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on Computational Economics |
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Issue of 2013‒12‒06
seven papers chosen by |
| By: | Schmitt, Noemi; Westerhoff, Frank |
| Abstract: | We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators' strategy/market selections are repeated at each time step and depend on predisposition effects, herding behavior and market circumstances. Simulations reveal that our model is able to explain a number of nontrivial statistical properties of and between international stock markets, including bubbles and crashes, fat-tailed return distributions, volatility clustering, persistent trading volume, coevolving stock prices and cross-correlated volatilities. Against this background, our model may be deemed to have been validated. -- |
| Keywords: | stock markets,stylized facts,technical and fundamental analysis,agent-based modeling,bounded rationality,simulation analysis |
| JEL: | C63 D84 G12 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bamber:90&r=cmp |
| By: | Christopher Boortz; Simon Jurkatis; Stephanie Kremer; Dieter Nautz |
| Abstract: | Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investor-specific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model. |
| Keywords: | Herd Behavior, Institutional Trading, Model Simulation |
| JEL: | G11 G24 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1336&r=cmp |
| By: | Antoine Mandel (Centre d'Economie de la Sorbonne - Paris School of Economics); Simone Landini (Socioeconomic Research Institute of Piedmont); Mauro Gallegati (Università Politecnica delle Marche); Herbert Gintis (European Central University and Santa-Fe Institute) |
| Abstract: | Within a standard framework à la Arrow-Debreu, we investigate the dynamics emerging from the interactions of heterogeneous households and firms that are adaptive price setters and financially constrained. We show that depending on the stringency of the financial constraints the model can settle in two very different regimes: one characterized by equilibrium, the other by disequilibrium and financial fragility. We then investigate how the structure of the production network affects the emergence of aggregate volatility from micro-level price and financial shocks, hence providing a dynamical counterpart to recent results of Acemoglu and al (2012). |
| Keywords: | Agent-based modeling, financial fragility, price dynamics, general equilibrium, production networks |
| JEL: | C62 C63 |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:13076&r=cmp |
| By: | AKUNE Yuko; OKIYAMA Mitsuru; TOKUNAGA Suminori |
| Abstract: | The purpose of this paper is to examine how the March 11, 2011 earthquake and tsunami impacted fisheries and seafood manufacturers in Japan. Using a dynamic computable general equilibrium model, we found that the current restoration policy is not sufficient to restore production back to baseline level, which is the production level prior to the Great East Japan Earthquake, by 2021. We conducted two scenario simulations in an attempt to create a policy that would oversee a complete restoration by 2016, following in line with the recovery in five years of the fisheries damaged by an earthquake and a tsunami on the island of Okushiri in 1993. In the first simulation, we found that the capital stock after the restoration period was less than before the earthquake, since the long-term trend of declining production would continue in these industries. In the next simulation, we examined the effect of total factor productivity (TFP) increasing under the same conditions, and it was shown that productivity improvement in fisheries and seafood manufacturers would allow their production levels to exceed the baseline targeted for 2016. Although the production level of fisheries changed from a long-term downward trend to an upward trend, that of seafood manufacturers showed a decreasing tendency. Total production overall decreases due to seafood manufacturers producing double that of fisheries. Therefore, it is necessary for a policy to allow improved productivity in seafood manufacturing by encouraging research and development (R&D) and investment to build a marine cluster with effective linkages. |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:eti:rpdpjp:13022&r=cmp |
| By: | Philipp M. Richter |
| Abstract: | US shale gas production is generally expected to continue its fast rise. However, a cautious evaluation is needed. Shale gas resource estimates are potentially overoptimistic and it is uncertain to which extent they can be produced economically. Moreover, the adverse environmental effects of ever more wells to be drilled may lead to a fall in public acceptance and a strengthening of regulation. The objective of this paper is hence twofold: providing a critical look at current US shale gas projections, and investigating in a second step the implications of a less optimistic development by means of numerical simulation. In a world of declining US shale gas production after 2015, natural gas consumption outside the USA is reduced from its reference path by at least as much as US consumption. Trade flows are redirected, and the current US debate on LNG export capacity requirements becomes obsolete. |
| Keywords: | Natural Gas, Shale, USA, Scenarios, Equilibrium Modeling |
| JEL: | Q37 L71 Q41 Q33 C61 Q53 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1338&r=cmp |
| By: | Alessandra Caretta; Sara Flisi; Cecilia Frale; Michele Raitano; Simone Tedeschi |
| Abstract: | The long-term development of the social security system is a crucial policy issue in terms of both financial sustainability and adequacy, which constitute a difficult trade-off facing the policy maker. The particular complexity of this issue, also in the light of demographic dynamics and the recent economic crisis, has encouraged the development of dynamic microsimulation models as to analyse the distributive effects of pension reforms in the long run. This study presents T-DYMM, a dynamic microsimulation model developed within a European funded project runned by the Treasury Department of the Italian Ministry of the Economy and Finance in collaboration with the Fondazione G. Brodolini. The distinct character of T-DYMM compared to other models is, above all, its innovative dataset, Ad-SILC, which includes microdata needed to estimate conditional probabilities of transitions across alternative employment states and parameters of wage equations. The estimated coefficient are then used to simulate transition probabilities in T-DYMM and wage dynamics, taking into account fragile careers. A number of simulations are presented on the distributive effects related to the latest legislative changes affecting the Italian pension system. To better exploit adequacy concerns, replacement rates are shown after personal income taxation, long run poverty rates are projected as well as trends of beneficiaries of social assistance allowance and minimum pension supplement as a ratio of total pensioners. |
| Keywords: | Dynamic Microsimulation, Pensions, Job transitions, Distributive analysis |
| JEL: | C1 C53 H23 H55 J24 J26 |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:itt:wpaper:2013-11&r=cmp |
| By: | Weibing Huang; Charles-Albert Lehalle; Mathieu Rosenbaum |
| Abstract: | Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen reference price, typically the mid price, remains constant. Within these periods, we view the limit order book as a Markov queuing system. Indeed, we assume that the intensities of the order flows only depend on the current state of the order book. We establish the limiting behavior of this model and estimate its parameters from market data. Then, in order to design a relevant model for the whole period of interest, we use a stochastic mechanism that allows for switches from one period of constant reference price to another. Beyond enabling to reproduce accurately the behavior of market data, we show that our framework can be very useful for practitioners, notably as a market simulator or as a tool for the transaction cost analysis of complex trading algorithms. |
| Date: | 2013–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1312.0563&r=cmp |