Computing in Economics and Finance 2001

From Society for Computational Economics
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98: What Can We Learn From Simulating a Standard Agency Model?

Michel Robe

97: Magnitude X on the Richter Scale: Welfare Cost of Business Cycles in Developing Countries

Stephane Pallage and Michel A. Robe

96: Unemployment Insurance and Precautionary Savings: Transitional Dynamics vs. Steady State Equilibrium

JOSEPH Gilles and WEITZENBLUM Thomas

94: VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS

Pierre Giot and S»bastien Laurent

93: An Application of Agent-based Simulation to the New Electricity Trading Arrangements of England and Wales

Derek W. Bunn and Fernando Oliveira

92: Dynamic Voluntary Contribution to a Public Good:Learning to be a Free Rider

Christiane Clemens and Thomas Riechmann

91: Evolutionary Learning in the Ultimatum Game

Thomas Riechmann

90: Efficiency and Equality in a Welfare State Economy

Radim Bohacek

89: Dynamic Production Teams with Strategic Behavior

Michele Breton, Pascal St-Amour and D. Vencatachellum

88: PARETO-IMPROVING CHEATING IN AN ECONOMIC POLICY GAME

Christophe Deissenberg and Francisco Alvarez Gonzalez

87: The Network-Enabled Optimization System (NEOS) - a means of solving optimization problems over the Internet

Max E. Jerrell and Wendy A. Campione

86: Profit opportunities, crash prediction and risk minimization in artificial and real-world markets

Neil F. Johnson, David Lamper, Paul Jefferies, Michael Hart and Sam Howison

85: Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data

Christopher F Baum, Mustafa Caglayan, Neslihan Ozkan

83: Dynamics of a market with market participants switching their expectation formation functions: an empirical application to the U.S. hog market

SaangJoon Baak

82: Endogenous Growth Paths in Economies with Locally Interacting Agents

Fagiolo, G. and Dosi, G.

80: Social Recommendations Rather than Social Values

Hakan Aksoy and Erdem Basci

79: Posted Offer versus Bargaining: An Example of how Institutions can Facilitate Learning

Koye Somefun

76: Multimodality and the GARCH Likelihood

Jurgen A. Doornik and Marius Ooms

75: Using High Frequency Data to Calculate, Model and Forecast Realized Volatility

Roel Oomen

74: The Influence of Market Size in an Artificial Stock Market: The Approach Based on Genetic Programming

Shu-Heng Chen

72: Threshold Accepting for Index Tracking

Manfred Gilli and Evis Kellezi

71: Spectral Implications of Security Market Data for Models of Dynamic Economies

Christopher Otrok, B. Ravikumar, Charles H. Whiteman

70: Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle

Prasad V. Bidarkota and J. Huston McCulloch

69: Seeking Protection and the Origin of the State

Allen Wilhite

68: Hamilton-Jacobi-Bellman equation with multiple equilibria

Malte Sieveking

63: Interbank Lending, reserve requirements and systemic risk

giulia iori and Saqib Jafarey

62: The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation

Thomas Lux

60: The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model

Frank Niehaus

59: Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

Peter Winker and Manfred Gilli

58: Asset Pricing in Models with incomplete markets and default

Felix Kubler Karl Schmedders

56: Economic Evolution and Structural Changes: a Non-Linear Model of Responses to Changes of Demand

London, S. - Tohme, F.

55: The Timing of Uncertainty and The Intensity of Policy

Ruben Mercado

54: Consumer Search, Competition, and the Organizational Structure of Multi-Unit Firms

Myong-Hun Chang and Joseph E. Harrington, Jr.

53: New economy: new policy rules?

James Bullard Eric Schaling

52: An efficient and simple simulation smoother for state space time series analysis

J. Durbin and S.J. Koopman

51: Digital Security Tokens and Their Derivatives

Kanta Matsuura

50: Risk Neutral Forecasting

Spyros Skouras

49: Evolution, Efficiency and Noise Traders in a One-Sided Auction Market

Guo Ying Luo

48: Expectations Driven Distortions in the Foreign Exchange Market

Frank Westerhoff

47: Small neighborhoods

Brian Krauth

46: Stability Analysis of Heterogeneous Learning in Self-Referential Linear Stochastic Models

Chryssi Giannitsarou

45: Reserve Price Auctions with a Strong Bidder

M. Utku Unver and A. Alexander Elbittar

43: An R&D Race with Learning and Forgetting

Ulrich Doraszelski

42: The 40% Neoclassical Aggregate Theory of Production

Stefano Zambelli

41: Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States

Michael Brandt, Qi Zeng and Lu Zhang

40: Economic Geography, Trade, and War

David Bearce and Eric Fisher

39: A Non-Stationary Asset Pricing Model under Heterogeneous Expectations

Carl Chiarella and Xue-Zhong He

38: Internet Auctions with Artificial Adaptive Agents

Utku Unver

37: Cross-Sectional Aggregation of Nonlinear Dynamic Models and Aggregate Consumption Dynamics

Michael Binder

36: Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder, Cheng Hsiao, and M. Hashem Pesaran