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Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
Full Information Estimation Stochastic Simulation
2015/8/4
A computationally feasible method for the full information maximum-likelihood estimation of models
with rational expectations is described in this paper. The stochastic simulation of such models is a...
Carbon in the Classroom: Lessons from a Simulation of California’s Electricity Market Under a Stringent Cap-and Trade System
Classroom Electricity Market
2015/7/31
To better understand how a cap-and-trade market might
function under high-carbon-price conditions, the authors
ran a simulation called the ‘Electricity Strategy Game’
created by Severin Borenstein ...
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
Numerical stability accurate stochastic simulation method the dynamic economic model
2015/7/21
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models.
Merging Simulation and Projection Aproaches to Solve High-Dimensional Problems with an Application to a New Keynesian model
Numerical algorithm dynamic economic model of the grid
2015/7/21
We introduce a numerical algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution...
Simulation of producers behaviour in the electricity market
Electricity market Nash equilibrium
2014/11/27
Simulation of the electricity market participant’s behaviour is important for producers and consumers to determine their bidding strategies and for regulating the market rules. In literature, for this...
Human Development Dynamics: An Agent Based Simulation of Social Systems and Heterogeneous Evolutionary Games
Economic Development Cultural Shift Democratization Game Theory Agent Based Model System Dynamics
2014/8/8
Combining a system dynamics and agent based modeling approach, we formalize a simulation framework of the Human Development (HD) perspective. We first capture the core logic of HD theory in a asymmet...
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
Optimal simulation schemes for Levy driven stochastic differential equations
Levy-driven stochastic differential equations high order discretization schemes weak approximation regular variation
2012/4/28
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by L\'evy processes with infinite activity. These schemes combine a compound Poisson a...
The Puzzle of the Diffusion of Central-Bank Independence Reforms: Insights from an Agent-Based Simulation
Agent-based modeling Central banks Diffusion Kingdon
2011/9/24
The emergence of an ever-widening sphere of global public policy is a new reality in a world characterized by the blurring of boundaries between the national and the global; by flows of ideas, people,...
Critical Analysis of Electronic Simulation of Financial Market Fluctuations
financial market fluctuations risk estimations exhaustive analysis stability conditions
2011/9/16
An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power la...
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
A simulation study of Basel II expected loss distributions for a portfolio of credit cards
Basel II consumer credit expected loss simulation
2011/8/22
Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups....
Information Distortion in Supply Chain: A Simulation Approach to Quantifying the Bullwhip Effect
Information distortion supply chain simulation
2011/6/1
Supply chain exists due to the fact that it is difficult for any company to provide all that is required from raw materials to final products and at the same time get the products to the end users.
The Comparative Study of Fatigue Crack Propagation Experiment and Computer Simulation on the Component Materials for the Crane Life Remained
Crane Fatigue Crack Propagation Computer Simulation Crane Life Remained
2013/2/25
This study presents fatigue crack propagation experiments and the simulation used to estimate the life remaining in a crane that is currently in use at a port. The fatigue crack propagation experiment...
Regulation Simulation
Regulation Simulation market
2010/10/18
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of Eu...