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on Computational Economics |
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Issue of 2011‒05‒14
sixteen papers chosen by |
| By: | V. SELS; M. VANHOUCKE |
| Abstract: | We consider the problem of scheduling a number of jobs, each job having a release time, a processing time, a due date and a family setup time, on a single machine with the objective of minimizing the maximum lateness. We develop a hybrid genetic algorithm and validate its performance on a newly developed diverse data set. We perform an extensive study of local search algorithms, based on the trade-off between the intensification and diversification strategies, taking the characteristics of the problem into account. We combine different local search neighborhoods in an intelligent manner to further improve the solution quality. We use the hybrid genetic algorithm to perform a comprehensive analysis of the influence of the different problem parameters on the maximum lateness value and the solution quality. |
| Date: | 2011–04 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:11/715&r=cmp |
| By: | V. SELS; M. VANHOUCKE |
| Abstract: | This paper presents a hybrid meta-heuristic search procedure to solve the well-known single machine scheduling problem to minimize the maximum late- ness over all jobs. Precedence relations may exist between some of the jobs. The hybridization consists of a well-designed balance between the principles borrowed from a electromagnetism-like algorithm and the characteristics used in a tabu search procedure. The electromagnetism-like (EM) algorithm follows a search pattern based on theory of physics to simulate attraction and repulsion of solutions in order to move towards more promising solutions and has been originally proposed by Birbil and Fang (2003). The well-known tabu search enhances the performance of a local search method by using memory structures by prohibiting visited solutions during a certain time of the search process (Glover and Laguna, 1997). The hybridization of both algorithms results in an important trade-off between intensification and diversification strategies. These strategies will be discussed in detail. To that purpose, a set of standard instances is used to compare different elements of the hybrid search procedure and to validate and obtain results that are comparable or even outperform the best known results in literature. |
| Date: | 2011–04 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:11/716&r=cmp |
| By: | Mathiesen, Lars (Dept. of Economics, Norwegian School of Economics and Business Administration); Nilsen, Øivind Anti (Dept. of Economics, Norwegian School of Economics and Business Administration); Sørgard, Lars (Dept. of Economics, Norwegian School of Economics and Business Administration) |
| Abstract: | A common approach to merger simulations used in antitrust cases is to calibrate demand from market shares and a few additional parameters. When the products involved in the merger case are differentiated along several dimensions, the resulting diversion ratios may be very different from those based upon market shares. This again may affect the predicted post-merger price effects. This article shows how merger simulation can be improved by using observed diversion ratios. To illustrate the effects of this approach we use diversion ratios from a local grocery market in Norway. In this case diversions from the acquired to the acquiring stores were considerably smaller than suggested by market shares, and the predicted average price increase from the acquisition was 40 % lower using this model rather than a model based upon market shares. This analysis also suggests that even a subset of observed diversion ratios may significantly change the prediction from a merger simulation based upon market shares. |
| Keywords: | Merger simulation; diversion ratio; asymmetric differentiation; merger policy. |
| JEL: | K21 L11 L41 |
| Date: | 2010–09–30 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:nhheco:2010_027&r=cmp |
| By: | Mauricio Labadie (CAMS - Centre d'analyse et de mathématique sociale - CNRS : UMR8557 - Ecole des Hautes Etudes en Sciences Sociales (EHESS)); Charles-Albert Lehalle (Head of Quantitative Research - CALYON group) |
| Abstract: | The efficient frontier is a core concept in Modern Portfolio Theory. Based on this idea, we will construct optimal trading curves for different types of portfolios. These curves correspond to the algorithmic trading strategies that minimize the expected transaction costs, i.e. the joint effect of market impact and market risk. We will study five portfolio trading strategies. For the first three (single-asset, general multi-asseet and balanced portfolios) we will assume that the underlyings follow a Gaussian diffusion, whereas for the last two portfolios we will suppose that there exists a combination of assets such that the corresponding portfolio follows a mean-reverting dynamics. The optimal trading curves can be computed by solving an N-dimensional optimization problem, where N is the (pre-determined) number of trading times. We will solve the recursive algorithm using the "shooting method", a numerical technique for differential equations. This method has the advantage that its corresponding equation is always one-dimensional regardless of the number of trading times N. This novel approach could be appealing for high-frequency traders and electronic brokers. |
| Keywords: | quantitative finance; optimal trading; algorithmic trading; market microstructure |
| Date: | 2010–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00590283&r=cmp |
| By: | Masahiko Egami; Tim S. T. Leung; Kazutoshi Yamazaki |
| Abstract: | This paper studies the valuation of game-type credit default swaps (CDSs) that allow the protection buyer and seller to raise or reduce the respective position once prior to default. This leads to the analytical and numerical studies of a stochastic game with optimal stopping subject to early termination resulting from a default. Under a structural credit risk model based on spectrally negative Levy processes, we analyze the existence of the Nash equilibrium and derive the associated saddle point. Using the principles of smooth and continuous fit, we determine the buyer's and seller's equilibrium exercise strategies, which are of threshold type. Numerical examples are provided to illustrate the impacts of default risk and contractual features on the fair premium and exercise strategies. |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1105.0238&r=cmp |
| By: | Dorothée Boccanfuso (Département d’économique and GRÉDI, Université de Sherbrooke); Massa Coulibaly (GREAT -- Groupe de recherche en économie appliquée et théorique); Govinda R. Timilsina (The World Bank); Luc Savard (Département d’économique and GRÉDI, Université de Sherbrooke) |
| Abstract: | A biofuels race has been observed around the world with rising cost of oil and the increasing concerns over climate change. Unfortunately, this growth is associated with rising food prices, which is a major concern in developing countries like Mali. The development of biofuels in Mali should contribute to reducing dependency on imported fossil fuels and avoiding competing for land used for food production. This study carries out an economic and distributional impact analysis with a microsimulation and CGE model of the prospects of large-scale expansion jatropha to produce biofuels in Mali. We also investigate the impacts of promoting biofuels through a tax-subsidy scheme. Our results reveal that macro effects are slightly negative or weakly positive but generate reductions in poverty at the national level and for rural households. The pro-poor analysis does not reveal a clear trend with proportional, progressive and regressive outcomes. |
| Keywords: | Biofuels, agriculture, computable general equilibrium model, micro-simulation, distributional analysis. |
| JEL: | D58 D31 I32 Q17 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:shr:wpaper:11-08&r=cmp |
| By: | Pallegedara, Asankha |
| Abstract: | This paper investigates the macroeconomic effects of services sector reform policies using two computable general equilibrium models of Sri Lankan economy. First model assumes perfect competitive market and second one assumes monopoly supplier economy. Both models have been calibrated using Sri Lanka’s social accounting matrix currently available. Impacts of both services sector production tax reduction and import tariff increase have been simulated. Simulation results imply that reduction of services sector production tax is better than increase of import tariff in both perfect competition case and monopoly supplier case. |
| Keywords: | Sri Lanka Services sector; Production Tax; Import tariff; CGE model |
| JEL: | D5 |
| Date: | 2010–08–20 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:30603&r=cmp |
| By: | McGregor, P. G. (Peter Gregor); Munday, Max; Swales, J. Kim; Turner, Karen |
| Abstract: | Targets for CO2 reduction tend to be set in terms of the amount of pollution generated within the borders of a given region or nation. That is, under a "production accounting principle". However, in recent years there has been increased public and policy interest in the notion of a carbon footprint, or the amount of pollution generated globally to serve final consumption demand within a region or nation. That is, switching focus to a "consumption accounting principle". However, this paper argues that a potential issue arising from the increasing focus on consumption-based "carbon footprint" type measures is that while regional CO2 generation embodied in export production is attributed outside of the region (i.e. to the carbon footprints of other regions/nations), regional consumers are likely to benefit from such production. Moreover, where there is a geographical and supply chain gap between producers and final consumers, it may be difficult to identify precisely "whose" carbon footprint emissions should be allocated to. We demonstrate our argument by using a regional computable general equilibrium (CGE) model of the Welsh economy to simulate the impacts of an increase in export demand for the output of an industry (metal manufacturing) that is both carbon and export intensive and generally produces to meet intermediate rather than final demands. In doing so, we demonstrate how the CGE model results may be used to create „post-shock‟ input-output accounts to examine changes in the structure of economic activity and the resulting impact on CO2 generation under both production and consumption accounting measures. In this respect, to our knowledge, the current paper makes a novel contribution in using CGE techniques to model "carbon footprint" impacts of a change in economic activity. |
| Date: | 2011–04 |
| URL: | http://d.repec.org/n?u=RePEc:stl:stledp:2011-06&r=cmp |
| By: | David Bahan (Ministère des finances du Québec); Alexandre Montelpare (Ministère des finances du Québec); Luc Savard (GREDI, Université de Sherbrooke) |
| Abstract: | The economic literature has been investigating the positive relation between public infrastructure spending and the productivity of the private sector since Munnell (1992). We have thus introduced this relation into the recursive dynamic computable general equilibrium model of Quebec to assess the economic impacts of scaling up infrastructure on the economy. We use we draw our assumptions from Estache et al. (2010) combined with sectoral elasticity parameters from Harchaoui and Tarkhani (2003) based on Canadian estimations. We conduct a comparative analysis between a scenario without positive external effects of infrastructures, and another with positive externalities. The investments are financed by debt. The externalities help attenuate the negative macroeconomic effects associated with scaling up of infrastructure and amplify the positive effects. |
| Keywords: | CGE model, infrastructure, productivity |
| JEL: | D58 H54 H63 O47 |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:shr:wpaper:11-07&r=cmp |
| By: | Sandra Gomes; P. Jacquinot; M. Mohr; M. Pisani |
| Abstract: | We quantitatively assess the macroeconomic effects of country-specific supply-side reforms in the euro area by simulating a large scale multi-country dynamic general equilibrium model. We consider reforms in the labor and services markets of Germany (or, alternatively, Portugal) and the rest of the euro area. Our main results are as follows. First, there are benefits from implementing unilateral structural reforms. A reduction of markup by 15 percentage points in the German (Portuguese) labor and services market would induce an increase in the long-run German (Portuguese) output equal to 8.8 (7.8) percent. As reforms are implemented gradually over a period of five years, output would smoothly reach its new long-run level in seven years. Second, cross-country coordination of reforms would add extra benefits to each region in the euro area, by limiting the deterioration of relative prices and purchasing power that a country faces when implementing reforms unilaterally. This is true in particular for a small and open economy such as Portugal. Specifically, in the long run German output would increase by 9.2 percent, Portuguese output by 8.6 percent. Third, cross-country coordination would make the macroeconomic performance of the different regions belonging to the euro area more homogeneous, both in terms of price competitiveness and real activity. Overall, our results suggest that reforms implemented apart by each country in the euro area produce positive effects, cross-country coordination produces larger and more evenly distributed (positive) effects. |
| JEL: | C53 E52 F47 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:ptu:wpaper:w201113&r=cmp |
| By: | François Bourguignon (PSE - Paris-Jourdan Sciences Economiques - CNRS : UMR8545 - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole des Ponts ParisTech - Ecole Normale Supérieure de Paris - ENS Paris, The World Bank - The World Bank); Amadeo Spadaro (PSE - Paris-Jourdan Sciences Economiques - CNRS : UMR8545 - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole des Ponts ParisTech - Ecole Normale Supérieure de Paris - ENS Paris, Universitat de les Illes Balears - Universitat de les Illes Balears) |
| Abstract: | During the last twenty years, microsimulation models have been increasingly applied in qualitative and quantitative analysis of public policies. This paper provides a discussion on microsimulation techniques and their theoretical background as a tool for the analysis of public policies with particular attention to redistribution and social policies. Basic principles in using microsimulation models and interpreting their results are analyzed, with particular emphasis on tax incidence, redistribution and poverty analysis. Social welfare analysis permitted by microsimulation techniques is also discussed. Finally, the paper points to limits of present approaches and directions for future research. |
| Keywords: | microsimulation ; evaluation of public policies ; optimal taxation ; poverty and inequality |
| Date: | 2011–05–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:psewpa:halshs-00590863&r=cmp |
| By: | Stergios Athanassoglou (Fondazione Eni Enrico Mattei and Euro-Mediterranean Center on Climate Change); Glenn Sheriff (National Center for Environmental Economics U.S. Environmental Protection Agency); Tobias Siegfried (Water Center of the Earth Institute, Columbia University); Woonghee Tim Huh (Sauder School of Business, University of British Columbia) |
| Abstract: | Standard economic models of groundwater management impose restrictive assumptions regarding perfect transmissivity (i.e., the aquifer behaves as a bathtub), no external effects of groundwater stocks, observability of individual extraction rates, and/or homogenous agents. In this article, we derive regulatory mechanisms for inducing the socially optimal extraction path in Markov perfect equilibrium for aquifers in which these assumptions do not hold. In spite of the complexity of the underlying system, we identify an interesting case in which a simple linear mechanism achieves the social optimum. To illustrate potential problems that can arise by erroneously imposing simplifying assumptions, we conduct a simulation based on data from the Indian state of Andhra Pradesh. |
| Keywords: | Common Property Resource, Differential Games, Groundwater Extraction, Imperfect Monitoring, Markov Perfect Equilibrium |
| JEL: | C6 D0 |
| Date: | 2011–03 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2011.28&r=cmp |
| By: | Giulio Fella (Queen Mary, University of London) |
| Abstract: | This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernández-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable consumption. The durable choice is discrete and subject to non-convex adjustment costs. The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for non-concave problems. |
| Keywords: | Endogenous grid method, Non-concavity |
| JEL: | C63 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp677&r=cmp |
| By: | NESTEROV, Yurii (Université catholique de Louvain, CORE, B-1348 Louvain-la-Neuve, Belgium) |
| Abstract: | In this paper, we prove the complexity bounds for methods of Convex Optimization based only on computation of the function value. The search directions of our schemes are normally distributed random Gaussian vectors. It appears that such methods usually need at most n times more iterations than the standard gradient methods, where n is the dimension of the space of variables. This conclusion is true both for nonsmooth and smooth problems. For the later class, we present also an accelerated scheme with the expected rate of convergence O(n[ exp ]2 /k[ exp ]2), where k is the iteration counter. For Stochastic Optimization, we propose a zero-order scheme and justify its expected rate of convergence O(n/k[ exp ]1/2). We give also some bounds for the rate of convergence of the random gradient-free methods to stationary points of nonconvex functions, both for smooth and nonsmooth cases. Our theoretical results are supported by preliminary computational experiments. |
| Keywords: | convex optimization, stochastic optimization, derivative-free methods, random methods, complexity bounds |
| Date: | 2011–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:cor:louvco:2011001&r=cmp |
| By: | Muhammad Arshad Khan (Pakistan Institute of Development Economics, Islamabad.); Musleh ud Din (Pakistan Institute of Development Economics, Islamabad.) |
| Abstract: | In this study, an attempt has been made of develop a dynamic macroeconometric model of Pakistan’s economy to examine the behaviour of major macroeconomic variables such as output, consumption, investment, government expenditure, money, interest rates, prices, exports, and imports. The model consists of 21 equations, of which 13 are behavioural and the rest are identities. The Engle-Granger two-step cointegration procedure is used to derive the long-run and short -run elasticities for the period 1972-2009. The test of significance of each estimated equation seems to validate the model. The estimated long-run parameters are used to perform simulation experiments to determine the model’s ability to track historical data and to assess the behaviour of the key macroeconomic variables in response to the changes in selected exogenous variables. The results indicate that the majority of macroeconomic variables follow an increasing trend over the period of simulation, 2009-2013. |
| Keywords: | Macroeconometric Model; Pakistan Economy, Cointegration, Forecasting |
| JEL: | C20 C53 E1 E6 O5 R10 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:pid:wpaper:2011:69&r=cmp |
| By: | Hanley, Nick; Turner, Karen |
| Abstract: | Technological change is one factor used to justify the existence of an Environmental Kuznets Curve, and technological improvements have been argued to be a key factor in mitigating the impacts of economic growth on environmental quality. In this paper we use a CGE model of the Scottish economy to consider the factors influencing the impacts of one form of technological change - improvements in energy efficiency - on absolute levels of CO2 emissions, on the carbon intensity of the economy (CO2 emissions relative to real GDP), and the per capita EKC relationship. These factors include the elasticity of substitution between energy and non-energy inputs, responses in the labour market and the structure of the economy. Our results demonstrate the key role played by the general equilibrium price elasticity of demand for energy, and the relative influence of different factors on this parameter. |
| Keywords: | Environmental Kuznets Curve; rebound effects; energy efficiency; technical progress; computable general equilibrium models |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:stl:stledp:2010-17&r=cmp |