nep-hme New Economics Papers
on Heterodox Microeconomics
Issue of 2022‒09‒26
sixteen papers chosen by
Carlo D’Ippoliti
Università degli Studi di Roma “La Sapienza”

  1. Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model By Kang Gao; Perukrishnen Vytelingum; Stephen Weston; Wayne Luk; Ce Guo
  2. High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach By Kang Gao; Perukrishnen Vytelingum; Stephen Weston; Wayne Luk; Ce Guo
  3. Экономика как сложная система: В поисках новой парадигмы By Леиашвили, Паата
  4. Strategic sectors and essential jobs: a new taxonomy based on employment multipliers By Lorenzo Cresti; Maria Enrica Virgillito
  5. A possibilist justification of the ontology of counterfactuals and forecasted states of economies in economic modelling By Imko Meyenburg
  6. Identifying Dominant Industrial Sectors in Market States of the S&P 500 Financial Data By Tobias Wand; Martin He{\ss}ler; Oliver Kamps
  7. Cuidados y vulnerabilidad financiera: un análisis a partir de la Encuesta Nacional de Endeudamiento y Cuidados (ENEC) en la Argentina By Tumini, Lucía; Wilkis, Ariel
  8. Community currency systems: Basic income, credit clearing, and reserve-backed. Models and design principles By Criscione, Teodoro; Guterman, Eve; Avanzo, Sowuelu; Linares, Julio
  9. Nietzsche and Fractal Geometry: a philosophical continuity By Leandro Gualario
  10. The effect of gender norms on gender-based sorting across occupations By Marcén, Miriam; Morales, Marina
  11. A Descriptive Method of Firm Size Transition Dynamics Using Markov Chain By Boyang You; Kerry Papps
  12. Descentrar el producto interno bruto (PIB): bienestar, cuidados y tiempo By Vaca-Trigo, Iliana; Baron, Camila
  13. El valor de las actividades de reproducción social desde una perspectiva de género: el sector de limpieza como un sector subalternizado By Videla, Karen Daiana
  14. Market Power of Digital Platforms By Jens-Uwe Franck; Martin Peitz
  15. Guidebook for applying the Socio-Technical Configuration Analysis method By Johan Miörner; Bernhard Truffer; Christian Binz; Jonas Heiberg; Xiao-Shan Yap
  16. Wie (un)moralisch ist Agrarspekulation? By Pies, Ingo

  1. By: Kang Gao; Perukrishnen Vytelingum; Stephen Weston; Wayne Luk; Ce Guo
    Abstract: This article presents XGB-Chiarella, a powerful new approach for deploying agent-based models to generate realistic intra-day artificial financial price data. This approach is based on agent-based models, calibrated by XGBoost machine learning surrogate. Following the Extended Chiarella model, three types of trading agents are introduced in this agent-based model: fundamental traders, momentum traders, and noise traders. In particular, XGB-Chiarella focuses on configuring the simulation to accurately reflect real market behaviours. Instead of using the original Expectation-Maximisation algorithm for parameter estimation, the agent-based Extended Chiarella model is calibrated using XGBoost machine learning surrogate. It is shown that the machine learning surrogate learned in the proposed method is an accurate proxy of the true agent-based market simulation. The proposed calibration method is superior to the original Expectation-Maximisation parameter estimation in terms of the distance between historical and simulated stylised facts. With the same underlying model, the proposed methodology is capable of generating realistic price time series in various stocks listed at three different exchanges, which indicates the universality of intra-day price formation process. For the time scale (minutes) chosen in this paper, one agent per category is shown to be sufficient to capture the intra-day price formation process. The proposed XGB-Chiarella approach provides insights that the price formation process is comprised of the interactions between momentum traders, fundamental traders, and noise traders. It can also be used to enhance risk management by practitioners.
    Date: 2022–08
  2. By: Kang Gao; Perukrishnen Vytelingum; Stephen Weston; Wayne Luk; Ce Guo
    Abstract: This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic millisecond-level financial price time series for the E-Mini S&P 500 futures market. Specifically, a microstructure model of a single security traded on a central limit order book is provided, where different types of traders follow different behavioural rules. The model is calibrated using the machine learning surrogate modelling approach. Statistical test and moment coverage ratio results show that the model has excellent capability of reproducing realistic stylised facts in financial markets. By introducing an institutional trader that mimics the real-world Sell Algorithm on May 6th, 2010, the proposed high-frequency agent-based financial market simulator is used to simulate the Flash Crash that took place that day. We scrutinise the market dynamics during the simulated flash crash and show that the simulated dynamics are consistent with what happened in historical flash crash scenarios. With the help of Monte Carlo simulations, we discover functional relationships between the amplitude of the simulated 2010 Flash Crash and three conditions: the percentage of volume of the Sell Algorithm, the market maker inventory limit, and the trading frequency of fundamental traders. Similar analyses are carried out for mini flash crash events. An innovative "Spiking Trader" is introduced to the model, aiming at precipitating mini flash crash events. We analyse the market dynamics during the course of a typical simulated mini flash crash event and study the conditions affecting its characteristics. The proposed model can be used for testing resiliency and robustness of trading algorithms and providing advice for policymakers.
    Date: 2022–08
  3. By: Леиашвили, Паата
    Abstract: On the basis of a dialectical analysis of expedient activity, a decentralized economy is presented as a complex non-linear system organized according to a network principle, like many other systems of animate and inanimate nature. In such an economy, the general laws of the universe, which are studied by synergetics, are manifested in a specific form. This allows us to see many well-known economic phenomena in an unusual light and to discover in them what cannot be detected by standard methods of orthodox theory. The monograph presents a system of concepts, on the basis of which a fundamentally new interpretation of how the market economy functions and how it evolves from its inception to the present is given. It is shown that behind the external chaos of economic life hiding surprisingly ordered, symmetrical, deep structures that provide self-regulation of competitive market economy. Like all living systems, the economy evolves, resulting in the monopolization and financialization of the economy, and over time it loses the ability to self-regulate. Regulation becomes necessary, as a result of which the role of centralization of the economy increases. The search for new methods of regulating such an economy becomes inevitable.
    Keywords: economics; dialectics; synergy; market economy; model of economic equilibrium; economic value; price; market self-regulation; monopolization; financialization
    JEL: B41 D5 E3
    Date: 2022–06
  4. By: Lorenzo Cresti; Maria Enrica Virgillito
    Abstract: In this paper we propose a novel sectoral taxonomy integrating three different attributes of sectors, namely i) the strategic dimension reflected into their belonging to different classes of the Pavitt taxonomy, ii) the capacity to create jobs both internally and externally with respect to their sector/country, iii) the essentiality in satisfying basic needs. To accomplish the task we rely on the World Input-Output Tables and on the Socio-Economic Accounts database (Timmer et al., 2015) to build vertically integrated sectoral employment multipliers and we focus on Italy as a case study, a country which has undergone a deep structural transformation in the last twenty years, loosing productive capacity and also employment potential. The period of investigation goes from 2000 until 2014. We validate the patterns against other selected OECD countries. We finally propose an agenda for industrial policies identifying three specific sectors of intervention for the State, namely the pharmaceutical, the automotive and the care sectors.
    Keywords: Input-output; industrial policy; productive structure; employment dynamics; care sectors.
    Date: 2022–09–09
  5. By: Imko Meyenburg (ARU - Anglia Ruskin University)
    Abstract: Economists, like any other social scientist, apply various methodologies and theories in their research to ultimately tell true stories about the world we live in. Moreover, and specifically, they use counterfactual modelling and forecasting to also construct narratives of possible or future states of the economy, which evade classical empirical validation but nonetheless could be true. In this paper, we firstly claim that there is an intuitive notion that those statements about possible states of the economy, or its future state, could be true even in the absence of this empirical validation. To solve this problem, we will make use of modal logic and Lewisian possible world semantics, the idea that statements containing possibilities and necessities are true if they are true in some or all logically possible worlds. Furthermore, we argue that we can be ontologically committed to these postulated possible or future states of economies via commitment to said possible worlds. In other words, possible world semantics allows us to formally analyse our intuitions about the truthfulness of possibility statements arrived by from the use of postulated entities, economies, and worlds.
    Keywords: ontology,semantics,forecasts,epistemology,modelling,possible worlds,possible worlds JEL classification: B1,B16,B23,B59
    Date: 2022–08–18
  6. By: Tobias Wand; Martin He{\ss}ler; Oliver Kamps
    Abstract: Understanding and forecasting changing market conditions in complex economic systems like the financial market is of great importance to various stakeholders such as financial institutions and regulatory agencies. Based on the finding that the dynamics of sector correlation matrices of the S&P 500 stock market can be described by a sequence of distinct states via a clustering algorithm, we try to identify the industrial sectors dominating the correlation structure of each state. For this purpose, we use a method from Explainable Artificial Intelligence (XAI) on daily S&P 500 stock market data from 1992 to 2012 to assign relevance scores to every feature of each data point. To compare the significance of the features for the entire data set we develop an aggregation procedure and apply a Bayesian change point analysis to identify the most significant sector correlations. We show that the correlation matrix of each state is dominated only by a few sector correlations. Especially the energy and IT sector are identified as key factors in determining the state of the economy. Additionally we show that a reduced surrogate model, using only the eight sector correlations with the highest XAI-relevance, can replicate 90% of the cluster assignments. In general our findings imply an additional dimension reduction of the dynamics of the financial market.
    Date: 2022–08
  7. By: Tumini, Lucía; Wilkis, Ariel
    Abstract: Este estudio se basa en la Encuesta Nacional de Endeudamiento y Cuidados (ENEC), realizada en la Argentina, que muestra de forma innovadora la interacción entre la vulnerabilidad financiera y la organización de las tareas de cuidado, dos cuestiones que afectan en simultáneo la autonomía de las mujeres en el marco de la pandemia de COVID-19. Por una parte, la encuesta indaga la presencia de personas con necesidades de cuidado en el hogar (niños, niñas y adolescentes, personas mayores y personas con discapacidad) y quiénes son los responsables de su atención. Esto permite conocer cómo es la organización de los cuidados y las problemáticas que enfrentan los hogares para gestionar dicha organización. Por otra parte, indaga sobre las dinámicas de endeudamiento a través de un método indirecto: explorando la heterogeneidad del fenómeno en lugar de identificarlo exclusivamente como una relación con el sistema bancario y financiero. Estas innovaciones metodológicas permiten constatar el fuerte vínculo entre las responsabilidades de cuidado, el endeudamiento y la vulnerabilidad financiera, que, por la desigual distribución de la carga de cuidado, afectan con más intensidad a las mujeres.
    Date: 2022–06–20
  8. By: Criscione, Teodoro; Guterman, Eve; Avanzo, Sowuelu; Linares, Julio
    Abstract: This paper briefly introduces models and basic design principles of community currency systems from economic and network analytical perspectives. Policymakers, grassroots organizations, and activists can find in this paper the necessary analytical and practical tools to start and enhance their own community currency projects.
    Keywords: community currency systems,complementary currency systems,basic income,monetary innovation,economic network analysis,circulation analysis,currency analysis,currency systems
    Date: 2022
  9. By: Leandro Gualario (Auteur indépendant)
    Abstract: "A reference to Aristotle and Leibniz has long ceased to be required in serious books", said Benoit Mandelbrot, father of fractal geometry. A reference to Nietzsche could increasingly become a requirement in economics books. The purpose of this work is to highlight the epistemological proximity between Nietzsche's and the underlying philosophical principles of fractal geometry. This work also aims to find the end of this philosophical continuity, finding an important divergence in their different approach to risk.
    Keywords: Nietzsche,Mandelbrot,Epistemology,Mathematics,Fractal Geometry,Finance,Risk,Risk Management,Models
    Date: 2022–07–19
  10. By: Marcén, Miriam; Morales, Marina
    Abstract: Despite the notable progress that has been made in bridging the gap between women and men in the world of work, women are still underrepresented in several occupations. In this article, the effect of gender norms on whether women enter male-dominated occupations is analysed using differences in gender equality among early-arrival migrants. The variations in gender norms according to the cultural backgrounds of those migrants by country of origin are exploited to identify their impact on occupational choices. Using data from the American Community Survey, it is found that greater gender equality in the country of origin reduces the gender gap in maledominated occupations. Suggestive evidence is further shown on the roles of job flexibility and women's relative preferences for family-friendly jobs in shaping gender-based sorting across occupations.
    Keywords: culture,gender,occupation,remote work
    JEL: J24 J16 Z13
    Date: 2022
  11. By: Boyang You; Kerry Papps
    Abstract: Social employment, which is mostly carried by firms of different types, determines the prosperity and stability of a country. As time passing, the fluctuations of firm employment can reflect the process of creating or destroying jobs. Therefore, it is instructive to investigate the firm employment (size) dynamics. Drawing on the firm-level panel data extracted from the Chinese Industrial Enterprises Database 1998-2013, this paper proposes a Markov-chain-based descriptive approach to clearly demonstrate the firm size transfer dynamics between different size categories. With this method, any firm size transition path in a short time period can be intuitively demonstrated. Furthermore, by utilizing the properties of Markov transfer matrices, the definition of transition trend and the transition entropy are introduced and estimated. As a result, the tendency of firm size transfer between small, medium and large can be exactly revealed, and the uncertainty of size change can be quantified. Generally from the evidence of this paper, it can be inferred that small and medium manufacturing firms in China have greater job creation potentials compared to large firms over this time period.
    Date: 2022–08
  12. By: Vaca-Trigo, Iliana; Baron, Camila
    Abstract: Numerosos planteos formulados en los últimos años señalan lo restringido de considerar el producto interno bruto (PIB) como una medida de bienestar. Este documento retoma dichas críticas, al tiempo que señala los límites del PIB para medir la producción. Lo que incluye y lo que no incluye el PIB es resultado de convenciones que arrastran sesgos androcéntricos. La falta de valoración de los servicios no remunerados producidos por los hogares y de los recursos naturales resulta en una visión sesgada de la economía que pone el enfoque en los mercados y deja de lado otros procesos esenciales para la vida humana. La región de América Latina y el Caribe tiene una larga trayectoria de acuerdos políticos y técnicos que destacan la importancia para las sociedades de dimensiones como las de los cuidados, el reparto del tiempo y el bienestar. El documento llama, especialmente, a medir aquello que las sociedades valoran y a incluir en la toma de decisiones indicadores complementarios al PIB, entre los que se destacan los indicadores de uso del tiempo.
    Date: 2022–06–22
  13. By: Videla, Karen Daiana
    Abstract: Los trabajos de limpieza producen las condiciones imprescindibles para el desarrollo de cualquier actividad. Desde esta perspectiva, podrían pensarse como sustanciales a la concreción de toda tarea productiva, dado que el desarrollo productivo se vuelve imposible ante la ausencia de las bases que sientan la sostenibilidad de la vida. Sin embargo, la desvalorización simbólica de las tareas, así como la subalternización de quienes las realizan, constituyen una regularidad persistente, aunque con matices que esta tesis se propone mesurar. A partir de la reconstrucción de las trayectorias laborales y formativas de los y las entrevistadas, se identifican condicionantes interseccionales intrínsecos y extrínsecos que permiten discutir el valor de las tareas de limpieza, las desigualdades a las que se enfrentan quienes las realizan y las dificultades en la inserción sociopolítica de estos sujetos. Para ello, se analizan los marcos regulatorios de cada actividad y se comparan a la luz de la efectividad de dichas normas, porque se entiende que es también el Derecho un actor determinante en la conformación del entramado social. Además, se discute el concepto de trabajo emocional en relación al trabajo doméstico invisibilizado en el ámbito público y el privado, como un elemento de impacto en el bienestar subjetivo de los individuos que llevan a cabo las tareas de sostenibilidad. Palabras clave: reproducción de la vida, sector de limpieza, desigualdades de género, condiciones laborales intrínsecas y extrínsecas, derechos formales y efectivos, trabajo emocional.
    Keywords: Servicios de Limpieza; Condiciones de Trabajo; Desigualdad Social; Brecha de Género; Trabajo Emocional; Mujeres;
    Date: 2022–05–05
  14. By: Jens-Uwe Franck; Martin Peitz
    Abstract: Digital platforms have reshaped many product markets and play an increasingly important role in economies around the globe. Some of these platforms have become powerful players and may possess a lot of market power. Economists use a number of indicators to assess market power. In this article we discuss to which extent these indicators are helpful in the context of digital platforms. In particular, we focus on assessing entrenched market power and the role of potential competition to constrain this power. Finally, we discuss some cross-border issues of platform market power.
    Keywords: market power, digital platforms, Big Tech, potential competition, Brussels effect
    JEL: K21 L40 L13
    Date: 2022–08
  15. By: Johan Miörner (Eawag, Swiss Federal Institute of Aquatic Science and Technology, Switzerland); Bernhard Truffer (Eawag, Swiss Federal Institute of Aquatic Science and Technology, Switzerland); Christian Binz (Eawag, Swiss Federal Institute of Aquatic Science and Technology, Switzerland); Jonas Heiberg (Eawag, Swiss Federal Institute of Aquatic Science and Technology, Switzerland); Xiao-Shan Yap (Eawag, Swiss Federal Institute of Aquatic Science and Technology, Switzerland)
    Abstract: This working paper is part of the Socio-Technical Configuration Analysis (STCA) guidebook for beginners (see It serves as Chapter 1 of the guidebook, and introduces the conceptual and methodological foundations for the different analytical steps that are explained in subsequent chapters. We elaborate on the theoretical contexts in which socio-technical configurations, their dynamics and geographical variation play a key role and how this epistemological approach relates to well-established conceptual frameworks from innovation and transition studies. In STCA, statements or actions of actors that are reported in document stocks are aggregated into different forms of network or proximity map graphs, which can be interpreted as coherent storylines or strategies reflecting institutionalized socio-technical configurations shared by various actors. Shifts over time of these networks can then be interpreted as depicting transition dynamics, and comparisons across space as local variations of regime or innovation system structures. The paper introduces a coherent terminology to help researchers navigate through the different steps and software programs. It furthermore elaborates on a typology of research problems that can be analyzed through STCA and an overview on the generic steps that a researcher has to conduct when applying the method.
    Keywords: socio-technical configuration analysis, guide, method, transitions
    Date: 2022
  16. By: Pies, Ingo
    Abstract: Aus der wirtschaftsethischen Perspektive des ordonomischen Forschungsprogramms leistet dieser Artikel drei Beiträge zur aktuellen Debatte um zivilgesellschaftliche Vorwürfen, dass die Terminmarktgeschäfte von Agrarspekulanten Hungerkrisen hervorbringen oder verschärfen. Erstens erläutert er den ökonomischen Sachverhalt, wie die Kassamärkte und Terminmärkte für Weizen funktionieren und zusammenhängen. Zweitens begründet er, warum die gegenwärtige Datenlage nicht dafür spricht, dass eine exzessive Spekulation durch künstliche Verknappung (= Weizenhortung) exzessive Preissteigerungen ausgelöst hat. Drittens beantwortet er die im Titel aufgeworfene Frage.
    Keywords: Ordonomik,Wirtschaftsethik,Agrarspekulation,Hunger,Zivilgesellschaft,ordonomics,business ethics,speculation,hunger,civil society
    JEL: G13 G18 M14 Q11 Q18
    Date: 2022

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