Computational Economics
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Matching Heterogeneous Traders in Quantity-Regulated Markets
Computational Economics - Tập 31 - Trang 341-362 - 2007
Two heuristic algorithms are developed to handle combinatorial and discrete complications persistent in markets where total quantity is regulated. The algorithms account for trader heterogeneity, which could either be innate (as exists in a wide class of environmental problems) or imposed by the regulator to simultaneously achieve a social goal, such as distributional equity. In addition, the algo......
Object Oriented (Dynamic) Programming: Closing the “Structural” Estimation Coding Gap
Computational Economics - Tập 62 - Trang 761-816 - 2022
This paper discusses how to design, solve and estimate dynamic programming models using the open source package niqlow. Reasons are given for why such a package has not appeared earlier and why the object-oriented approach followed by niqlow seems essential. An example is followed that starts with basic coding then expands the model and applies different solution methods to finally estimate parame......
International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming
Computational Economics - Tập 55 - Trang 383-405 - 2013
In this paper, we develop a multi-stage stochastic programming model for dynamic international portfolio risk management with options in an integrated view. Upon scenario trees, the model can automatically compute the optimal hedging strategies, which provides rolling and dynamic decisions for how much option positions should be established and how much should be liquidated, while simultaneously a......
Robust Evolutionary Algorithm Design for Socio-Economic Simulation: Some Comments
Computational Economics - Tập 33 - Trang 103-105 - 2008
Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach
Computational Economics - Tập 54 - Trang 507-534 - 2018
The aim of this study is to investigate the dynamics of the co-movements of energy and banking sector credit default swaps (CDS) spreads with global financial and economic policy uncertainty and risk factors in the United States and Europe. We first employ the standard quantile regression approach to examine the co-movement dynamics under different credit market conditions. The empirical results ......
A logic programming approach to revealed preference theory
Computational Economics - Tập 1 - Trang 97-111 - 1988
This paper shows the direct translation of revealed preference theory into a logic program. Tests of exact and approximate rationality based on the economic theory of revealed preference are presented in PROLOG. A special case of homothetic preference of the consumer behavior is also considered.
Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression
Computational Economics - Tập 39 - Trang 409-427 - 2011
The phrase business cycle is usually used for short term fluctuations in macroeconomic time series. In this paper we focus on the estimation of business cycles in a bivariate manner by fitting two series simultaneously. The underlying model is thereby nonparametric in that no functional form is prespecified but smoothness of the functions are assumed. The functions are then estimated using penaliz......
Production Games under Uncertainty
Computational Economics - Tập 14 - Trang 237-253 - 1999
The main objects below are transferable-utility games in which each agent faces an optimization problem, briefly called production planning, constrained by his resource endowment. Coalitions can pool members' resources. Such production games are here extended to accommodate uncertainty about events not known ex ante. Planning then takes the form of two-stage stochastic programming. Core solutions ......
Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities
Computational Economics - - 2024
The main aim of the present research is to consider a monetary union’s economy consisting of N countries, N fiscal authorities (one for each country) and a single monetary authority. The fiscal authorities want to stabilise output and public debt through the primary government balance, and they can exhibit heterogeneous preferences about the trade-off between output and debt stability. Unlike thes......
Low Complexity Algorithmic Trading by Feedforward Neural Networks
Computational Economics - Tập 54 - Trang 267-279 - 2017
In this paper, novel neural based algorithms are developed for electronic trading on financial time series. The proposed method is estimation based and trading actions are carried out after estimating the forward conditional probability distribution. The main idea is to introduce special encoding schemes on the observed prices in order to obtain an efficient estimation of the forward conditional p......
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