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on Computational Economics |
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Issue of 2015‒02‒05
ten papers chosen by |
| By: | Angelos Dassios; Hongbiao Zhao |
| Abstract: | We introduce a numerically efficient simulation algorithm for Hawkes process with exponentially decaying intensity, a special case of general Hawkes process that is most widely implemented in practice. This computational method is able to exactly generate the point process and intensity process, by sampling interarrival-times directly via the underlying analytic distribution functions without numerical inverse, and hence avoids simulating intensity paths and introducing discretisation bias. Moreover, it is flexible to generate points with either stationary or non-stationary intensity, starting from any arbitrary time with any arbitrary initial intensity. It is also straightforward to implement, and can easily extend to multi-dimensional versions, for further applications in modelling contagion risk or clustering arrival of events in finance, insurance, economics and many other fields. Simulation algorithms for one dimension and multi-dimension are represented, with numerical examples of univariate and bivariate processes provided as illustrations. |
| JEL: | C1 |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:51370&r=cmp |
| By: | Stamos, Iraklis; Salanova Grau, Josep Maria; Mitsakis, Evangelos |
| Abstract: | Within the framework of this paper, the existence of a Macroscopic Fundamental Diagram (MFD) for the city of Thessaloniki is discussed, obtained through a traffic simulation software. Initial findings show that there is a well-defined MFD, which is a property of a network, as it is not influenced by changes in travel demand. The MFD can be used as tool for managing traffic at real-time and for improving accessibility in an area, through pricing strategies and entrance points control based on the accumulation of vehicles. |
| Keywords: | Macroscopic Fundamental Diagram Traffic Simulation Traffic Flow Traffic Density |
| JEL: | R41 |
| Date: | 2013–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:61538&r=cmp |
| By: | Zhen, J. (Tilburg University, Center For Economic Research); den Hertog, D. (Tilburg University, Center For Economic Research) |
| Abstract: | This paper introduces a method for computing the maximum volume inscribed ellipsoid and k-ball of a projected polytope. It is known that deriving an explicit description of a projected polytope is NP-hard. By using adjustable robust optimization techniques, we construct a computationally tractable method that does not require an explicit description of the projection. The obtained centers of the projected polytope are considered as the robust solutions, e.g., for design centering problems. We perform numerical experiments on a simple polytope and a color tube design problem. The color tube design problem demonstrates that the obtained solutions are much more robust than the nominal approach with a slight compromise on the objective value. Some other potential applications include ellipsoidal approximations to polytopic sets,<br/>nominal scenario recovery, and cutting-plane method. |
| Keywords: | Maximum volume inscribed ellipsoid; chebyshev center; polytopic projection; adjustable robust optimization |
| JEL: | C44 C61 C63 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:tiu:tiucen:4a51526e-c7f0-436f-aeaa-f5f3eed56d5a&r=cmp |
| By: | Mark Setterfield (Department of Economics, New School for Social Research); Shyam Gouri Suresh (Department of Economics, Davidson College) |
| Abstract: | This paper discusses the concept of path dependence in macrodynamics, and identifies practical difficulties associated with building path-dependent macrodynamic models of the sort that Keynesians and Schumpeterians regard as necessary for the successful study of long-term growth and development. It is suggested that multi-agent systems (MAS) analysis can help address these difficulties, and therefore provides a useful tool for advancing path-dependent macrodynamic analysis. An illustrative example is provided in the form of a MAS model of path-dependent aggregate fluctuations. |
| Keywords: | Multi-agent systems, agent based models, path dependence, macrodynamics |
| JEL: | B41 C63 E12 E32 E37 O41 |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:new:wpaper:1405&r=cmp |
| By: | G.J. Davies; G. Kendall; E. Soane; J. Li; S.A. Rocks; S.R. Jude; S.J.T. Pollard |
| Abstract: | Complex regulatory decisions about risk rely on the brokering of evidence between providers and recipients, and involve personality and power relationships that influence the confidence that recipients may place in the sufficiency of evidence and, therefore, the decision outcome. We explore these relationships in an agent-based model; drawing on concepts from environmental risk science, decision psychology and computer simulation. A two-agent model that accounts for the sufficiency of evidence is applied to decisions about salt intake, animal carcass disposal and radioactive waste. A dynamic version of the model assigned personality traits to agents, to explore their receptivity to evidence. Agents with ‘aggressor’ personality sets were most able to imbue fellow agents with enhanced receptivity (with ‘avoider’ personality sets less so) and clear confidence in the sufficiency of evidence. In a dynamic version of the model, when both recipient and provider were assigned the ‘aggressor’ personality set, this resulted in 10 successful evidence submissions in 71 days, compared with 96 days when both agents were assigned the ‘avoider’ personality set. These insights suggest implications for improving the efficiency and quality of regulatory decision making by understanding the role of personality and power. |
| Keywords: | risk; agent; regulation; power; personality; model |
| JEL: | G32 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:51229&r=cmp |
| By: | Matteo Iacoviello (Federal Reserve Board) |
| Abstract: | We describe how to adapt a first-order perturbation approach and apply it in a piecewise fashion to handle occasionally binding constraints in dynamic models. Our examples include a real business cycle model with a constraint on the level of investment, a New Keynesian model subject to the zero lower bound on nominal interest rates, and a model of optimal consumption choice in the presence of liquidity constraints. In each case, we compare the piecewise linear perturbation solution with a high-quality numerical solution that can be taken to be virtually exact. The piecewise linear perturbation method can adequately capture key properties of the models we consider. A key advantage of this method is its applicability to models with a large number of state variables. |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed014:801&r=cmp |
| By: | Christophe Michel; Victor Reutenauer; Denis Talay; Etienne Tanr\'e |
| Abstract: | We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error. We here propose an efficient algorithm based on the stochastic gradient method to compute an approximate optimal strategy without solving a stochastic control problem. We validate our algorithm by numerical experiments. We also develop several variants of the algorithm and discuss their performances in terms of the numerical parameters and the liquidity cost. |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1501.07404&r=cmp |
| By: | Alessandro Palma (Department of Economics, Roma Tre University, Italy.); Nicolò Barbieri (Deptartment of Economics. University of Bologna, Italy.) |
| Abstract: | The present study uses an original dataset on four large energy-efficient appliances and provides a methodology for: i) mapping components related to energy efficiency improvements; ii) mapping their evolution over time; iii) testing the technological fungibility of these components. Our analysis model exploits an original patent selection process and the concept of technological relatedness using co-occurrence analysis of patent classes as input for Self-Organising Maps, an unsupervised artificial neural network able to represent high-dimensional data in visually attractive and low-dimensional distance-based maps. The results confirm the pervasive nature of energy efficiency to be nested in many technological components. In addition, we show that a dematerialisation process has affected the evolution of energy efficiency technologies over time, in a technological space characterised by a high level of complexity and variety. |
| Keywords: | energy efficiency, Self-Organizing Maps, patent analysis, home appliances, ICTs |
| JEL: | Q55 Q41 O33 |
| Date: | 2015–01 |
| URL: | http://d.repec.org/n?u=RePEc:srt:wpaper:0215&r=cmp |
| By: | Coda Moscarola, Flavia; Colombino, Ugo; Figari, Francesco; Locatelli, Marilena |
| Abstract: | A tax shifting from labour income to housing taxation is generally advocated on efficiency grounds. However, most of the empirical literature focuses on the distributional implications of property tax reforms without paying much attention to potential consequences on the labour market. The aim of this paper is to fill this gap by investigating the effects of a tax shifting from labour income to property, guaranteeing revenue neutrality, and to assess the consequences of labour market equilibrium, both on occupation rates and income distribution. We propose to consider a hypothetical tax reform in Italy which uses the revenue of the tax on house property (actually implemented in 2012) for increasing tax credits on low incomes and making them refundable. In order to evaluate the reform we have developed a structural model of household labour supply which takes into account the labour market equilibrium conditions. Overall, the simulated policy provides a more effective income support and better inc |
| Date: | 2014–12–23 |
| URL: | http://d.repec.org/n?u=RePEc:ese:emodwp:em20-14&r=cmp |
| By: | Garnier, Ernesto (RWTH Aachen University); Madlener, Reinhard (E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN)) |
| Abstract: | This paper explores the economic benefits that wind and photovoltaic power plant operators can extract from the activation of flexible loads during their market operations. We compare two alternatives: (1) use of flexible loads to maximize relative day-ahead market value by shifting the portfolio balance in view of day-ahead price developments; (2) use of flexible loads in intraday operations to minimize the costs incurred when balancing forecast errors. We find that the latter option yields greater value than the former, both from an analytical and a market data perspective. On these grounds, we propose a model to shift loads before trading production forecast errors in continuous-trade intraday markets under uncertainty. In an illustrative example, the model is applied to simulate the trade operations of a small-scale wind power operator in the German power market with access to a limited pool of flexible loads in the household segment. The simulation demonstrates that demand-side flexibility can yield significant cost reductions; the extent is influenced by the volatility of prices and the time spans across which loads can be shifted. |
| Keywords: | - |
| Date: | 2014–11 |
| URL: | http://d.repec.org/n?u=RePEc:ris:fcnwpa:2014_017&r=cmp |