performance and policy exercises discussed. |
| Keywords: | Agent-Based Macroeconomics, Classical Political Economy, Macrodynamics, Complexity Theory, L. L. Pasinetti, P. Sylos Labini |
| Date: | 2017–09–09 |
| URL: | http://d.repec.org/n?u=RePEc:ssa:lemwps:2017/19&r=cmp |
| By: | Guosheng Hu; Yuxin Hu; Kai Yang; Zehao Yu; Flood Sung; Zhihong Zhang; Fei Xie; Jianguo Liu; Neil Robertson; Timothy Hospedales; Qiangwei Miemie |
| Abstract: | We propose a novel investment decision strategy based on deep learning. Many conventional algorithmic strategies are based on raw time-series analysis of historical prices. In contrast many human traders make decisions based on visually observing candlestick charts of prices. Our key idea is to endow an algorithmic strategy with the ability to make decisions with a similar kind of visual cues used by human traders. To this end we apply Convolutional AutoEncoder (CAE) to learn an asset representation based on visual inspection of the asset's trading history. Based on this representation we propose a novel portfolio construction strategy by: (i) using the deep learned representation and modularity optimisation to cluster stocks and identify diverse sectors, (ii) picking stocks within each cluster according to their Sharpe ratio. Overall this strategy provides low-risk high-return portfolios. We use the Financial Times Stock Exchange 100 Index (FTSE 100) data for evaluation. Results show our portfolio outperforms FTSE 100 index and many well known funds in terms of total return in 2000 trading days. |
| Date: | 2017–09 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1709.03803&r=cmp |
| By: | Pierre Boulanger (European Commission – JRC); Hasan Dudu (European Commission – JRC); Emanuele Ferrari (European Commission – JRC); Mainar Causape Alfredo (European Commission – JRC); Ilaria Proietti (European Commission – JRC) |
| Abstract: | Food security remains a key challenge in many Sub-Saharan African countries and in Kenya in particular. Kenya addresses this concern with a noteworthy policy mix, aiming at giving to the agricultural sector a leading task in improving food security. In this paper, through a Computable General Equilibrium (CGE) model specifically modified for the context of developing country analyses, we address the impacts of the construction of a new fertilizer plant on the agricultural sector and the rest of the economy. For the purpose of the study, a desegregated version of a 2014 Social Accounting Matrix (SAM) has been developed. Results suggests that increasing domestic production of fertilizers do not fully achieve the objectives of reducing rural poverty and increasing agricultural production without complementary policies that help small-holder farmers to overcome the backward technology trap and give them better access to input and output markets. |
| Keywords: | Kenya CGE Food security |
| JEL: | C68 Q18 N57 |
| Date: | 2017–08 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc104685&r=cmp |
| By: | Nicola Curci (Bank of Italy); Marco Savegnago (Bank of Italy); Marika Cioffi (Bank of Italy) |
| Abstract: | The paper presents BIMic, a static and non-behavioural microsimulation model developed at the Bank of Italy. BIMic reproduces the main features of the Italian tax and benefit system, such as social security contributions, personal income tax, property taxes, family allowances and some other social benefits. It aims to evaluate the budgetary impact and distributive effects of tax-benefit programmes. Such programmes may be actually operating at a given point in time or may be a counterfactual set. To illustrate a potential use of BIMic, this paper discusses the distributive impact of a recently approved legislative innovation regarding the additional transfer to pensioners (known as the quattordicesima ai pensionati). |
| Keywords: | fiscal policy, tax-benefit, microsimulation model, redistribution, progressivity |
| JEL: | H22 H23 H31 C15 C63 |
| Date: | 2017–09 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_394_17&r=cmp |
| By: | Martina Sartori; Davide Geneletti; Stefano Schiavo; Rocco Scolozzi |
| Abstract: | This paper assesses the structural, joint implications of climate and land-use change on agriculture in the European Union, by means of a computable general equilibrium model of the world economy. The counterfactual simulations are conducted at the year 2050 under the second Shared Socioeconomic Pathway. We find that climate and land-use change are likely to affect agricultural systems very differently across Europe. Northern countries are expected to benefit from climate change impacts, whereas other areas in Europe will suffer negative consequences in terms of reduced agricultural output, real income and welfare. The most vulnerable region is not made of Mediterranean countries, but rather Central Europe. Our results suggest that climate and land-use changes may exacerbate existing disparities within the EU. Therefore, appropriate adaptation strategies and a more flexible land-use are required to limit these negative consequences and possibly exploit the beneficial effects of climate change in some countries. |
| Keywords: | agricultural productivity shock, climate change, land-use change, general equilibrium analysis. |
| JEL: | C68 Q11 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:bcu:iefewp:iefewp98&r=cmp |
| By: | Olivier Goudet (SMA - Systèmes Multi-Agents - LIP6 - Laboratoire d'Informatique de Paris 6 - CNRS - Centre National de la Recherche Scientifique - UPMC - Université Pierre et Marie Curie - Paris 6); Jean-Daniel Kant (SMA - Systèmes Multi-Agents - LIP6 - Laboratoire d'Informatique de Paris 6 - CNRS - Centre National de la Recherche Scientifique - UPMC - Université Pierre et Marie Curie - Paris 6); Gérard Ballot (CRED - Centre de Recherches en Economie et Droit - UP2 - Université Panthéon-Assas - M.E.N.E.S.R. - Ministère de l'Éducation nationale, de l’Enseignement supérieur et de la Recherche) |
| Abstract: | This paper presents an agent-based model of the labor market. It simulates the market in the recent period at the aggregate level and at the level of the principal categories of labor, on the basis of the decisions of heterogeneous agents, firms and individuals, who interact. These decisions rely on individual computations of profits and utilities, although rationality is bounded in such a complex environment. The theoretical structure that underlies the decisions is the search concept. We apply this framework to the case of France in 2011. The model is at a scale of 1/4700. It is fairly detailed on the institutions of the labor market that constrain the agents' decisions. Finally it is calibrated by a powerful algorithm to reproduce a large number of variables of interest. The calibrated model presents a consistent accounting system of the gross flows of the individuals between the main states, employment, distinguishing open ended contracts and fixed duration contracts, unemployment and inactivity. The simulation of the gross flows accounts enables us to analyze the patterns of mobility in a way that the observed statistics on gross flows, which are partial, cannot do. The model then characterizes the nature of the labor market under study, reproducing the high proportion of the fixed duration contracts in the hiring flows, and it points to a dualism of the French labor market. |
| Keywords: | simulation,labor market,segmentation,agent-based model |
| Date: | 2016–07–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-01510768&r=cmp |
| By: | Sinitskaya, Ekaterina; Tesfatsion, Leigh |
| Abstract: | Real-world decision-makers are forced to be locally constructive; that is, their decisions are necessarily constrained by their interaction networks, information, beliefs, and physical states. This study transforms an otherwise standard dynamic macroeconomic model into an open-ended dynamic game by requiring consumers and firms with intertemporal utility and profit objectives to be locally constructive. Tested locally-constructive decision processes for the consumers and firms range from simple reactive reinforcement learning to adaptive dynamic programming (ADP). Computational experiments are used to explore macroeconomic performance under alternative decision-process combinations relative to a social planner benchmark solution. A key finding is that simpler decision processes can outperform more sophisticated decision processes such as ADP. However, memory length permitting some degree of adaptive foresight is critical for good performance.;Note: Accepted for publication, Journal of Economic Dynamics and Control, September, 2015 |
| Date: | 2015–09–20 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genstf:201509200700001008&r=cmp |