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3,700 |
A Dynamical Model of the Industrial Economy of the Humber Region
|
q-fin.EC
|
The Humber region in the UK is a large and diverse industrial area centred
around oil refining, chemical industries and energy production. However there
is currently a desire to see the region transition towards a more bio-based
economy. New bio-related industries are being situated in the region as a
consequence of policy and economic incentives. Many of these industries are
connected through their supply chains, either directly, or by sharing common
suppliers or customers and the growth or decline of one industry can hence have
impacts on many others. Therefore an important question to consider is what
effect this movement towards bio-based industry will actually have on the
regional economy as a whole. In this paper we develop a general abstract
dynamical model for the metabolic interactions of firms or industries. This
dynamical model has been applied to the Humber region in order to gain a deeper
understanding of how the region may develop. The model suggests that the
transition to a bio-based economy will occur with oil refining losing its
dominance to bioethanol production and biological chemical production, whilst
anaerobic digestion grows as a major source of electricity, in turn driving up
the value of regional waste aggregators and arable farming in the overall
economy.
|
finance
|
3,701 |
Stability and Identification with Optimal Macroprudential Policy Rules
|
q-fin.EC
|
This paper investigates the identification, the determinacy and the stability
of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial
stability indicators (such as asset prices deviations from their fundamental
values) and minimizing the volatility of the policy interest rates, when the
central bank precommits to financial stability. Firstly, ad hoc and
quasi-optimal rules parameters of financial stability indicators cannot be
identified. For those rules, non zero policy rule parameters of financial
stability indicators are observationally equivalent to rule parameters set to
zero in another rule, so that they are unable to inform monetary policy.
Secondly, under controllability conditions, optimal policy rules parameters of
financial stability indicators can all be identified, along with a bounded
solution stabilizing an unstable economy as in Woodford (2003), with
determinacy of the initial conditions of non- predetermined variables.
|
finance
|
3,702 |
The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research
|
q-fin.EC
|
The European Credit Research Institute Research Report 2013 identifies
Households debt "rapid increase and abrupt retrenchment" among the causes of
macroeconomic instability in the European Union after 2008. In our research: i)
we accessed the Bank of Italy Online Statistical Database on Customers and Risk
for Producer Households and Non-Financial Corporations with R Sweave open
access statistical software, which makes our analysis freely reproducible by
other researchers; ii) we subset the European System of Accounts sector
Households into the Bank of Italy sub-sectors Households and Producer
Households, which are market producing entities limited to informal
partnerships, de facto companies and sole proprietorships with up to five
employees and iii) we tested the hypothesis of "rapid increase and abrupt
retrenchment" of debt for this subset in Italy for the period 1996-2013. We
found that PH debt (bad debt) has been more stable with a lower Variation
Coefficient of 10.3% (14.2%) versus 13.2% (20.1%) in NFC. We also found that
the time series of the ratio of debt granted to NFC (numerator) versus PH
(denominator) is best described (Multiple Squared 0.95) by the concavity of the
5th degree coefficient (slope -1.22; 95% CI -1.52 - -0.91) of a 5th order
polynomial linear regression and by the convexity of the 2nd degree coefficient
(slope 4.26; 95% CI 2.53 - 5.99) for bad debt (Multiple R Squared 0.47), with
this concavity of debt and convexity of bad debt beginning with the Italian
crisis in the second trimester of 2008. We reject the hypothesis (p < 0.01) of
"rapid increase and abrupt retrenchment" of debt for the subset Producer
Households during the Italian Crisis. We generate the hypothesis that this
subset could represent a prospective source of stability relative to
Non-Financial Corporation.
|
finance
|
3,703 |
Can Analysts Predict Rallies Better Than Crashes?
|
q-fin.EC
|
We use the copula approach to study the structure of dependence between
sell-side analysts' consensus recommendations and subsequent security returns,
with a focus on asymmetric tail dependence. We match monthly vintages of
I/B/E/S recommendations for the period January to December 2011 with excess
security returns during six months following recommendation issue. Using a
symmetrized Joe-Clayton Copula (SJC) model we find evidence to suggest that
analysts can identify stocks that will substantially outperform, but not
underperform relative to the market, and that their predictive ability is
conditional on recommendation changes.
|
finance
|
3,704 |
Strategy-proofness and single-peackedness in bounded distributive lattices
|
q-fin.EC
|
Two distinct specifications of single peakedness as currently met in the
relevant literature are singled out and discussed. Then, it is shown that,
under both of those specifications, a voting rule as defined on a bounded
distributive lattice is strategy-proof on the set of all profiles of single
peaked total preorders if and only if it can be represented as an iterated
median of projections and constants, or equivalently as the behaviour of a
certain median tree-automaton. The equivalence of individual and coalitional
strategy-proofness that is known to hold for single peaked domains in bounded
linear orders fails in such a general setting. A related impossibility result
on anonymous coalitionally strategy-proof voting rules is also obtained.
|
finance
|
3,705 |
Superstars in politics: the role of the media in the rise and success of Junichiro Koizumi
|
q-fin.EC
|
This paper explores the role of mass media in people perceptions of
charismatic leaders, focusing on the case of Junichiro Koizumi, Prime Minister
of Japan from 2001 to 2006. Using survey data collected immediately after his
2005 landslide electoral victory, this study empirically assesses the influence
of television and newspapers on support for Koizumi and for the most
distinctive policy action he announced during his campaign, the privatization
of the postal service.
|
finance
|
3,706 |
Microscopic Models for Welfare Measures Addressing a Reduction of Economic Inequality
|
q-fin.EC
|
We formulate a flexible micro-to-macro kinetic model which is able to explain
the emergence of income profiles out of a whole of individual economic
interactions. The model is expressed by a system of several nonlinear
differential equations which involve parameters defined by probabilities.
Society is described as an ensemble of individuals divided into income classes;
the individuals exchange money through binary and ternary interactions, leaving
the total wealth unchanged. The ternary interactions represent taxation and
redistribution effects. Dynamics is investigated through computational
simulations, the focus being on the effects that different fiscal policies and
differently weighted welfare policies have on the long-run income
distributions. The model provides a tool which may contribute to the
identification of the most effective actions towards a reduction of economic
inequality. We find for instance that, under certain hypotheses, the Gini index
is more affected by a policy of reduction of the welfare and subsidies for the
rich classes than by an increase of the upper tax rate. Such a policy also has
the effect of slightly increasing the total tax revenue.
|
finance
|
3,707 |
A finite set of equilibria for the indeterminacy of linear rational expectations models
|
q-fin.EC
|
This paper demonstrates the existence of a finite set of equilibria in the
case of the indeterminacy of linear rational expectations models. The number of
equilibria corresponds to the number of ways to select n eigenvectors among a
larger set of eigenvectors related to stable eigenvalues. A finite set of
equilibria is a substitute to continuous (uncountable) sets of sunspots
equilibria, when the number of independent eigenvectors for each stable
eigenvalue is equal to one.
|
finance
|
3,708 |
Semiparametric Estimation of First-Price Auction Models
|
q-fin.EC
|
We propose a semiparametric method to estimate the density of private values
in first-price auctions. Specifically, we model private values through a set of
conditional moment restrictions and use a two-step procedure. In the first step
we recover a sample of pseudo private values using Local Polynomial Estimator.
In the second step we use a GMM procedure to estimate the parameter(s) of
interest. We show that the proposed semiparametric estimator is consistent, has
an asymptotic normal distribution, and attains the parametric ("root-n") rate
of convergence.
|
finance
|
3,709 |
Structural social capital and health in Italy
|
q-fin.EC
|
This paper presents the first empirical assessment of the causal relationship
between social capital and health in Italy. The analysis draws on the 2000 wave
of the Multipurpose Survey on Household conducted by the Italian Institute of
Statistics on a representative sample of the population (n = 46,868). Our
measure of social capital is the frequency of meetings with friends. Based on
IV and bivariate probit estimates, we find that individuals who meet friends
every day or at least two times a week are approximately 11% to 16% more likely
to report good health.
|
finance
|
3,710 |
Indicators of availability of non-market relations in the sphere of labor market in Ukraine
|
q-fin.EC
|
There are identified indicators of availability a non-market relations in the
sphere of labor market in Ukraine. It is concluded that illegal tax money paid
by legally working in Ukraine, as insurance premiums in the event of
unemployment. It is concluded that increased pressure from the government on
labor market regulators Ukraine established on a parity basis. There are
formulated recommendations for the implementation of the principle of a free
market economy in the regulation of the labor market of Ukraine.
|
finance
|
3,711 |
Visualising stock flow consistent models as directed acyclic graphs
|
q-fin.EC
|
We show how every stock-flow consistent model of the macroeconomy can be
represented as a directed acyclic graph. The advantages of representing the
model in this way include graphical clarity, causal inference, and model
specification. We provide many examples implemented with a new software
package.
|
finance
|
3,712 |
Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
|
q-fin.EC
|
In this paper we aim to address two questions faced by a long-term investor
with a power-type utility at high levels of wealth: one is whether the turnpike
property still holds for a general utility that is not necessarily
differentiable or strictly concave, the other is whether the error and the
convergence rate of the turnpike property can be estimated. We give positive
answers to both questions. To achieve these results, we first show that there
is a classical solution to the HJB equation and give a representation of the
solution in terms of the dual function of the solution to the dual HJB
equation. We demonstrate the usefulness of that representation with some
nontrivial examples that would be difficult to solve with the trial and error
method. We then combine the dual method and the partial differential equation
method to give a direct proof to the turnpike property and to estimate the
error and the convergence rate of the optimal policy when the utility function
is continuously differentiable and strictly concave. We finally relax the
conditions of the utility function and provide some sufficient conditions that
guarantee the turnpike property and the convergence rate in terms of both
primal and dual utility functions.
|
finance
|
3,713 |
On the convergence of the Fitness-Complexity Algorithm
|
q-fin.EC
|
We investigate the convergence properties of an algorithm which has been
recently proposed to measure the competitiveness of countries and the quality
of their exported products. These quantities are called respectively Fitness F
and Complexity Q. The algorithm was originally based on the adjacency matrix M
of the bipartite network connecting countries with the products they export,
but can be applied to any bipartite network. The structure of the adjacency
matrix turns to be essential to determine which countries and products converge
to non zero values of F and Q. Also the speed of convergence to zero depends on
the matrix structure. A major role is played by the shape of the ordered matrix
and, in particular, only those matrices whose diagonal does not cross the empty
part are guaranteed to have non zero values as outputs when the algorithm
reaches the fixed point. We prove this result analytically for simplified
structures of the matrix, and numerically for real cases. Finally, we propose
some practical indications to take into account our results when the algorithm
is applied.
|
finance
|
3,714 |
RHOMOLO: A Dynamic Spatial General Equilibrium Model for Assessing the Impact of Cohesion Policy
|
q-fin.EC
|
The paper presents the newly developed dynamic spatial general equilibrium
model of European Commission, RHOMOLO. The model incorporates several elements
from economic geography in a novel and theoretically consistent way. It
describes the location choice of different types of agents and captures the
interplay between agglomeration and dispersion forces in determining the
spatial equilibrium. The model is also dynamic as it allows for the
accumulation of factors of production, human capital and technology. This makes
RHOMOLO well suited for simulating policy scenario related to the EU cohesion
policy and for the analysis of its impact on the regions and the Member States
of the union.
|
finance
|
3,715 |
Conditional Preference Orders and their Numerical Representations
|
q-fin.EC
|
We provide an axiomatic system modeling conditional preference orders which
is based on conditional set theory. Conditional numerical representations are
introduced, and a conditional version of the theorems of Debreu on the
existence of numerical representations is proved. The conditionally continuous
representations follow from a conditional version of Debreu's Gap Lemma the
proof of which relies on a conditional version of the axiom of choice, free of
any measurable selection argument. We give a conditional version of the von
Neumann and Morgenstern representation as well as automatic conditional
continuity results, and illustrate them by examples.
|
finance
|
3,716 |
Comeback kids: an evolutionary approach of the long-run innovation process
|
q-fin.EC
|
We provide a theoretical framework to understand when firms may benefit from
exploiting previously abandoned technologies and brands. We model for the long
run process of innovation, allowing for sustainable diversity and comebacks of
old brands and technologies. We present two extensions to the logistic and
Lotka-Volterra equations, which describe the diffusion of an innovation. First,
we extend the short-term competition to a long-term process characterized by a
sequence of innovations and substitutions. Second, by allowing the
substitutions to be incomplete, we extend the one-dimensional process to a
tree-form multidimensional one featuring diversification throughout the
long-term development.
|
finance
|
3,717 |
Long Term Risk: A Martingale Approach
|
q-fin.EC
|
This paper extends the long-term factorization of the stochastic discount
factor introduced and studied by Alvarez and Jermann (2005) in discretetime
ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in
Markovian environments to general semimartingale environments. The transitory
component discounts at the stochastic rate of return on the long bond and is
factorized into discounting at the long-term yield and a positive
semimartingale that extends the principal eigenfunction of Hansen and
Scheinkman (2009) to the semimartingale setting. The permanent component is a
martingale that accomplishes a change of probabilities to the long forward
measure, the limit of T-forward measures. The change of probabilities from the
data generating to the long forward measure absorbs the long-term risk-return
trade-off and interprets the latter as the long-term risk-neutral measure.
|
finance
|
3,718 |
Identifying Multidiemsnional Adverse Selection Models
|
q-fin.EC
|
In this paper, I study the nonparametric identification of a multidimensional
adverse selection model. In particular, I consider the screening model of
Rochet and Chone (1998), where products have multiple characteristics and
consumers have private information about their multidimensional taste for these
characteristics, and determine the data features and additional condition(s)
that identify model parameters. The parameters include the nonparametric joint
density of consumer taste, the cost function, and the utility function, and the
data includes individual-level data on choices and prices paid from one market.
When the utility is nonlinear in product characteristics, however, data from
one market is not enough, but with data from at least two markets, or over two
periods, with different marginal prices is sufficient for identification as
long as these price differences are due to exogenous (and binary) changes in
cost and not because the two markets are inherently different. I also derive
all testable conditions for a joint distribution of observed choices and prices
to be rationalized by a model of multidimensional adverse selection.
|
finance
|
3,719 |
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
|
q-fin.EC
|
The energy and material processing industries are traditionally characterized
by very large-scale physical capital that is custom-built with long lead times
and long lifetimes. However, recent technological advancement in low-cost
automation has made possible the parallel operation of large numbers of
small-scale and modular production units. Amenable to mass-production, these
units can be more rapidly deployed but they are also likely to have a much
quicker turnover. Such a paradigm shift motivates the analysis of the combined
effect of lead time and lifetime on infrastructure investment decisions. In
order to value the underlying real option, we introduce an optimal multiple
stopping approach that accounts for operational flexibility, delay induced by
lead time, and multiple (finite/infinite) future investment opportunities. We
provide an analytical characterization of the firm's value function and optimal
stopping rule. This leads us to develop an iterative numerical scheme, and
examine how the investment decisions depend on lead time and lifetime, as well
as other parameters. Furthermore, our model can be used to analyze the critical
investment cost that makes small-scale (short lead time, short lifetime)
alternatives competitive with traditional large-scale infrastructure.
|
finance
|
3,720 |
Market Dynamics and Indirect Network Effects in Electric Vehicle Diffusion
|
q-fin.EC
|
The diffusion of electric vehicles (EVs) is studied in a two-sided market
framework consisting of EVs on the one side and EV charging stations (EVCSs) on
the other. A sequential game is introduced as a model for the interactions
between an EVCS investor and EV consumers. A consumer chooses to purchase an EV
or a conventional gasoline alternative based on the upfront costs of purchase,
the future operating costs and the availability of charging stations. The
investor, on the other hand, maximizes his profit by deciding whether to build
charging facilities at a set of potential EVCS sites or to defer his
investments. The solution of the sequential game characterizes the EV-EVCS
market equilibrium. The market solution is compared with that of a social
planner who invests in EVCSs with the goal of maximizing the social welfare. It
is shown that the market solution underinvests EVCSs, leading to slower EV
diffusion. The effects of subsidies for EV purchase and EVCSs are also
considered.
|
finance
|
3,721 |
Pareto Efficient Nash Implementation Via Approval Voting
|
q-fin.EC
|
We study implementation of a social choice correspondence in the case of two
players who have von Neumann - Morgenstern utilities over a finite set of
social alternatives, and the mechanism is allowed to output lotteries. Our main
positive result shows that a close variant of the popular approval voting
mechanism succeeds in selecting only Pareto efficient alternatives as pure Nash
equilibria outcomes. Moreover, we provide an exact characterization of pure
Nash equilibria profiles and outcomes of the mechanism. The characterization
demonstrates a close connection between the approval voting mechanism and the
notion of average fixed point, which is a point that is equal to the average of
all points that it does not Pareto dominate.
|
finance
|
3,722 |
International R&D Spillovers and other Unobserved Common Spillovers and Shocks
|
q-fin.EC
|
Studies which are based on Coe and Helpman (1995) and use weighted foreign
R&D variables to estimate channel-specific R&D spillovers disregard the
interaction between international R&D spillovers and other unobserved common
spillovers and shocks. Using a panel of 50 economies from 1970-2011, we find
that disregarding this interaction leads to inconsistent estimates whenever
knowledge spillovers and other unobserved effects are correlated with foreign
and domestic R&D. When this interaction is modeled, estimates are consistent;
however, they confound foreign and domestic R&D effects with unobserved
effects. Thus, the coefficient of a weighted foreign R&D variable cannot
capture genuine channel-specific R&D spillovers.
|
finance
|
3,723 |
Re-visiting the Distance Coefficient in Gravity Model
|
q-fin.EC
|
This paper revisits the classic gravity model in international trade and
reexamines the distance coefficient. As pointed out by Frankel (1997), this
coefficient measures the relative unit transportation cost between short
distance and long distance rather than the absolute level of average
transportation cost. Our results confirm this point in the sense that the
coefficient has been very stable between 1991-2006, despite the obvious
technological progress taken place during this period. Moreover, by comparing
the sensitivity of these coefficients to change in oil prices at short periods
of time, in which technology remained unchanged, we conclude that the average
technology has indeed reduced the average trading cost. The results are robust
when we divide the aggregate international trades into different industries.
|
finance
|
3,724 |
Dynamic Games with Almost Perfect Information
|
q-fin.EC
|
This paper aims to solve two fundamental problems on finite or infinite
horizon dynamic games with perfect or almost perfect information. Under some
mild conditions, we prove (1) the existence of subgame-perfect equilibria in
general dynamic games with almost perfect information, and (2) the existence of
pure-strategy subgame-perfect equilibria in perfect-information dynamic games
with uncertainty. Our results go beyond previous works on continuous dynamic
games in the sense that public randomization and the continuity requirement on
the state variables are not needed. As an illustrative application, a dynamic
stochastic oligopoly market with intertemporally dependent payoffs is
considered.
|
finance
|
3,725 |
Empirical Relevance of Ambiguity in First Price Auction Models
|
q-fin.EC
|
We study the identification and estimation of first-price auction models
where bidders have ambiguity about the valuation distribution and their
preferences are represented by maxmin expected utility. When entry is
exogenous, the distribution and ambiguity structure are nonparametrically
identified, separately from risk aversion (CRRA). We propose a flexible
Bayesian method based on Bernstein polynomials. Monte Carlo experiments show
that our method estimates parameters precisely, and chooses reserve prices with
(nearly) optimal revenues, whether there is ambiguity or not. Furthermore, if
the model is misspecified -- incorrectly assuming no ambiguity among bidders --
it may induce estimation bias with a substantial revenue loss.
|
finance
|
3,726 |
The Social Cost of Carbon with Economic and Climate Risks
|
q-fin.EC
|
There is great uncertainty about future climate conditions and the
appropriate policies for managing interactions between the climate and the
economy. We develop a multidimensional computational model to examine how
uncertainties and risks in the economic and climate systems affect the social
cost of carbon (SCC)---that is, the present value of the marginal damage to
economic output caused by carbon emissions. The SCC is substantially increased
by economic and climate risks at both current and future times. Furthermore,
the SCC is itself a stochastic process with significant variation; for example,
the basic elements of risk incorporated into our model cause the SCC in 2100 to
be, with significant probability, ten times what it would be without those
risks. We have only imprecise information about what parameter values are best
for approximating reality. To deal with this parametric uncertainty we perform
extensive uncertainty quantification and show that these findings are robust
for a wide range of alternative specifications. More generally, this work shows
that large-scale computing can enable economists to examine substantially more
complex and realistic models for the purposes of policy analysis.
|
finance
|
3,727 |
Homogenization and Clustering as a Non-Statistical Methodology to Assess Multi-Parametrical Chain Problems
|
q-fin.EC
|
We present a new theoretical and numerical assessment methodology for a
one-dimensional process chain with general applicability to management problems
such as the optimization of decision chains or production chains. The process
is thereby seen as a chain of subsequently arranged units with random
parameters influencing the objective function. For solving such complex chain
problems, analytical methods usually fail and statistical methods only provide
approximate solutions while requiring massive computing power. We took insights
from physics to develop a new methodology based on homogenization and
clustering. The core idea is to replace the complex real chain with a virtual
chain that homogenizes the involved parameters and clusters the working units
into global units to facilitate computation. This methodology drastically
reduces computing time, allows for the derivation of analytical formulas, and
provides fast and objective insights about the optimization problem under
investigation. We illustrate the analytical potency of this methodology by
applying it to the production problem of selecting the economically superior
quality maintenance strategy. It can further be applied to all sequential
multi-parametrical chain problems commonly found in business.
|
finance
|
3,728 |
From 0D to 1D spatial models using OCMat
|
q-fin.EC
|
We show that the standard class of optimal control models in OCMat can be
used to analyze 1D spatial distributed systems. This approach is an
intermediate step on the way to the FEM discretization approach presented in
Grass and Uecker (2015). Therefore, the spatial distributed model is
transformed into a standard model by a finite difference discretization. This
(high dimensional) standard model is then analyzed using OCMAT. As an example
we apply this method to the spatial distributed shallow lake model formulated
in Brock and Xepapadeas (2008). The results are then compared with those of the
FEM discretization in GRass and Uecker (2015)
|
finance
|
3,729 |
On the Failures of Bonus Plans
|
q-fin.EC
|
A decision maker (DM) has some funds invested through two investment firms.
She wishes to allocate additional funds according to the firms' earnings. The
DM, on the one hand, tries to maximize the total expected earnings, while the
firms, on the other hand, try to maximize the overall expected funds they
manage. In this paper we prove that, for every market, the DM has an optimal
bonus policy such that the firms are motivated to act according to the
interests of the DM. On the other hand, we also prove that the only policy that
is optimal in every market, is independent of the actions and earnings of the
firms.
|
finance
|
3,730 |
Optimal forest rotation age under efficient climate change mitigation
|
q-fin.EC
|
This paper considers the optimal rotation of forests when the carbon flows of
forest growth and harvest are priced with an increasing price. Such an
evolution of carbon price is generally associated with economically efficient
climate change mitigation, and would provide incentives for the land-owner for
enhanced carbon sequestration. With an infinitely long sequence of even-aged
forest rotations, the optimal harvest age changes with subsequent rotations due
to the changing carbon price. The first-order optimality conditions therefore
also involve an infinite chain of lengths for consecutive forest rotations, and
allow the approximation of the infinite-time problem with a truncated series of
forest rotations.
Illustrative numerical calculations show that when starting from bare land,
the initial carbon price and its growth rate both primarily increase the length
of the first rotation. With some combinations of the carbon pricing parameters,
the optimal harvest age can be several hundred years if the forest carbon is
released to the atmosphere upon harvest. This effect is not, however, entirely
monotonous. Consequently, the currently optimal harvest ages are generally
lower with higher rates of carbon price increase. This creates an interesting
temporal aspect, suggesting that the supply of wood and carbon sequestration by
forests can change considerably during subsequent rotations under an increasing
price on carbon.
|
finance
|
3,731 |
The Theory of a Heliospheric Economy
|
q-fin.EC
|
Despite more than 50 years of human space exploration, no paper in the field
of economics has been published regarding the theory of a space-based economy.
The aim of this paper is to develop quantitative techniques to estimate
conditions of the human heliospheric expansion. An empirical analysis of
current space commercialization and reasoning from first economic principles
yields an evolutionary prisoner's dilemma game on a dynamically scaled
heterogeneous Newman-Watts Small World Network to generate a new space. The
analysis allows for scalar measurements of behavior, market structures, wealth,
and technological prowess, with time measured relative to the system. Four
major phases of heliospheric expansion become evident, in which the dynamic of
the economic environment drives further exploration. Further research could
combine empirical estimations of parameters with computer simulations to prove
results to inform long-term business plans or public policy to further
incentivize human heliospheric domination.
|
finance
|
3,732 |
Business cycle synchronization within the European Union: A wavelet cohesion approach
|
q-fin.EC
|
In this paper, we map the process of business cycle synchronization across
the European Union. We study this synchronization by applying wavelet
techniques, particularly the cohesion measure with time-varying weights. This
novel approach allows us to study the dynamic relationship among selected
countries from a different perspective than the usual time-domain models.
Analyzing monthly data from 1990 to 2014, we show an increasing co-movement of
the Visegrad countries with the European Union after the countries began
preparing for the accession to the European Union. With particular focus on the
Visegrad countries we show that participation in a currency union possibly
increases the co-movement. Furthermore, we find a high degree of
synchronization in long-term horizons by analyzing the Visegrad Four and
Southern European countries' synchronization with the core countries of the
European Union.
|
finance
|
3,733 |
Time-scale analysis of co-movement in EU sovereign bond markets
|
q-fin.EC
|
We study the co-movement of the 10-year sovereign bond yields of 11 EU
countries. Our analysis is focused mainly on changes in co-movement during the
financial crisis period, especially around two significant dates - the fall of
Lehman Brothers, September 15, 2008, and the announcement of the increase of
Greece's public deficit on October 20, 2009. We study co-movement dynamics
using wavelet analysis, which allows us to observe how co-movement changes
across frequencies and over time. We divide the countries into three groups:
the core of the Eurozone, the periphery of the Eurozone and the states outside
the Eurozone. The results indicate that co-movement decreased considerably
during the crisis period for all country pairs but that there are significant
differences among the groups. Furthermore, we demonstrate that the co-movement
of bond yields is frequency (scale) dependent.
|
finance
|
3,734 |
How log-normal is your country? An analysis of the statistical distribution of the exported volumes of products
|
q-fin.EC
|
We have considered the statistical distributions of the volumes of the
different products exported by 148 countries. We have found that the form of
these distributions is not unique but heavily depends on the level of
development of the nation, as expressed by macroeconomic indicators like GDP,
GDP per capita, total export and a recently introduced measure for countries'
economic complexity called fitness. We have identified three major classes: a)
an incomplete log-normal shape, truncated on the left side, for the less
developed countries, b) a complete log-normal, with a wider range of volumes,
for nations characterized by intermediate economy, and c) a strongly asymmetric
shape for countries with a high degree of development. The ranking curves of
the exported volumes from each country seldom cross each other, showing a clear
hierarchy of export volumes. Finally, the log-normality hypothesis has been
checked for the distributions of all the 148 countries through different tests,
Kolmogorov-Smirnov and Cramer-Von Mises, confirming that it cannot be rejected
only for the countries of intermediate economy.
|
finance
|
3,735 |
Resolute refinements of social choice correspondences
|
q-fin.EC
|
Many classical social choice correspondences are resolute only in the case of
two alternatives and an odd number of individuals. Thus, in most cases, they
admit several resolute refinements, each of them naturally interpreted as a
tie-breaking rule, satisfying different properties. In this paper we look for
classes of social choice correspondences which admit resolute refinements
fulfilling suitable versions of anonymity and neutrality. In particular,
supposing that individuals and alternatives have been exogenously partitioned
into subcommittees and subclasses, we find out arithmetical conditions on the
sizes of subcommittees and subclasses that are necessary and sufficient for
making any social choice correspondence which is efficient, anonymous with
respect to subcommittees, neutral with respect to subclasses and possibly
immune to the reversal bias admit a resolute refinement sharing the same
properties.
|
finance
|
3,736 |
A Bayesian Model of the Litigation Game
|
q-fin.EC
|
Over a century ago, Oliver Wendell Holmes invited scholars to look at the law
through the lens of probability theory: "The prophecies of what the courts will
do in fact, and nothing more pretentious, are what I mean by the law." Yet few
legal scholars have taken up this intriguing invitation. As such, in place of
previous approaches to the study of law, this paper presents a non-normative,
mathematical approach to law and the legal process. Specifically, we present a
formal Bayesian model of civil and criminal litigation, or what we refer to as
the litigation game; that is, instead of focusing on the rules of civil or
criminal procedure or substantive legal doctrine, we ask and attempt to answer
a mathematical question: what is the posterior probability that a defendant in
a civil or criminal trial will be found liable, given that the defendant has,
in fact, committed a wrongful act?
|
finance
|
3,737 |
Note on tax enforcement and transfer pricing manipulation
|
q-fin.EC
|
This note proposes the segregation of independent endogenous and exogenous
components of tax penalty probability to introduce a formal demonstration that
enforcement and tax penalties are negatively related with income shifting. JEL
F23; H26.
|
finance
|
3,738 |
Analysis of Professional Trajectories using Disconnected Self-Organizing Maps
|
q-fin.EC
|
In this paper we address an important economic question. Is there, as
mainstream economic theory asserts it, an homogeneous labor market with
mechanisms which govern supply and demand for work, producing an equilibrium
with its remarkable properties? Using the Panel Study of Income Dynamics (PSID)
collected on the period 1984-2003, we study the situations of American workers
with respect to employment. The data include all heads of household (men or
women) as well as the partners who are on the labor market, working or not.
They are extracted from the complete survey and we compute a few relevant
features which characterize the worker's situations. To perform this analysis,
we suggest using a Self-Organizing Map (SOM, Kohonen algorithm) with specific
structure based on planar graphs, with disconnected components (called D-SOM),
especially interesting for clustering. We compare the results to those obtained
with a classical SOM grid and a star-shaped map (called SOS). Each component of
D-SOM takes the form of a string and corresponds to an organized cluster. From
this clustering, we study the trajectories of the individuals among the classes
by using the transition probability matrices for each period and the
corresponding stationary distributions. As a matter of fact, we find clear
evidence of heterogeneous parts, each one with high homo-geneity, representing
situations well identified in terms of activity and wage levels and in degree
of stability in the workplace. These results and their interpretation in
economic terms contribute to the debate about flexibility which is commonly
seen as a way to obtain a better level of equilibrium on the labor market.
|
finance
|
3,739 |
Inequality and risk aversion in economies open to altruistic attitudes
|
q-fin.EC
|
This paper attempts to find a relationship between agents' risk aversion and
inequality of incomes. Specifically, a model is proposed for the evolution in
time of surplus/deficit distribution, and the long-time distributions are
characterized almost completely. They turn out to be weak Pareto laws with
exponent linked to the relative risk aversion index which, in turn, is supposed
to be the same for every agent. On the one hand, the aforesaid link is
expressed by an affine transformation. On the other hand, the level of the
relative risk aversion index results from a frequency distribution of
observable quantities stemming from how agents interact in an economic sense.
Combination of these facts is conducive to the specification of qualitative and
quantitative characteristics of actions fit for the control of income
concentration.
|
finance
|
3,740 |
Axiomatization of the Choquet integral for 2-dimensional heterogeneous product sets
|
q-fin.EC
|
We prove a representation theorem for the Choquet integral model. The
preference relation is defined on a two-dimensional heterogeneous product set
$X = X_1 \times X_2$ where elements of $X_1$ and $X_2$ are not necessarily
comparable with each other. However, making such comparisons in a meaningful
way is necessary for the construction of the Choquet integral (and any
rank-dependent model). We construct the representation, study its uniqueness
properties, and look at applications in multicriteria decision analysis,
state-dependent utility theory, and social choice. Previous axiomatizations of
this model, developed for decision making under uncertainty, relied heavily on
the notion of comonotocity and that of a "constant act". However, that requires
$X$ to have a special structure, namely, all factors of this set must be
identical. Our characterization does not assume commensurateness of criteria a
priori, so defining comonotonicity becomes impossible.
|
finance
|
3,741 |
Modélisation spatiale de la formation des agglomérations dans la zone algéroise
|
q-fin.EC
|
The goal of this study is to analyze the dynamics underlying Algiers urban
area formation with reference to The New Economic Geography (NEG) theories and
more precisely to the paper of Paul Krugman (1991), "Increasing returns and
economic geography" which explains the mechanisms of economic activities
concentration through two types of forces: centripetal forces enhancing the
economic activities concentration and centrifugal forces hindering the
agglomeration process. In fact, these mechanisms are translated into a system
of nonlinear equations which is very hard to solve analytically. As a
consequence, the use of numerical methods is highly advocated. We present some
numerical simulations using real Algerian data.
|
finance
|
3,742 |
Existence of continuous euclidean embeddings for a weak class of orders
|
q-fin.EC
|
We prove that if $X$ is a topological space that admits Debreu's classical
utility theorem (eg.\ $X$ is separable and connected, second countable, etc.),
then order relations on $X$ satisfying milder completeness conditions can be
continuously embedded in $\mathbb R^I$ for $I$ some index set. In the
particular case where $X$ is a compact metric space, this closes a conjecture
of Nishimura \& Ok (2015). We also show that when $\mathbb R^I$ is given a
non-standard partial order coinciding with Pareto improvement, the analogous
embedding theorem fails to hold in the continuous case.
|
finance
|
3,743 |
Role of non-timber forest products in sustaining forest-based livelihoods and rural households' resilience capacity in and around protected area- a Bangladesh study
|
q-fin.EC
|
People in developing world derive a significant part of their livelihoods
from various forest products, particularly non-timber forest products. This
article attempts to explore the contribution of NTFPs in sustaining
forest-based rural livelihood in and around a protected area of Bangladesh, and
their potential role in enhancing households resilience capacity. Based on
empirical investigation our study revealed that, local communities gather a
substantial amount of NTFPs from national park despite the official
restrictions. 27 percent households of the area received at least some cash
benefit from the collection, processing and selling of NTFPs, and NTFPs
contribute as HHs primary, supplementary and emergency sources of income. NTFPs
also constituted an estimated 19 percent of HHs net annual income, and were the
primary occupation for about 18 percent of the HHs. HHs dependency on nearby
forests for various NTFPs varied vis-a-vis their socio-economic condition as
well as with their location from the park. Based on our case study the article
also offers some clues for improving the situation in PA.
|
finance
|
3,744 |
A Model for Tax Evasion with Some Realistic Properties
|
q-fin.EC
|
We present a discrete-time dynamic model of income tax evasion. The model is
solved exactly in the case of a single taxpayer and shown to have some
realistic properties, including avoiding the Yitzhaki paradox. The extension to
an agent-based model with a network of taxpayers is also investigated.
|
finance
|
3,745 |
Transfer pricing manipulation, tax penalty cost and the impact of foreign profit taxation
|
q-fin.EC
|
This paper analizes the optimal level of transfer pricing manipulation when
the expected tax penalty is a function of the tax enforcement and the market
price parameter. The arm's length principle implies the existence of a range of
acceptable prices shaped by market, and firms can manipulate transfer prices
more freely if market price range is wide, or if its delimitations are
difficult to determine. Home taxation of foreign profits can reduce income
shifting incentive, depending on the portion of repatriation for tax purposes.
We find that the limited tax credit rule tends to be a less efficient measure,
nonetheless it is the most widely adopted rule by countries, so to spark the
perspective of more powerful approaches for taxation of foreign profits.
|
finance
|
3,746 |
Optimal Taxation with Endogenous Default under Incomplete Markets
|
q-fin.EC
|
In a dynamic economy, we characterize the fiscal policy of the government
when it levies distortionary taxes and issues defaultable bonds to finance its
stochastic expenditure. Default may occur in equilibrium as it prevents the
government from incurring in future tax distortions that would come along with
the service of the debt. Households anticipate the possibility of default
generating endogenous credit limits. These limits hinder the government's
ability to smooth taxes using debt, implying more volatile and less serially
correlated fiscal policies, higher borrowing costs and lower levels of
indebtedness. In order to exit temporary financial autarky following a default
event, the government has to repay a random fraction of the defaulted debt. We
show that the optimal fiscal and renegotiation policies have implications
aligned with the data.
|
finance
|
3,747 |
The nonlinear Bernstein-Schrödinger equation in Economics
|
q-fin.EC
|
In this paper we relate the Equilibrium Assignment Problem (EAP), which is
underlying in several economics models, to a system of nonlinear equations that
we call the "nonlinear Bernstein-Schr\"odinger system", which is well-known in
the linear case, but whose nonlinear extension does not seem to have been
studied. We apply this connection to derive an existence result for the EAP,
and an efficient computational method.
|
finance
|
3,748 |
Is Collusion-Proof Procurement Expensive?
|
q-fin.EC
|
Collusion among bidders adversely affects procurement cost and in some cases
efficiency, and it seems collusion is more prevalent that we would like.
Statistical methods of detecting collusion just using bid data, in a hope to
deter future collusion, is perilous, and access to additional data is rare and
often always after the fact. In this paper, we estimate the extra cost of
implementing a new procurement rule proposed by Chen and Micali [2012] that is
robust to collusion and always guarantees the efficient outcome. The rule
requires bidders to report their coalition and to ensure
incentive-compatibility, the mechanism allows them to attain rents. We estimate
this rent using data from California highway construction and find it to be
anywhere between 1.6% to 5%. Even after we factor in the marginal excess burden
of taxes needed to finance these rents, the cost ranges between 2.08% and 6.5%,
suggesting that there is a room to think about running this new auction,
suggesting we should consider this auction.
|
finance
|
3,749 |
Autonomics: an autonomous and intelligent economic platform and next generation money tool
|
q-fin.EC
|
We propose a high level network architecture for an economic system that
integrates money, governance and reputation. We introduce a method for issuing,
and redeeming a digital coin using a mechanism to create a sustainable global
economy and a free market. To maintain a currency's value over time, and
therefore be money proper, we claim it must be issued by the buyer and backed
for value by the seller, exchanging the products of labour, in a free market.
We also claim that a free market and sustainable economy cannot be maintained
using economically arbitrary creation and allocation of money. Nakamoto, with
Bitcoin, introduced a new technology called the cryptographic blockchain to
operate a decentralised and distributed accounts ledger without the need for an
untrusted third party. This blockchain technology creates and allocates new
digital currency as a reward for "proof-of-work", to secure the network.
However, no currency, digital or otherwise, has solved how to create and
allocate money in an economically non-arbitrary way, or how to govern and trust
a world-scale free enterprise money system. We propose an "Ontologically
Networked Exchange" (ONE), with purpose as its highest order domain. Each
purpose is defined in a contract, and the entire economy of contracts is
structured in a unified ontology. We claim to secure the ONE network using
economically non-arbitrary methodologies and economically incented human
behaviour. Decisions influenced by reputation help to secure the network
without an untrusted third party. The stack of contracts, organised in a
unified ontology, functions as a super recursive algorithm, with individual use
programming the algorithm, acting as the "oracle". The state of the algorithm
becomes the "memory" of a scalable and trustable artificial intelligence (AI).
This AI offers a new platform for what we call the "Autonomy-of-Things" (AoT).
|
finance
|
3,750 |
The Poker-Litigation Game
|
q-fin.EC
|
Is litigation a serious search for truth or simply a game of skill or luck?
Although the process of litigation has been modeled as a Prisoner's Dilemma, as
a War of Attrition, as a Game of Chicken and even as a simple coin toss, no one
has formally modeled litigation as a game of poker. This paper is the first to
do so. We present a simple "poker-litigation game" and find the optimal
strategy for playing this game.
|
finance
|
3,751 |
Dynamic Model of the Price Dispersion of Homogeneous Goods
|
q-fin.EC
|
Presented is an analytic microeconomic model of the temporal price dispersion
of homogeneous goods in polypoly markets. This new approach is based on the
idea that the price dispersion has its origin in the dynamics of the purchase
process. The price dispersion is determined by the chance that demanded and
supplied product units meet in a given price interval. It can be characterized
by a fat-tailed Laplace distribution for short and by a lognormal distribution
for long time horizons. Taking random temporal variations of demanded and
supplied units into account both the mean price and also the standard deviation
of the price dispersion are governed by a lognormal distribution. A comparison
with empirical investigations confirms the model statements.
|
finance
|
3,752 |
Measuring economic complexity of countries and products: which metric to use?
|
q-fin.EC
|
Evaluating the economies of countries and their relations with products in
the global market is a central problem in economics, with far-reaching
implications to our theoretical understanding of the international trade as
well as to practical applications, such as policy making and financial
investment planning. The recent Economic Complexity approach aims to quantify
the competitiveness of countries and the quality of the exported products based
on the empirical observation that the most competitive countries have
diversified exports, whereas developing countries only export few low quality
products -- typically those exported by many other countries. Two different
metrics, Fitness-Complexity and the Method of Reflections, have been proposed
to measure country and product score in the Economic Complexity framework. We
use international trade data and a recent ranking evaluation measure to
quantitatively compare the ability of the two metrics to rank countries and
products according to their importance in the network. The results show that
the Fitness-Complexity metric outperforms the Method of Reflections in both the
ranking of products and the ranking of countries. We also investigate a
Generalization of the Fitness-Complexity metric and show that it can produce
improved rankings provided that the input data are reliable.
|
finance
|
3,753 |
Interdisciplinary Business Games on Sustainable Development: Theoretical Foundations and Prospects of Implementation
|
q-fin.EC
|
The article defines the place of business games among all games in general
based on the classification by F.G. Junger; it provides critical analysis of
existing business games types; it also formulates requirements and lays
theoretical foundations and elements of the methodology and organization of
interdisciplinary business games (IBG) on sustainable development as a special
type of business games. In addition, it examines the prospects of IBG
implementation in higher education for sustainable development, using
information technology and computer resources.
|
finance
|
3,754 |
The Principle of the Malevolent Hiding Hand; or, the Planning Fallacy Writ Large
|
q-fin.EC
|
We identify and document a new principle of economic behavior: the principle
of the Malevolent Hiding Hand. In a famous discussion, Albert Hirschman
celebrated the Hiding Hand, which he saw as a benevolent mechanism by which
unrealistically optimistic planners embark on unexpectedly challenging plans,
only to be rescued by human ingenuity, which they could not anticipate, but
which ultimately led to success, principally in the form of unexpectedly high
net benefits. Studying eleven projects, Hirschman suggested that the Hiding
Hand is a general phenomenon. But the Benevolent Hiding Hand has an evil twin,
the Malevolent Hiding Hand, which blinds excessively optimistic planners not
only to unexpectedly high costs but also to unexpectedly low net benefits.
Studying a much larger sample than Hirschman did, we find that the Malevolent
Hiding Hand is common and that the phenomenon that Hirschman identified is
rare. This sobering finding suggests that Hirschman's phenomenon is a special
case; it attests to the pervasiveness of the planning fallacy, writ very large.
One implication involves the continuing need for unbiased cost-benefit analyses
and other economic decision support tools; another is that such tools might
sometimes prove unreliable.
|
finance
|
3,755 |
IMF Lending and Economic Growth: An Empirical Analysis of Ukraine
|
q-fin.EC
|
This study uses Vector Autoregression (VAR) Methodology as well as Vector
Error Correction (VEC) Methodology to examine the existence and direction of
causality between economic growth and IMF lending for Ukraine. The paper
examines the IMF lending data for the period of 1991-2010. Robust empirical
analysis indicates that IMF lending has a negative effect of on Ukraine's
economic growth in the short term. Policy implications of this finding are
that, despite short-run decline in economic growth, IMF lending can result in a
long-run sustainable growth for Ukraine. For this, policymakers need to ensure
that fund's money are used not only to cover budget's deficit, but also to
finance institutional reforms.
|
finance
|
3,756 |
Universalized Prisoner's Dilemma With Risk
|
q-fin.EC
|
In this paper I present a mathematically novel approach to the Prisoner's
Dilemma. I do so by first defining recursively a distinct action type, what I
call 'universalizing', that I add to the original prisoner's dilemma. Such a
modified version of the Prisoner's Dilemma provides a very food productive
model of the choices that would be made in a prisoner's dilemma by agents who
trust each other. As I show, players playing a universalized prisoner's dilemma
get as far out of the dilemma as is mathematically possible. I then add the
concept of risk to the universalized version of prisoner's dilemma. Doing so
provide a model that is sensitive to the trustworthiness of the agents in any
prisoner's dilemma. As I show, with no risk, agents get out of the prisoners
dilemma; and with maximal risk, the succumb to it. succumb to it.
|
finance
|
3,757 |
Information equilibrium as an economic principle
|
q-fin.EC
|
A general information equilibrium model in the case of ideal information
transfer is defined and then used to derive the relationship between supply
(information destination) and demand (information source) with the price as the
detector of information exchange between demand and supply. We recover the
properties of the traditional economic supply-demand diagram. Information
equilibrium is then applied to macroeconomic problems, recovering some common
macroeconomic models in particular limits like the AD-AS model, IS-LM model (in
a low inflation limit), the quantity theory of money (in a high inflation
limit) and the Solow-Swan growth model. Information equilibrium results in
empirically accurate models of inflation and interest rates, and can be used to
motivate a 'statistical economics', analogous to statistical mechanics for
thermodynamics.
|
finance
|
3,758 |
The Corporate Social Responsibility is just a twist in a Möbius Strip
|
q-fin.EC
|
In recent years economics agents and systems have became more and more
interacting and juxtaposed, therefore the social sciences need to rely on the
studies of physical sciences to analyze this complexity in the relationships.
According to this point of view we rely on the geometrical model of the
M\"obius strip used in the electromagnetism which analyzes the moves of the
electrons that produce energy. We use a similar model in a Corporate Social
Responsibility context to devise a new cost function in order to take into
account of three positive crossed effects on the efficiency: i)cooperation
among stakeholders in the same sector, ii)cooperation among similar
stakeholders in different sectors and iii)the stakeholders' loyalty towards the
company. By applying this new cost function to a firm's decisional problem we
find that investing in Corporate Social Responsibility activities is ever
convenient depending on the number of sectors, the stakeholders' sensitivity to
these investments and the decay rate to alienation. Our work suggests a new
method of analysis which should be developed not only at a theoretical but also
at an empirical level.
|
finance
|
3,759 |
Dynamics and Stability in Retail Competition
|
q-fin.EC
|
Retail competition today can be described by three main features: i)
oligopolistic competition, ii) multi-store settings, and iii) the presence of
large economies of scale. In these markets, firms usually apply a centralized
decisions making process in order to take full advantage of economies of
scales, e.g. retail distribution centers. In this paper, we model and analyze
the stability and chaos of retail competition considering all these issues. In
particular, a dynamic multi-market Cournot-Nash equilibrium with global
economies and diseconomies of scale model is developed. We confirm the
non-intuitive hypothesis that retail multi-store competition is more unstable
that traditional small business that cover the same demand. The main sources of
stability are the scale parameter and the number of markets
|
finance
|
3,760 |
Basic industrial funds of cargo motor transport enterprises: problems of effective use
|
q-fin.EC
|
This work investigates the structure of basic industrial funds of cargo motor
transport enterprises and peculiarities of the processes of their reproduction
in the conditions of social and economic relations transformation. On the basis
of statistic data of cargo-motor transport enterprises of Ivano-Frankivsk, Lviv
and Ternopil regions the author investigates the effect of production factors
on the level of capital productivity of the basic funds, he determines reserves
of its increase. The author motivates the necessity of adaptive qualitative
changes in the management and realization of industrial potential and
innovations activization in the sphere of cargo motor transportations,
scientiffically grounded recommendations for efficiency increase of the usage
of basic industrial funds of cargo motor transportation enterprises in modern
economic conditions are provided in this work.
|
finance
|
3,761 |
Estimating the Impact of Wind Generation in the UK
|
q-fin.EC
|
This paper studies the impact of wind generation on market prices and system
costs in the UK between 2013 and 2014. The wider effects and implications of
wind generation is of direct relevance and importance to policy makers, as well
as the grid operator and market traders. We compare electricity generation from
Coal, Gas and wind, on both the wholesale and imbalance market. We calculate
the system cost of wind generation (government subsidies and curtailment costs)
and the total energy costs. For the first time in the UK, we calculate the
Merit Order Effect on spot price due to the wind component and show a $1.67\%$
price decrease for every percentage point of wind generation (compared to the
``zero-wind'' price). The net result of total costs and price savings is
roughly zero (slight positive gain). We also consider the effect of not having
either an onshore or an offshore wind component. We show that the Merit-Order
Effect savings are heavily reduced, leading to an outgoing cost of wind
generation in both cases. It is therefore important to have a significant total
percentage of wind generation, from both onshore and offshore farms.
|
finance
|
3,762 |
Mathematics of Predicting Growth
|
q-fin.EC
|
Mathematical methods of analysis of data and of predicting growth are
discussed. The starting point is the analysis of the growth rates, which can be
expressed as a function of time or as a function of the size of the growing
entity. Application of these methods is illustrated using the world economic
growth but they can be applied to any other type of growth.
|
finance
|
3,763 |
A Link between Sequential Semi-anonymous Nonatomic Games and their Large Finite Counterparts
|
q-fin.EC
|
We show that equilibria of a sequential semi-anonymous nonatomic game (SSNG)
can be adopted by players in corresponding large but finite dynamic games to
achieve near-equilibrium payoffs. Such equilibria in the form of random
state-to-action rules are parsimonious in form and easy to execute, as they are
both oblivious of past history and blind to other players' present states. Our
transient results can be extended to a stationary case, where the finite
counterparts are special discounted stochastic games. The kind of equilibria we
adopt for SSNG are similar to distributional equilibria that are well
understood in literature, and they themselves are shown to exist.
|
finance
|
3,764 |
Analysis of Markovian Competitive Situations using Nonatomic Games
|
q-fin.EC
|
For dynamic situations where the evolution of a player's state is influenced
by his own action as well as other players' states and actions, we show that
equilibria derived for nonatomic games (NGs) can be used by their large finite
counterparts to achieve near-equilibrium performances. We focus on the case
with quite general spaces but also with independently generated shocks driving
random actions and state transitions. The NG equilibria we consider are random
state-to-action maps that pay no attention to players' external environments.
They are adoptable by a variety of real situations where awareness of other
players' states can be anywhere between full and non-existent. Transient
results here also form the basis of a link between an NG's stationary
equilibrium (SE) and good stationary profiles for large finite games.
|
finance
|
3,765 |
Wage gap between men and women in Tunisia
|
q-fin.EC
|
This paper focuses on estimating wage differences between males and females
in Tunisia by using the Oaxaca-Blinder decomposition, a technical that isolates
wage gap due to characteristics, from wage gap due to discrimination against
women. The data used in the analysis is obtained from the Tunisian Population
and Employment Survey 2005. It is estimated that, the gender wage gap is about
19% and the results ascertain that the gender wage gap is mostly attributed to
discrimination, especially to underestimation of females'caracteristics on the
labor market.
|
finance
|
3,766 |
A simple framework for the axiomatization of exponential and quasi-hyperbolic discounting
|
q-fin.EC
|
The main goal of this paper is to investigate which normative requirements,
or axioms, lead to exponential and quasi-hyperbolic forms of discounting.
Exponential discounting has a well-established axiomatic foundation originally
developed by Koopmans (1960, 1972) and Koopmans et al. (1964) with subsequent
contributions by several other authors, including Bleichrodt et al. (2008). The
papers by Hayashi (2003) and Olea and Strzalecki (2014) axiomatize
quasi-hyperbolic discounting. The main contribution of this paper is to provide
an alternative foundation for exponential and quasi-hyperbolic discounting,
with simple, transparent axioms and relatively straightforward proofs. Using
techniques by Fishburn (1982) and Harvey (1986), we show that Anscombe and
Aumann's (1963) version of Subjective Expected Utility theory can be readily
adapted to axiomatize the aforementioned types of discounting, in both finite
and infinite horizon settings.
|
finance
|
3,767 |
Some Dynamic Market Models
|
q-fin.EC
|
In this text, we study the temporal behavior of markets using models
expressible as ordinary differential equations. The markets studied are those
where each customer buys only one copy of the good, for example, subscription
of smartphone service, journals and newspapers, and goods such as books, music
and games. The underlying model is the diffusion model of Frank Bass. Evolution
of markets with no competitors and markets with several competitors are
analyzed where, in particulat, the effects of churning upon the market
evolution is investigated. Analytic solutions are given for the temporal
evolution of several types of interactive games.
|
finance
|
3,768 |
Water Stress on U.S. Power Production at Decadal Time Horizons
|
q-fin.EC
|
Thermoelectric power production at risk, owing to current and projected water
scarcity and rising stream temperatures, is assessed for the contiguous United
States at decadal scales. Regional water scarcity is driven by climate
variability and change, as well as by multi-sector water demand. While a
planning horizon of zero to about thirty years is occasionally prescribed by
stakeholders, the challenges to risk assessment at these scales include the
difficulty in delineating decadal climate trends from intrinsic natural or
multiple model variability. Current generation global climate or earth system
models are not credible at the spatial resolutions of power plants, especially
for surface water quantity and stream temperatures, which further exacerbates
the assessment challenge. Population changes, which are difficult to project,
cannot serve as adequate proxies for changes in the water demand across
sectors. The hypothesis that robust assessments of power production at risk are
possible, despite the uncertainties, has been examined as a proof of concept.
An approach is presented for delineating water scarcity and temperature from
climate models, observations and population storylines, as well as for
assessing power production at risk by examining geospatial correlations of
power plant locations within regions where the usable water supply for energy
production happens to be scarcer and warmer. Our analyses showed that in the
near term, more than 200 counties are likely to be exposed to water scarcity in
the next three decades. Further, we noticed that stream gauges in more than
five counties in the 2030s and ten counties in the 2040s showed a significant
increase in water temperature, which exceeded the power plant effluent
temperature threshold set by the EPA. Power plants in South Carolina,
Louisiana, and Texas are likely to be vulnerable owing to climate-driven water
stresses.
|
finance
|
3,769 |
Complex economies have a lateral escape from the poverty trap
|
q-fin.EC
|
We analyze the decisive role played by the complexity of economic systems at
the onset of the industrialization process of countries over the past 50 years.
Our analysis of the input growth dynamics, based on a recently introduced
measure of economic complexity, reveals that more differentiated and more
complex economies face a lower barrier (in terms of GDP per capita) when
starting the transition towards industrialization. Moreover, adding the
complexity dimension to the industrialization process description helps to
reconcile current theories with empirical findings.
|
finance
|
3,770 |
Key drivers of EU budget allocation: Does power matter?
|
q-fin.EC
|
We examine the determinants of the EU budget expenditures allocation among
different countries. In line with earlier literature, we consider two
alternative explanations for the EU budget distribution: political power vs.
needs view. Extending the original data set from Kauppi and Widgr\'en (2004),
we analyze the robustness of their predictions when applying a different
measure of power and more sophisticated econometric techniques. We conclude
that the nucleolus is a good alternative to the Shapley-Shubik index in
distributive situations such as the case of EU budget allocation. Our results
also show that when explaining budget shares, the relative weight of political
power based on the nucleolus is lower than the predictions of previous studies
based on the Shapley-Shubik index.
|
finance
|
3,771 |
Optimal environmental tax swaps and double dividend hypothesis
|
q-fin.EC
|
Taking environmental tax rate as given, is there an optimal allocation of tax
revenues to benefit economic variables? This paper analyzes this issue in an
overlapping-generations model with the pollution-related health damage. It
finds the optimal allocations towards pollution abatement and labor income to
maximize the steady-state lifetime welfare and per-worker output, respectively.
Moreover, a greater shift towards labor income might enhance steady-state
welfare while reducing per-worker output.
|
finance
|
3,772 |
Sovereign Default Risk and Uncertainty Premia
|
q-fin.EC
|
This paper studies how international investors' concerns about model
misspecification affect sovereign bond spreads. We develop a general
equilibrium model of sovereign debt with endogenous default wherein investors
fear that the probability model of the underlying state of the borrowing
economy is misspecified. Consequently, investors demand higher returns on their
bond holdings to compensate for the default risk in the context of uncertainty.
In contrast with the existing literature on sovereign default, we match the
bond spreads dynamics observed in the data together with other business cycle
features for Argentina, while preserving the default frequency at historical
low levels.
|
finance
|
3,773 |
Unified Growth Theory Contradicted by the Economic Growth in Europe
|
q-fin.EC
|
Historical economic growth in Western and Eastern Europe is analysed. These
regions should have produced the best and the most convincing confirmation of
the Unified Growth Theory because they, and in particular Western Europe, were
the centre of the Industrial Revolution, which according to Galor was the prime
engine of economic growth. However, the data for Western and Eastern Europe
show a remarkable disagreement with the Unified Growth Theory. There is no
connection, whatever, between the data and the Unified Growth Theory. The data
show that there was never a transition from stagnation to growth because there
was no stagnation. Industrial Revolution, which should have the strongest
influence in these regions, had absolutely no impact on changing the economic
growth trajectories. The alleged remarkable or stunning escape from Malthusian
trap did not happen because there was no trap. Unified Growth Theory does not
explain the mechanism of the economic growth because its explanations are based
on mythical features, which did not exist, the features contradicted by data.
This theory needs to be either thoroughly revised or most likely replaced by a
theory supported by a professional analysis of economic growth data.
|
finance
|
3,774 |
Essay on the State of Research and Innovation in France and the European Union
|
q-fin.EC
|
Innovation in the economy is an important engine of growth and no economy,
whatever its complexity and degree of advancement, whether it is based on
industry, agriculture, high tech or the providing of services, can be truly
healthy without innovating actors within it. The aim of this work, done by an
applied mathematician working in finance, not by an economist or a lawyer,
isn't to provide an exhaustive view of the all the mechanisms in France and in
Europe that aim at fostering innovation in the economy and to offer solutions
for removing all the roadblocks that still hinder innovation; indeed such a
study would go far beyond the scope of this study. What I modestly attempted to
achieve in this study was firstly to draw a panorama of what is working and
what needs to perfected as far as innovation is concerned in France and Europe,
then secondly to offer some solutions and personal thoughts to boost
innovation.
|
finance
|
3,775 |
Teaching Economics and Providing Visual "Big Pictures"
|
q-fin.EC
|
The goal of this paper is to investigate the importance of providing visual
"big pictures" in the teaching of economics. The plurality and variety of
concepts, variables, diagrams, and models involved in economics can be a source
of confusion for many economics students. However, reviewing the existing
literature on the importance of providing visual "big pictures" in the process
of learning suggests that furnishing students with a visual "big picture" that
illustrates the ways through which those numerous, diverse concepts are
connected to each other could be an effective solution to clear up the
mentioned mental chaos. As a practical example, this paper introduces a "big
picture" that can be used as a good resource in intermediate macroeconomics
classes. This figure presents twenty-seven commonly-discussed macroeconomic
diagrams in the intermediate macroeconomics course, and gives little detail on
some of these diagrams, aiming at helping students to get the whole picture at
once on a single piece of paper. This macroeconomics big picture mostly focuses
on the routes through which common diagrams in macroeconomics are connected to
each other, and finally introduces the general macroeconomic equilibrium that
is graphically derived through those connections.
|
finance
|
3,776 |
Do Mature Economies Grow Exponentially?
|
q-fin.EC
|
Most models that try to explain economic growth indicate exponential growth
paths. In recent years, however, a lively discussion has emerged considering
the validity of this notion. In the empirical literature dealing with drivers
of economic growth, the majority of articles is based upon an implicit
assumption of exponential growth. Few scholarly articles have addressed this
issue so far. In order to shed light on this issue, we estimate autoregressive
integrated moving average time series models based on Gross Domestic Product
Per Capita data for 18 mature economies from 1960 to 2013. We compare the
adequacy of linear and exponential growth models and conduct several robustness
checks. Our fndings cast doubts on the widespread belief of exponential growth
and suggest a deeper discussion on alternative economic grow theories.
|
finance
|
3,777 |
A Statistical Model of Inequality
|
q-fin.EC
|
This paper develops a nonparametric statistical model of wealth distribution
that imposes little structure on the fluctuations of household wealth. In this
setting, we use new techniques to obtain a closed-form household-by-household
characterization of the stable distribution of wealth and show that this
distribution is shaped entirely by two factors - the reversion rates (a measure
of cross-sectional mean reversion) and idiosyncratic volatilities of wealth
across different ranked households. By estimating these factors, our model can
exactly match the U.S. wealth distribution. This provides information about the
current trajectory of inequality as well as estimates of the distributional
effects of progressive capital taxes. We find evidence that the U.S. wealth
distribution might be on a temporarily unstable trajectory, thus suggesting
that further increases in top wealth shares are likely in the near future. For
capital taxes, we find that a small tax levied on just 1% of households
substantially reshapes the distribution of wealth and reduces inequality.
|
finance
|
3,778 |
Empirical Methods for Dynamic Power Law Distributions in the Social Sciences
|
q-fin.EC
|
This paper introduces nonparametric econometric methods that characterize
general power law distributions under basic stability conditions. These methods
extend the literature on power laws in the social sciences in several
directions. First, we show that any stationary distribution in a random growth
setting is shaped entirely by two factors - the idiosyncratic volatilities and
reversion rates (a measure of cross-sectional mean reversion) for different
ranks in the distribution. This result is valid regardless of how growth rates
and volatilities vary across different economic agents, and hence applies to
Gibrat's law and its extensions. Second, we present techniques to estimate
these two factors using panel data. Third, we show how our results offer a
structural explanation for a generalized size effect in which higher-ranked
processes grow more slowly than lower-ranked processes on average. Finally, we
employ our empirical methods using panel data on commodity prices and show that
our techniques accurately describe the empirical distribution of relative
commodity prices. We also show the existence of a generalized "size" effect for
commodities, as predicted by our econometric theory.
|
finance
|
3,779 |
On the parameter identifiability problem in Agent Based economical models
|
q-fin.EC
|
Identifiability of parameters is a fundamental prerequisite for model
identification. It concerns uniqueness of the model parameters determined from
experimental or simulated observations. This dissertation specifically deals
with structural or a priori identifiability: whether or not parameters can be
identified from a given model structure and experimental measurements. We
briefly present the identifiability problem in linear and non linear dynamical
model. We compare DSGE and Agent Based model (ABM) in terms of identifiability
of the structural parameters and we finally discuss limits and perspective of
numerical protocols to test global identifiability in case of ergodic and
markovian economical systems.
|
finance
|
3,780 |
The Postulate of the Three Regimes of Economic Growth Contradicted by Data
|
q-fin.EC
|
Economic growth in Western Europe, Eastern Europe, Asia, countries of the
former USSR, Africa and Latin America were analysed. It is demonstrated that
the fundamental postulate of the Unified Growth Theory about the existence of
the three regimes of growth (Malthusian regime, post-Malthusian regime and
sustained-growth regime) is contradicted by data. These regimes did not exist.
In particular, there was no escape from the Malthusian trap because there was
no trap. Economic growth in all these regions was not stagnant but hyperbolic.
Unified Growth Theory is fundamentally incorrect. However, this theory is also
dangerously misleading because it claims a transition from the endless epoch of
stagnation to the new era of sustained economic growth, the interpretation
creating the sense of security and a promise of prosperity. The data show that
the opposite is true. Economic growth in the past was sustained and secure.
Now, it is supported by the increasing ecological deficit. The long-term
sustained and secure economic growth has yet to be created. It did not happen
automatically, as suggested incorrectly by the Unified Growth Theory.
|
finance
|
3,781 |
The Invisible Hand of Laplace: the Role of Market Structure in Price Convergence and Oscillation
|
q-fin.EC
|
A fundamental question about a market is under what conditions, and then how
rapidly, does price signaling cause price equilibration. Qualitatively, this
ought to depend on how well-connected the market is. We address this question
quantitatively for a certain class of Arrow-Debreu markets with continuous-time
proportional t\^{a}tonnement dynamics. We show that the algebraic connectivity
of the market determines the effectiveness of price signaling equilibration.
This also lets us study the rate of external noise that a market can tolerate
and still maintain near-equilibrium prices.
|
finance
|
3,782 |
Fairs for e-commerce: the benefits of aggregating buyers and sellers
|
q-fin.EC
|
In recent years, many new and interesting models of successful online
business have been developed. Many of these are based on the competition
between users, such as online auctions, where the product price is not fixed
and tends to rise. Other models, including group-buying, are based on
cooperation between users, characterized by a dynamic price of the product that
tends to go down. There is not yet a business model in which both sellers and
buyers are grouped in order to negotiate on a specific product or service. The
present study investigates a new extension of the group-buying model, called
fair, which allows aggregation of demand and supply for price optimization, in
a cooperative manner. Additionally, our system also aggregates products and
destinations for shipping optimization. We introduced the following new
relevant input parameters in order to implement a double-side aggregation: (a)
price-quantity curves provided by the seller; (b) waiting time, that is, the
longer buyers wait, the greater discount they get; (c) payment time, which
determines if the buyer pays before, during or after receiving the product; (d)
the distance between the place where products are available and the place of
shipment, provided in advance by the buyer or dynamically suggested by the
system. To analyze the proposed model we implemented a system prototype and a
simulator that allow to study effects of changing some input parameters. We
analyzed the dynamic price model in fairs having one single seller and a
combination of selected sellers. The results are very encouraging and motivate
further investigation on this topic.
|
finance
|
3,783 |
Conjoint axiomatization of the Choquet integral for heterogeneous product sets
|
q-fin.EC
|
We propose an axiomatization of the Choquet integral model for the general
case of a heterogeneous product set $X = X_1 \times \ldots \times X_n$. In MCDA
elements of $X$ are interpreted as alternatives, characterized by criteria
taking values from the sets $X_i$. Previous axiomatizations of the Choquet
integral have been given for particular cases $X = Y^n$ and $X = \mathbb{R}^n$.
However, within multicriteria context such identicalness, hence
commensurateness, of criteria cannot be assumed a priori. This constitutes the
major difference of this paper from the earlier axiomatizations. In particular,
the notion of "comonotonicity" cannot be used in a heterogeneous structure, as
there does not exist a "built-in" order between elements of sets $X_i$ and
$X_j$. However, such an order is implied by the representation model. Our
approach does not assume commensurateness of criteria. We construct the
representation and study its uniqueness properties.
|
finance
|
3,784 |
Commodity Dynamics: A Sparse Multi-class Approach
|
q-fin.EC
|
The correct understanding of commodity price dynamics can bring relevant
improvements in terms of policy formulation both for developing and developed
countries. Agricultural, metal and energy commodity prices might depend on each
other: although we expect few important effects among the total number of
possible ones, some price effects among different commodities might still be
substantial. Moreover, the increasing integration of the world economy suggests
that these effects should be comparable for different markets. This paper
introduces a sparse estimator of the Multi-class Vector AutoRegressive model to
detect common price effects between a large number of commodities, for
different markets or investment portfolios. In a first application, we consider
agricultural, metal and energy commodities for three different markets. We show
a large prevalence of effects involving metal commodities in the Chinese and
Indian markets, and the existence of asymmetric price effects. In a second
application, we analyze commodity prices for five different investment
portfolios, and highlight the existence of important effects from energy to
agricultural commodities. The relevance of biofuels is hereby confirmed.
Overall, we find stronger similarities in commodity price effects among
portfolios than among markets.
|
finance
|
3,785 |
Aggregating time preferences with decreasing impatience
|
q-fin.EC
|
It is well-known that for a group of time-consistent decision makers their
collective time preferences may become time-inconsistent. Jackson and Yariv
(2014) demonstrated that the result of aggregation of exponential discount
functions always exhibits present bias. We show that when preferences satisfy
the axioms of Fishburn and Rubinstein (1982), present bias is equivalent to
decreasing impatience (DI). Applying the notion of comparative DI introduced by
Prelec (2004), we generalize the result of Jackson and Yariv (2014). We prove
that the aggregation of distinct discount functions from comparable DI classes
results in the collective discount function which is strictly more DI than the
least DI of the functions being aggregated. We also prove an analogue of
Weitzman's (1998) result, for hyperbolic rather than exponential discount
functions. We show that if a decision maker is uncertain about her hyperbolic
discount rate, then long-term costs and benefits will be discounted at a rate
which is the probability-weighted harmonic mean of the possible hyperbolic
discount rates.
|
finance
|
3,786 |
On the survival of poor peasants
|
q-fin.EC
|
Previously, in underdeveloped countries, people tried to keep the prices of
food products artificially low, in order to help the poor to buy their food.
But it became soon clear that such system, although helpful for the city poor,
was disastrous for the peasants (who usually are even poorer), so that hunger
increased, instead of decreasing. More recently, thus, higher prices have been
imposed. But a high-price system does not solve the problems. It helps, indeed,
a peasant to buy in the city non-edible products, but not to buy (more
expensive) food products from other peasants. The question is discussed here in
more detail starting from the simplest conceivable case of two peasants
producing each a different food product (bread and cheese, say), then
generalizing to several food items and to any number of peasants producing a
given food item j. Like in every economic system which wants to be sustainable,
or able to reproduce itself in a stationary state at least, prices are
determined by the necessity of exchanging "means of production" among
"industries", except that here industriesare replaced by working peasants and
means of production are replaced by food. It is found that prices must obey
certain inequalities related to the minimal amount of each food item necessary
for survival. Inequalities may be rewritten as equations and, in an important
special case, such equations give rise to a simple version of the matrix
equation used by famous authors to describe the economy.
|
finance
|
3,787 |
Knight--Walras Equilibria
|
q-fin.EC
|
Knightian uncertainty leads naturally to nonlinear expectations. We introduce
a corresponding equilibrium concept with sublinear prices and establish their
existence. In general, such equilibria lead to Pareto inefficiency and coincide
with Arrow--Debreu equilibria only if the values of net trades are
ambiguity--free in the mean. Without aggregate uncertainty, inefficiencies
arise generically.
We introduce a constrained efficiency concept, uncertainty--neutral
efficiency and show that Knight--Walras equilibrium allocations are efficient
in this constrained sense. Arrow--Debreu equilibria turn out to be non--robust
with respect to the introduction of Knightian uncertainty.
|
finance
|
3,788 |
A constraint-based framework to study rationality, competition and cooperation in fisheries
|
q-fin.EC
|
In this paper, we present a simplified framework to represent competition,
coordination and bargaining in fisheries when they operate under financial and
technological constraints. Competition within constraints leads to a particular
type of mathematical game in which the strategy choice by one player changes
strategy set of the other. By studying the equilibria and bargaining space of
this game when players maximize either profit or fishing capacity, we highlight
that differences in financial constraints among players leads to a tougher
play, with a reduced bargaining space as the least constrained player can
readily exclude another from the competition. The exacerbating effects of
constraints on competition are even stronger when players maximize capacity. We
discuss the significance of our results for global ocean governance in a
current context characterized by financialization and technological
development. We suggest that in order to maximize the chances of fruitful
negociations and aim towards a fair sharing of sea resources, it would be
helpful to focus on leveling current differences in the constraints faced
between competing fishing systems by supporting local financial systems and
technological control, before implementing sophisticated economic tools.
|
finance
|
3,789 |
A Contextual Model Of The Secessionist Rebellion in Eastern Ukraine
|
q-fin.EC
|
This paper explores the possible contextual factors that drove some
individuals to lead, and others to join the pro-secessionist rebellion in the
2013-2014 conflict in Eastern Ukraine. We expand on the existing rational
choice literature on revolutionary participation and rebellious movements by
building a contextual choice model accounting for both cost-benefit and
behavioral considerations taken by Pro-Russian militants and rebels in the
region of Donbass. Our model generates predictions about the characteristics of
the socio-political-cultural context that are most likely to ignite and sustain
hierarchical rebel movements similar to those in Ukraine.
|
finance
|
3,790 |
Incentivizing Resilience in Financial Networks
|
q-fin.EC
|
When banks extend loans to each other, they generate a negative externality
in the form of systemic risk. They create a network of interbank exposures by
which they expose other banks to potential insolvency cascades. In this paper,
we show how a regulator can use information about the financial network to
devise a transaction-specific tax based on a network centrality measure that
captures systemic importance. Since different transactions have different
impact on creating systemic risk, they are taxed differently. We call this tax
a Systemic Risk Tax (SRT). We use an equilibrium concept inspired by the
matching markets literature to show analytically that this SRT induces a unique
equilibrium matching of lenders and borrowers that is systemic-risk efficient,
i.e. it minimizes systemic risk given a certain transaction volume. On the
other hand, we show that without this SRT multiple equilibrium matchings exist,
which are generally inefficient. This allows the regulator to effectively
stimulate a `rewiring' of the equilibrium interbank network so as to make it
more resilient to insolvency cascades, without sacrificing transaction volume.
Moreover, we show that a standard financial transaction tax (e.g. a Tobin-like
tax) has no impact on reshaping the equilibrium financial network because it
taxes all transactions indiscriminately. A Tobin-like tax is indeed shown to
have a limited effect on reducing systemic risk while it decreases transaction
volume.
|
finance
|
3,791 |
Note on level r consensus
|
q-fin.EC
|
We show that the hierarchy of level $r$ consensus partially collapses. In
particular, any profile $\pi\in \mathcal{P}$ that exhibits consensus of level
$(K-1)!$ around $\succ_0$ in fact exhibits consensus of level $1$ around
$\succ_0$.
|
finance
|
3,792 |
Inferring the contiguity matrix for spatial autoregressive analysis with applications to house price prediction
|
q-fin.EC
|
Inference methods in traditional statistics, machine learning and data mining
assume that data is generated from an independent and identically distributed
(iid) process. Spatial data exhibits behavior for which the iid assumption must
be relaxed. For example, the standard approach in spatial regression is to
assume the existence of a contiguity matrix which captures the spatial
autoregressive properties of the data. However all spatial methods, till now,
have assumed that the contiguity matrix is given apriori or can be estimated by
using a spatial similarity function. In this paper we propose a convex
optimization formulation to solve the spatial autoregressive regression (SAR)
model in which both the contiguity matrix and the non-spatial regression
parameters are unknown and inferred from the data. We solve the problem using
the alternating direction method of multipliers (ADMM) which provides a
solution which is both robust and efficient. While our approach is general we
use data from housing markets of Boston and Sydney to both guide the analysis
and validate our results. A novel side effect of our approach is the automatic
discovery of spatial clusters which translate to submarkets in the housing data
sets.
|
finance
|
3,793 |
Matrix-vector representation of various solution concepts
|
q-fin.EC
|
A unified matrix-vector representation is developed of such solution concepts
as the core, the uncovered, the uncaptured, the minimal weakly stable, the
minimal undominated, the minimal dominant and the untrapped sets. We also
propose several new versions of solution sets.
|
finance
|
3,794 |
Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory
|
q-fin.EC
|
The Competitive Industrial Performance index (developed by experts of the
UNIDO) is designed as a measure of national competitiveness. Index is an
aggregate of eight observable variables, representing different dimensions of
competitive industrial performance.
|
finance
|
3,795 |
Fair division with divisible and indivisible items
|
q-fin.EC
|
In the work the fair division problem for two participants in presence of
both divisible and indivisible items is considered. The set of all divisions is
formally described; it is demonstrated that fair (in terms of Brams and Taylor)
divisions, unlikely the case where all the items are divisible, not always
exist. The necessary and sufficient conditions of existence of proportional and
equitable division were found.
|
finance
|
3,796 |
Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory
|
q-fin.EC
|
Knowledge acquisition by consumers is a key process in the diffusion of
innovations. However, in standard theories of the representative agent, agents
do not learn and innovations are adopted instantaneously. Here, we show that in
a discrete choice model where utility-maximising agents with heterogenous
preferences learn about products through peers, their stock of knowledge on
products becomes heterogenous, fads and fashions arise, and transitivity in
aggregate preferences is lost. Non-equilibrium path-dependent dynamics emerge,
the representative agent exhibits behavioural rules different than individual
agents, and aggregate utility cannot be optimised. Instead, an evolutionary
theory of product innovation and diffusion emerges.
|
finance
|
3,797 |
The Oxford Olympics Study 2016: Cost and Cost Overrun at the Games
|
q-fin.EC
|
Given that Olympic Games held over the past decade each have cost USD 8.9
billion on average, the size and financial risks of the Games warrant study.
The objectives of the Oxford Olympics study are to (1) establish the actual
outturn costs of previous Olympic Games in a manner where cost can consistently
be compared across Games; (2) establish cost overruns for previous Games, i.e.,
the degree to which final outturn costs reflect projected budgets at the bid
stage, again in a way that allows comparison across Games; (3) test whether the
Olympic Games Knowledge Management Program has reduced cost risk for the Games,
and, finally, (4) benchmark cost and cost overrun for the Rio 2016 Olympics
against previous Games. The main contribution of the Oxford study is to
establish a phenomenology of cost and cost overrun at the Olympics, which
allows consistent and systematic comparison across Games. This has not been
done before. The study concludes that for a city and nation to decide to stage
the Olympic Games is to decide to take on one of the most costly and
financially most risky type of megaproject that exists, something that many
cities and nations have learned to their peril.
|
finance
|
3,798 |
Self-organization in a distributed coordination game through heuristic rules
|
q-fin.EC
|
In this paper we consider a distributed coordination game played by a large
number of agents with finite information sets, which characterizes emergence of
a single dominant attribute out of a large number of competitors. Formally, $N$
agents play a coordination game repeatedly which has exactly $N$ Nash
equilibria and all of the equilibria are equally preferred by the agents. The
problem is to select one equilibrium out of $N$ possible equilibria in the
least number of attempts. We propose a number of heuristic rules based on
reinforcement learning to solve the coordination problem. We see that the
agents self-organize into clusters with varying intensities depending on the
heuristic rule applied although all clusters but one are transitory in most
cases. Finally, we characterize a trade-off in terms of the time requirement to
achieve a degree of stability in strategies and the efficiency of such a
solution.
|
finance
|
3,799 |
Multidimensional Polarization Index and its Application to an Analysis of the Russian State Duma
|
q-fin.EC
|
The multidimensional extension of the Aleskerov-Golubenko polarization index
is developed. Several versions of the polarization index are proposed based on
different distance functions. Basic properties of the index are examined.
|
finance
|
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