Conference Program

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[ Agenda | Sessions | Program ]

1.1 Programming Languages-1
Organizer: David Kendrick
Chairperson: Carl Chiarella
Alexander Khomin, Carl Chiarella:
``C++ Software for the Analysis of Derivative Securities'' [ Abstract ]
Leigh S. Tesfatsion, David McFadzean:
``A C++ Platform for the Evolution of Trade Networks'' [ Abstract ]
David Kendrick, Hans Amman:
``The DUALI/DUALPC Software for Control Models'' [ Abstract | Full Paper ]
1.2 Agent Based Economic Models-1
Organizer: Nicolaas J. Vriend
Chairperson: John Duffy
David Lane:
``Is what is good for each good for all? Individual rationality and social efficiency in an information contagion model'' [ Abstract | Full Paper ]
Nicolaas J. Vriend, Alan Kirman:
``Evolving Market Structure: A Model of Price-dispersion and Loyalty'' [ Abstract ]
Joshua Epstein, Robert Axtell:
``Distributed Computation of Optimal Allocations Through Bilateral Echange'' [ Abstract ]
1.3 Issues in Estimating/Calibrating RE Models
Organizer: Peter A. Tinsley
Chairperson: Stephen G. Hall
Meral Karasulu:
``Testing Target Zone Credibility with a Limited Dependent RE Model'' [ Abstract | Full Paper ]
Mario J. Miranda:
``Maximum Likelihood Estimation of the Nonlinear Rational Expectations Asset Pricing Model'' [ Abstract ]
Barbara Robles:
``Dynamic Finance Demand Equations: A Comparison of Nonlinear FIML and GMM Results'' [ Abstract ]
Ronald Wendner:
``Environmental Taxes in a Rational Expectations Overlapping Cohorts Model: An Applied Intertemporal General Equilibrium Analysis for Austria'' [ Abstract ]
1.4 Investment Finance-1
Organizer and Chairperson: Diem Ho
J. P. Hutton, Michael Dempster:
``Fast Numerical Valuation of American, Exotic and Complex Options'' [ Abstract | Full Paper ]
Jacques Sikorav, Maria Hartpence:
``Tactical Asset Allocation: The Quest of Value'' [ Abstract ]
Patrick Hénaff:
``Hedging Exotic Options trough Stochastic Optimization'' [ Abstract | Full Paper ]
1.5 Computational Statistics-1
Organizer and Chairperson: David Belsley
Vassilis A. Hajivassiliou:
``Implementing Econometric Estimators on Parallel Computers'' [ Abstract ]
Cosimo Spera, Corrado Provasi, Paola Palmitesta:
``Symbolic Computing the Approximated Distributions of Sampling Inequality Indices from Some Income Distributions'' [ Abstract ]
Gianni Amisano:
``Bayesian Inference in Cointegrated Systems'' [ Abstract ]
David Belsley:
``A Small-Sample Correction for Testing for gth-Order Serial Correlation with Artificial Regression'' [ Abstract | Full Paper ]
1.6 Interest Rate Modeling
Organizer and Chairperson: Christopher F. Baum
Cheng Tu, Suresh Sundaresan, Ronald W. Anderson:
``Numerical Analysis of Strategic Contingent Claim Models'' [ Abstract ]
Meral Karasulu, Christopher F. Baum:
``Modeling Federal Reserve Discount Policy'' [ Abstract | Full Paper ]
Basma Bekdache:
``The Time-varying Behavior of Real Interest Rates: A Re-evaluation of the Recent Evidence'' [ Abstract | Full Paper ]
Pavan Wadhwa, Ehud I. Ronn:
``On the Relationship between Expected Returns and Implied Volatility of Interest-Dependent Securities'' [ Abstract ]
2 Plenary Session 1
Chairperson: John Rust
Bernardo Huberman:
``Computation as Economics'' [ Abstract | Full Paper ]
2.1 Economics of Electronic Commerce
Chairperson: William L. Goffe
Dale O. Stahl:
``Pricing for Electronic Commerce'' [ Abstract | Full Paper ]
Miguel Perez, Claudio Aldana:
``A Practical Proposal to Solve the Congestion Problem in the Internet Based on Priority Pricing'' [ Abstract ]
Louis-François Pau:
``Information and Communication as Macroeconomic Production Factors: The Impact on Telcommunications and Media Tariffs'' [ Abstract ]
2.2 Inflation Expectations in RE Models
Organizer and Chairperson: Peter A. Tinsley
Peter Westaway, Andrew Blake:
``Inflation Targeting in the UK: Stochatic Simulations of a Forward-Looking Macroeconomic Model'' [ Abstract ]
Haizhou Huang, Charles Goodhart, Peter B. Clark:
``Policy Rules in a Rational Expectations Model with an Asymmetric Inflation-Output Relationship'' [ Abstract ]
Brian Henry:
``Price Inflation in the UK'' [ Abstract ]
Peter A. Tinsley, Sharon Kozicki:
``Moving Endpoints in Macrofinance'' [ Abstract | Full Paper ]
2.3 Computational Managment Science-1
Chairperson: Louis-François Pau
Dirk Eddelbuettel:
``A Hybrid Genetic Algorithm for Passive Management'' [ Abstract | Full Paper ]
Ivailo Izvorski:
``Liquidity and Strategic Default'' [ Abstract | Full Paper ]
Didier Cossin:
``Optimal Guarantee Control'' [ Abstract ]
Marco Rossi:
``The Analytics of a Real-Time Gross-Settlement System'' [ Abstract ]
2.4 Trading and Markets-1
Chairperson: Alan Kirman
Ann M. Bell:
``Bilateral Trading on a Network: A Simulation Study'' [ Abstract ]
Silvana Stefani, Marco Frittelli, Paolo Falbo:
``Profitable Decision Rules in Mean Reverting Markets'' [ Abstract ]
Thomas Lux:
``Time-Variation of Second Moments form a Multi-Agent Noise Trader Model of Speculative Markets'' [ Abstract ]
2.5 Computational Statistics-2
Organizer and Chairperson: David Belsley
Denise Osborn, Hans Jessen, Christopher Birchenhall:
``Predicting Business Cycle Regimes Using Classification Methods'' [ Abstract ]
David F. Hendry, Jurgen A. Doornik:
``A Window on Econometrics: Computational Issues'' [ Abstract ]
Heinz J. Münch, Ulrich Heilemann:
``Forecasting the Stage of the Business Cycle'' [ Abstract ]
William Verkooijen, Bart Kamp, Hennie Daniëls:
``Modeling Nonlinearity in Economic Classification with Neural Networks'' [ Abstract ]
2.6 Historical Surveys
Chairperson: Charles S. Tapiero
Charles S. Tapiero:
``Griffith Evans and the Origins of Economic Dynamics'' [ Abstract ]
Nienke A. Oomes:
``Entropy, Uncertainty, and Monetary Communication: The Evolution of Economic Information Theory'' [ Abstract ]
Ronald G. Bodkin:
``A History of Computation in Macroeconometric Models'' [ Abstract ]
3.1 Evolution of Markets
Organizer and Chairperson: Leigh S. Tesfatsion
Robert E. Marks:
``Evolved Perception and Behaviour in Oligopolies'' [ Abstract | Full Paper ]
Margarita Shakhova, Igor Pospelov, Sergei Guriev:
``Self-Organization of Trade Networks in an Economy with Imperfect Infrastructure'' [ Abstract | Full Paper ]
Curtis Eaton, Jasmina Arifovic:
``The Evolution of Communication in a Sender/Receiver Game of Common Interest with Cheap Talk'' [ Abstract ]
Leigh S. Tesfatsion:
``An Evolutionary Trade Network Game with Preferential Partner Selection'' [ Abstract | Full Paper ]
3.2 Economics of Telecommunications and Media Sectors
Organizer and Chairperson: Louis-François Pau
Randall S. Billingsley:
``Risk Effects of the Deregulation of the US Telecommunications Industry: Is Growing Competition Increasing Investment Risk?'' [ Abstract | Full Paper ]
Leopold Sögner:
``Regulation vs. Competition in Telecommunications'' [ Abstract | Full Paper ]
Moonsik Bae, Jinho Yoo:
``The Structural Relationship between R&D in Electrical and Electronic Industries and Economic Growth: A LISREL Analysis of the Korea Experience'' [ Abstract | Full Paper ]
Roger A. McCain:
``Optimal Entry in Information Product Sectors'' [ Abstract ]
3.3 Computational Methods in Dynamic Games
Chairperson: Hans Amman
Boleslaw Tolwinski, Francesca S. Randaccio, Maria Luisa Petit:
``Innovation and Firm's International Expansion: A Dynamic Approach'' [ Abstract ]
Paul Klein:
``The Dynamics of Deficit'' [ Abstract | Full Paper ]
Jacob C. Engwerda:
``Computational Aspects of the (In)finite Planning Horizon Open-loop Nash Equilibrium in LQ-games'' [ Abstract | Full Paper ]
3.4 Computational Finance-1
Organizer and Chairperson: Larry Eisenberg
Thomas H. Noe, Larry Eisenberg:
``Clearing Systems and the Transmission of Systemic Risk'' [ Abstract ]
Lynn Pi, Thomas H. Noe:
``Genetic Algorithms, Learning, and the Dynamics of Corporate Takeovers'' [ Abstract ]
Vadim Linetsky:
``The Path Integral Approach to Financial Modeling and Options Pricing'' [ Abstract ]
Harold Zhang, Thomas Tallarini:
``External Habit and the Cyclicity of Expected Stock Returns'' [ Abstract | Full Paper ]
3.5 Parallel Algorithms
Chairperson: Bastien Chopard
Jacek Cukrowski:
``Parallel Computing: Technological Changes and Organizational Redesign'' [ Abstract | Full Paper ]
John D. Johnson, Robert E. Dorsey, James Ball:
``Nonlinear Optimization on a Parallel Intel i860 RISC Based Architecture'' [ Abstract ]
Kresimir Zigic, Jacek Cukrowski:
``Parallel Data Processing in Decision Making: Necessary and Sufficient Conditions'' [ Abstract ]
Yuan Wang, Yuefan Deng:
``A Multilocation Inventory Model and its Parallel Heuristic Optimization'' [ Abstract ]
3.6 Computational Statistics-3
Chairperson: Elvezio Ronchetti
Ronald Schoenberg:
``Constrained Maximum Likelihood: Estimation and Inference'' [ Abstract ]
Ramses Abul Naga:
``Prediction and Sufficiency in the Model of Factor Analysis'' [ Abstract ]
Anatoly Zhigljavsky, Vladislav Solnsev, Dmitrii Danilov:
``Analysis and Forecast of Time Series on the Base of Principal Components'' [ Abstract ]
4.1 Programming Languages-2
Organizer: David Kendrick
Chairperson: Christopher Birchenhall
Alexander Khomin, Peter Flaschel, Carl Chiarella:
``KYMDYN - A System for Simulating Descriptive Keynesian Models of Monetary Dynamics'' [ Abstract ]
Soren Nielsen:
``The Design of C++ Classes for Scientific Computing'' [ Abstract | Full Paper ]
Christopher Birchenhall:
``MatClass v2.0'' [ Abstract ]
4.2 Computational Statistics-4
Chairperson: Vassilis A. Hajivassiliou
Max E. Jerrell:
``Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models'' [ Abstract | Full Paper ]
Erricos J. Kontoghiorghes:
``Computing 3SLS Solutions of Simultaneous Equation Models with Possible Singular Variance-Covariance Matrix'' [ Abstract | Full Paper ]
Antoine de Falguerolles:
``Generalized Linear-Bilinear Models'' [ Abstract ]
Jean-Paul Chaze:
``The Use of Partial Linearity in Nonlinear Regression Models'' [ Abstract ]
4.3 Learning Algorithms
Chairperson: Nicolaas J. Vriend
J.P. Nicolini, Albert Marcet:
``Recurrent Hyperinflations and Learning'' [ Abstract ]
John Duffy, James Bullard, Jasmina Arifovic:
``Learning in a Model of Economic Growth and Development'' [ Abstract ]
Taisei Kaizoji:
``Learning Dynamics and the Stabilization Policy in an Overlapping Generations Model'' [ Abstract ]
Hector J. Lazzarini:
``Cybernomics: An Open World of Adaptive Economic Learning'' [ Abstract ]
4.4 Computational Finance-2
Chairperson: Larry Eisenberg
Vittorio Moriggia, Jitka Dupacova, Marida Bertocchi:
``Sensitivity Analysis for a Bond Portfolio Management Model'' [ Abstract ]
Christian Lopez, Pierre Brugière:
``Sensitivity Analysis for International Bond Allocation Problems'' [ Abstract ]
Lin Chen:
``A Three Factor Model of the Term Structure of Interest Rates'' [ Abstract ]
Costanza Torricelli, Foruhar Madjlessi, Gianna Boero:
``The Information in the Term Structure of German Interest Rates'' [ Abstract ]
4.5 Techniques for Solving Nonlinear Econometric Models-1
Organizer and Chairperson: Andrew Hughes-Hallett
Peter McAdam, Douglas Laxton:
``An Algorithm Competition: First Order Iterations vs. Newton Based Techniques'' [ Abstract ]
Giorgio Pauletto, Manfred Gilli:
``An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations'' [ Abstract | Full Paper ]
Laura Piscatelli, Andrew Hughes-Hallett:
``A Simple Reordering Technique for Expanding the Convergence Radius of First Order Iterative Techniques'' [ Abstract | Full Paper ]
4.6 Nonlinear Dynamics and Chaos
Chairperson: Jasmina Arifovic
Cars H. Hommes, William A. Brock:
``A Rational Route to Randomness'' [ Abstract ]
M. A. Kaboudan:
``Nonlinearity and Complexity of Stock Returns'' [ Abstract ]
Xuefeng Song:
``Computational Methods to Calculate the Chaotic Degree and Border Points from Economic Data'' [ Abstract ]
Wolfgang Weidlich, Janusz A. Holyst, Tilo Hagel, Günter Haag:
``How to Control a Chaotic Economy?'' [ Abstract ]
5.1 Investment Finance-2
Organizer and Chairperson: Diem Ho
E. Trussant, R. Bourette, Jean-François Boulier:
``Options: The Value of an Investment Vehicle'' [ Abstract ]
Wolfgang Geiselhart, Patrick Gügi:
``Evaluation Model for Portfolio Management'' [ Abstract ]
Dominique Vacheron, Gilles Duteil:
``Pre-Trade Transparency on Equity Markets: The Effects of Hidden Order Procedure on the Paris-Bourse'' [ Abstract ]
5.2 Heuristic Optimization
Organizer: Peter Winker
Chairperson: David G. Luenberger
Peter Winker, John S. Chipman:
``Optimal Industrial Classification in a Dynamic Model of Price Adjustement'' [ Abstract | Full Paper ]
Walter J. Mayer, Robert E. Dorsey:
``Tests for a Global Maximum'' [ Abstract ]
Peter Winker, Kai-Tai Fang:
``Optimal U-Type Designs'' [ Abstract ]
5.3 Time-Scale and Time-Frequency Methods-1
Organizer and Chairperson: Seth A. Greenblatt
Jean-Baptiste Lesourd, Walter Labys, Russel Davidson:
``Wavelets Transforms and Time-Frequency Analysis of Commodity Price Behaviour'' [ Abstract ]
Andreas Weigend, Vance Bjorn:
``Multiresolution Embedding for Time-Series Analysis'' [ Abstract ]
Xiaodi Wang, Zuohong Pan:
``A Stochastic Nonlinear Regression Estimator Using Wavelets'' [ Abstract ]
Seth A. Greenblatt:
``Atomic Decomposition of Financial Data'' [ Abstract | Full Paper ]
5.4 Computational Control Theory-1
Organizer: David Kendrick
Chairperson: Berç Rustem
Peter J. Stemp, William M. Scarth:
``Zero Inflation Targets: Central Bank Commitment and Fiscal Policy Outcomes'' [ Abstract | Full Paper ]
Marco Tucci:
``The Nonconvexities Problem in Adaptive Control Models: A Simple Computational Solution'' [ Abstract ]
Berç Rustem:
``A Discrete Min-Max Algorithm: Risk Management with Rival Scenarios'' [ Abstract ]
Pier Luigi Zezza, Emilio Barucci:
``Differential Games and Nonconvexities: A Conjugate Points Approach'' [ Abstract ]
5.5 Micro Simulation Modeling
Chairperson: Christopher Birchenhall
Charlotte Bruun:
``A Model of Consumption Behaviour Using Cellular Automata'' [ Abstract ]
Bastien Chopard, Rodolphe Chatagny:
``Microsimulation of an Artificial FX Market System'' [ Abstract ]
Olivier V. Pictet, Ulrich A. Müller, Dominique M. Guillaume, Michel M. Dacorogna:
``Unveiling Nonlinearities through Time-Scale Transformations'' [ Abstract ]
Kai Brandt:
``Numerical Solution of Huge Sets of Nonlinear Differential Equations: The Coupling of Open Economic Systems'' [ Abstract | Full Paper ]
5.6 Techniques for Solving Nonlinear Econometric Models-2
Organizer: NN
Chairperson: Mario J. Miranda
Gary S. Anderson:
``An Application of Sparse Methods to Solving a Multi-Country Model with Rational Expectations'' [ Abstract | Full Paper ]
Götz Uebe:
``The Spike Conjecture - Some Counter-examples'' [ Abstract ]
Peter Hollinger:
``The Stacked-Time Simulator in TROLL: A Robust Algorithm for Solving Forward-Looking Models'' [ Abstract | Full Paper ]
6 Plenary Session 2
Chairperson: Hans Amman
Robert P. Parks, William L. Goffe:
``The Future Information Infrastructure in Economics'' [ Abstract | Full Paper ]
6.1 Numerical Methods for Option Pricing
Chairperson: Yacine Aït-Sahalia
David G. Luenberger:
``Products of Trees for Investement Calculations'' [ Abstract ]
Matthias Reimer, Dietmar Leisen:
``Binomial Models for Option Valuation - Examining And Improving Convergence'' [ Abstract | Full Paper ]
Stylianos Perrakis, Jean Lefoll:
``The American Put under Transactions Costs'' [ Abstract ]
B. Leblanc, Christophe Bahadoran:
``Applications of Laplace-Fourier Inversion to Option Pricing'' [ Abstract ]
6.2 Computational Managment Science-2
Chairperson: Charles S. Tapiero
Edison Tse:
``A Dynamic Entrepreneurial Decision Model'' [ Abstract ]
Sten Thore, Gerald L. Thompson:
``Advertising and Sealed Bid Auctions in a Transshipment Game'' [ Abstract ]
Nikolai Mincoff, Stefan Doytchinov:
``Reengineering Pricing Versus Repricing Gaps in Asset/Liability Management'' [ Abstract ]
Gianfranco Gambarelli:
``Takeover Algorithms'' [ Abstract ]
6.3 Computational Time Series
Organizer: Willi Semmler
Chairperson: John Geweke
Salih Neftci:
``Stock Market Volatility and Correlations in Continuous Time'' [ Abstract ]
Stefan Mittnik, Toker Doganoghu:
``On the Generation of Pseudo-Random Stable Paretian Variates'' [ Abstract ]
Marc S. Paolella, Ronald W. Butler:
``Approximate Saddlepoint Distributions for Various Serial Correlograms'' [ Abstract ]
Petr Klàn, Georges Darbellay:
``A Simple Adaptive Method for Time-Series Forecasting'' [ Abstract | Full Paper ]
6.4 Dynamic Programming and Stochastic Control
Organizer and Chairperson: John Rust
Emilio Cerda Tena, Francisco Alvarez Gonzalez:
``A Solution Method for a Class of Learning by Doing Models'' [ Abstract | Full Paper ]
Martin L. Puterman:
``Average, Bias and Expected Total Reward Optimality in Markov Decision Problems'' [ Abstract | Full Paper ]
Lars P. Hansen, Evan W. Anderson:
``Perturbation Methods for Risk-Sensitive Economies'' [ Abstract | Full Paper ]
Yum K. Kwan, Gregory C. Chow:
``Solving Dynamic Optimization Problem by the Lagrange Method: Numerical Examples'' [ Abstract ]
6.5 Agent Based Economic Models-2
Organizer: Nicolaas J. Vriend
Chairperson: Cars H. Hommes
Esther Hauk:
``Leaving the Prison: A Discussion of the Iterated Prisoner's Dilemma under Preferential Partner Selection'' [ Abstract | Full Paper ]
Hélène Tordjman, Luigi Marengo:
``Speculation, Heterogeneity and Learning: A Simluation Model of Exchange Rates Dynamics'' [ Abstract ]
Ernesto Somma, Huw David Dixon:
``The Evolution of Conjectures'' [ Abstract ]
Christian Rieck:
``Evolutionary Simulation of Asset Trading Strategies'' [ Abstract ]
6.6 Dynamics and Equilibria
Organizer and Chairperson: Anna Nagurney
June Dong:
``A Dynamic Model of General Financial Equilibrium with Policy Interventions and Stability Analysis'' [ Abstract ]
Jie Pan:
``Evolution Variational Inequality Model of a Dynamic Adjustment Process in a Spatial Market Equilibrium Problem'' [ Abstract | Full Paper ]
Sjur Didrik Flam:
``Equilibrium Problems, Quasi-Variational Inequalities and Epi-Convergence'' [ Abstract ]
Ding Zhang, Anna Nagurney:
``Massively Parallel Computation of Dynamic Traffic Problems Modeled as Projected Dynamical Systems'' [ Abstract | Full Paper ]
7.1 Asset Pricing Models: Computation and Complexity
Organizer: Davis W. Dechert
Chairperson: Jean Lefoll
Harald Uhlig:
``A Toolkit for Pricing Assets in Nonlinear Dynamic Stochastic Models Easily'' [ Abstract ]
Cars H. Hommes, William A. Brock:
``Adaptive Beliefs and the Emergence of Complex Dynamics in Asset Pricing Models'' [ Abstract ]
Davis W. Dechert, Levent Akdeniz:
``Risk and Return in a Dynamic Asset Pricing Model'' [ Abstract | Full Paper ]
Andrew W. Lo, Yacine Aït-Sahalia:
``Nonparametric Estimation of State Price Densities Implicit in Financial Asset Prices'' [ Abstract | Full Paper ]
7.2 Numerical Methods for RE Models
Chairperson: Mario J. Miranda
Jenny Li:
``Numerical Analysis of a Monetary Overlapping Generation Model'' [ Abstract ]
Kenneth Judd:
``New Integration Methods for Rational Expectations Models'' [ Abstract ]
Christopher Paul, Omar Licandro, Raouf Boucekkine:
``Differential-Difference Equations in Economics: On the Numerical Solution of Vintage Capital Growth Models'' [ Abstract | Full Paper ]
John Rust:
``Randomized Methods for Solving Fredholm Integral Equations Arising from Dynamic Programming and Rational Expectations Models'' [ Abstract ]
7.3 Genetic Programing Applications
Chairperson: Robert E. Dorsey
Chia-Hsuan Yeh, John Duffy, Shu-Heng Chen:
``Equilibrium Selection Trough Adaptation: Using Genetic Programming to Model Learning in a Coordination Game'' [ Abstract ]
Michael B. Gordy, Raymond Board:
``Solving Complex Common Value Auctions Using Genetic Algorithms'' [ Abstract ]
George G. Szpiro:
``Forecasting Chaos with Genetic Algorithms'' [ Abstract ]
7.4 Computational Finance-3
Chairperson: John Geweke
Luigi A. Cefis, Renzo G. Avesani:
``An Alternative Stochastic Volatility Model: Jumps and Diffusion'' [ Abstract ]
Agnese Sironi, Umberto Cherubini:
``Bond Trading, Market Anomalies and Neural Networks: An Application with Kohonen Nets'' [ Abstract | Full Paper ]
Karl Schmedders:
``Damped Asset Trading in the General Equilibrium Model with Incomplete Asset Markets'' [ Abstract ]
7.5 Computational Control Theory-2
Organizer: David Kendrick
Chairperson: Reinhard Neck
Ric D. Herbert:
``Observer Based Control with Nonlinear Macroeconometric Models'' [ Abstract | Full Paper ]
Holger C. Wolf, Atish R. Ghosh:
``A Genetic Approach to Finding Optimum Currency Areas'' [ Abstract ]
Hans Joachim Gaschler:
``Enhancement of an Algorithm for the Optimal Control of Nonlinear Stochastic Models'' [ Abstract ]
Reinhard Neck:
``Can Budgetary Policy Planning Be Improved by Optimal Control Methods? A Case Study for Austria'' [ Abstract ]
7.6 Exchange Rate Modeling
Chairperson: Sean Holly
William Verkooijen, Joseph E. Plasmans, Hennie Daniëls:
``Exchange Rate Modeling Using Artificial Neural Networks'' [ Abstract | Full Paper ]
Alfredo Medio, Francesco Lisi:
``Is a Random Walk the Best Exchange Rate Predictor'' [ Abstract ]
Mark Salmon, Robert J.T. Hillman:
``Regimes and Nonlinearity in Exchange Rate Data'' [ Abstract ]
8 Plenary Session 3
Chairperson: Diem Ho
Peter Robin:
``Banking Trends: Mathematical Implications'' [ Abstract ]
8.1 Dynamics of Contracts, Income Smoothing and Optimal Taxation
Chairperson: Cars H. Hommes
Juha Seppälä, Thomas J. Sargent, Albert Marcet:
``Optimal Taxation without State-Contingent Debt'' [ Abstract ]
Ramon Marimon, Albert Marcet:
``Recursive Contracts: Theory and Examples'' [ Abstract ]
Bente Villadsen, Richard T. Boylan:
``A Bellman's Equation for the Study of Income Smoothing'' [ Abstract | Full Paper ]
Bente Villadsen, Richard T. Boylan:
``An Algorithmic Approach to Contracting in an Infinite Agency Model'' [ Abstract ]
8.2 Empirical Finance
Chairperson: Carl Chiarella
Antoon Pelsser:
``An Analytically Tractable Interest Rate Model that Precludes Negative Interest Rates'' [ Abstract ]
Guillermo Llorente Alvarez, Ludwig Chincarini:
``Differentiating Between Volume and Return Information on Individual Stocks'' [ Abstract ]
Wolfgang Polasek:
``Gibbs Sampling for VAR-ARCH Models in Finance'' [ Abstract ]
Dieter Hess, Frank Gerhard:
``Time Varying Covariance Structures in Financial Markets'' [ Abstract | Full Paper ]
8.3 Algorithmic Approaches
Chairperson: Kenneth Judd
Jean-Philippe Vial:
``New Optimization Methods for Variational Inequalities and the Computation of Economic Equilibria'' [ Abstract ]
Andranik Tangian, Josef Gruber:
``Constructing Quadratic, Polynomial, and Separable Objective Functions'' [ Abstract | Full Paper ]
Sergei Perminov:
``Algorithm Models of Production Decision Making and Adaptation Cost Evaluations'' [ Abstract | Full Paper ]
N. H. Xiu, Shiquan Q. Wu:
``A New Polynomial Time Algorithm for Convex Quadratic Programming Problem'' [ Abstract ]
8.4 Tools for International Finance
Organizer and Chairperson: Anna Nagurney
Stavros Siokos, Anna Nagurney:
``Modeling of General International Financial Equilibrium in the Presence of Financial Futures: A Variational Inequality Approach'' [ Abstract | Full Paper ]
C. Zopunidis, Panos M. Pardalos, M. Michalopoulos:
``On the Use of Multicriteria Methods for the Evaluation of Insurance Companies in Greece'' [ Abstract ]
Vesa Puttonen, Eero Kasanen, Antti Kanto:
``The Estimation of Beta with Leptocurtic Data'' [ Abstract ]
V. Pavlov, K. Pashkovskaya, Arkady Borisov:
``Neural Network-Based System for Currency Flow Planning'' [ Abstract ]
8.5 Complexity, Induction, Institutions
Organizer and Chairperson: Francesco Luna
Kumaraswamy Vela Velupillai:
``Computably Inductivizing Economics'' [ Abstract ]
Ching-Wei Tan, Shu-Heng Chen:
``Rissanen's Stochastic Complexity in Financial Markets'' [ Abstract ]
Francesco Luna:
``Computable Learning, Neural Networks and Institutions'' [ Abstract | Full Paper ]
8.6 Trading and Markets-2
Chairperson: Leigh S. Tesfatsion
Gerhard Weissbuch, Alan Kirman, Dorothea Herreiner:
``Market Organization'' [ Abstract ]
Thomas Brenner:
``Learning at the Market Place'' [ Abstract ]
Michael B. Gordy:
``Multiple Bids in a Multiple-Unit Common Value Auction'' [ Abstract | Full Paper ]
Andres R. Schuschny, R.P.J. Perazzo, D. Heymann:
``Price Setting in a Schematic Model of Inductive Learning'' [ Abstract | Full Paper ]
9.1 Computational Control Theory-3
Organizer: David Kendrick
Chairperson: Willi Semmler
Peter Zadrozny:
``An Eigenvalue Method of Undetermined Coefficients for Solving Linear Rational Expectations Models'' [ Abstract ]
Carl Chiarella, Ramaprasad Bhar:
``Bootstrap Results from State Space Form Representation of the Heath-Jarrow-Morton Model'' [ Abstract ]
Malte Sieveking, Willi Semmler:
``Computing Credit Worthiness and Sustainable Debt'' [ Abstract ]
Heinz Neudecker, David Kendrick, Hans Amman:
``Numerical Steady State Solutions for Nonlinear Dynamic Optimization Models'' [ Abstract | Full Paper ]
9.2 Time-Scale and Time-Frequency Methods-2
Organizer and Chairperson: Seth A. Greenblatt
Esben Hoeg:
``A Fractional Differencing Analysis of Yield Curves by means of Wavelet Analysis'' [ Abstract | Full Paper ]
Ping Chen:
``A Random Walk or Color Chaos on the Stock Market? - Time-Frequency Analysis of S&P Indexes'' [ Abstract ]
Miguel A. Ariño:
``Forecasting Time Series via Discrete Wavelet Transform'' [ Abstract | Full Paper ]
Zaka Ratsimalahelo:
``Approximation de systèmes dynamiques'' [ Abstract | Full Paper ]
9.3 Specifications and Tests for Nonlinearities
Organizer and Chairperson: Willi Semmler
Peter Flaschel, Carl Chiarella:
``An Integrative Approach to 2D-Macromodels of Growth, Price, Inventory and Exchange Rate Dynamics'' [ Abstract ]
Willi Semmler, L. Kockesen:
``Testing the Financial Accelerator Using a Smooth Transition Regression Model'' [ Abstract ]
Max Stevenson, Maurice Peat, David Jones:
``Does the Process of Spatial Aggregation of UK Unemployment Rate Series Serve to Induce or Remove Evidence of Asymmetry'' [ Abstract ]
Abdol S. Soofi, Jonas Mockus:
``Multimodality in the Autoregressive Fractionally Integrated Moving Average Models'' [ Abstract ]
9.4 Computational Statistics-5
Chairperson: David Belsley
John Geweke:
``Posterior Simulators in Econometrics'' [ Abstract | Full Paper ]
Felix Ritchie:
``Observation Histories: A Compression Technique for Recording Discrete States'' [ Abstract | Full Paper ]
George J. Miel:
``Rank Ordering of Large Heterogeneous Data'' [ Abstract ]
V. I. Zabelin, A.E. Veprik, V. A. Dikarev:
``Modelling of Disintegrating Economy by Markov Processes'' [ Abstract ]
9.5 Simulations of RE Models
Organizer and Chairperson: Pierre Malgrange
Douglas Laxton, Michel Juillard:
``A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models'' [ Abstract ]
Katheline Schubert, Cuong Le Van, Raouf Boucekkine:
``How to Get the Blanchard-Khan Form from a General Linear Rational Expectations Model'' [ Abstract | Full Paper ]
Pierre Malgrange, Michel Juillard:
``Dynamical Analysis of MULTIMOD'' [ Abstract ]
9.6 Asymmetries in Economic Modeling
Organizer and Chairperson: Sean Holly
Alvaro Escribano:
``Nonlinear Error Correction: The Case of Money Demand in the U.K. (1878-1970)'' [ Abstract ]
Peter A. Tinsley, Reva Krieger:
``Asymmetric Adjustments of Price and Output'' [ Abstract | Full Paper ]
Douglas Laxton, Peter B. Clark:
``Phillips Curves, Phillips Lines and the Unemployment Cost of Overheating'' [ Abstract ]
Sean Holly:
``Price Asymmetries, Relative Price Variability and Inflation: Some International Evidence'' [ Abstract ]
10 Plenary Session 4
Chairperson: John Rust
Ariel Pakes:
``Computational Issues in the Analysis of Simple IO Models: A Report from the Applied Front'' [ Abstract | Full Paper ]
10.1 Finance Management
Organizer and Chairperson: Diem Ho
Michael Dempster:
``Integrated Asset Liability Management for Pensions and Insurance'' [ Abstract ]
Diem Ho, Mourad Bara:
``Credit Risk Assessment and Pricing'' [ Abstract ]
Thomas R. Schneeweis, George Martin, Thomas Henker:
``Naive and Planned Diversification for Managed Futures'' [ Abstract ]
10.2 Software Modeling Approaches in Economics
Chairperson: Jean-Louis Brillet
Andranik Tangian:
``A WINDOWS Interactive Program for Constructing Objective Functions'' [ Abstract ]
L. Y. Pospelova, Igor Pospelov, A. A. Petrov:
``ECOMOD - A Modeling Support System for Mathematical Models of Economy'' [ Abstract ]
Jean-Louis Brillet:
``Win - MCD: Managing a Small Model in a Windows Environment'' [ Abstract ]
DummyOrg:
``Dummy''
10.3 Structural Change and Economic Modelling
Organizer and Chairperson: Stephen G. Hall
Anthony Garratt:
``E-Stability and the Rate of Learning in a Large Macro Model'' [ Abstract ]
Wojciech W. Charemza:
``An Introduction to Guesstimation: Back to Basics or a Mockery?'' [ Abstract ]
Anna Zelweska-Mitura, Stephen G. Hall:
``Modelling Emerging Financial Markets and their Approach to Market Efficiency'' [ Abstract | Full Paper ]
Volker Wieland:
``Learning and Optimal Control under Parameter Uncertainty'' [ Abstract ]
10.4 Neural Networks
Chairperson: Seth A. Greenblatt
Eduardo Salazar:
``Data Augmentation by Wavelet Neural Networks'' [ Abstract ]
Christian Helmenstein, Christian Haefke:
``Forecasting Stock Market Averages to Enhance Profitable Trading strategies'' [ Abstract | Full Paper ]
Jannusz Jaworski, Ilona Jagielska:
``Neural Networks for Emulating Credit Risk Assessment'' [ Abstract ]
10.5 New Approaches to Macro Modeling
Chairperson: Peter Zadrozny
Sergei Nemnyugin, Oleg A. Malafeyev:
``A Single-Sector Stochastic Model of Economics'' [ Abstract | Full Paper ]
Elena Ryumina, Vladimir Gurman:
``Modification of the UN System of National Accounting Oriented to Sustainable Development Concept'' [ Abstract | Full Paper ]
I.V. Semeniak, Ye. P. Kushnariov, B.S. Elkin, M.I. Bondarenko:
``Modelling of Regional Marketing Information System under Conditions of Passing to Market Economy for Ukraine'' [ Abstract ]
Joginder Singh, R. K. Lekhi:
``Problems and Prospect of Cooperative Management of Farm Resources: A Case Study of an Indian Village'' [ Abstract ]
10.6 Environmental Economics
Chairperson: Christophe Deissenberg
Christophe Deissenberg:
``Global Warming and the Canadian Boreal Forest: Simulations and Scenarios'' [ Abstract ]
Harvey Stevens, Mark Johnston, Mohammed Dore:
``The Carbon Cycle and the Value of Canadian Forests'' [ Abstract | Full Paper ]
Sokrates Kypreos, Benno Büeler:
``Multiregional Markal-Macro: Introduction of CO2 Certificate Trade and Solution Concepts'' [ Abstract | Full Paper ]
Georges Sotirov, Nikolai Mincoff, Monika Koubratova:
``Management of Agricultural Non-Point Source Pollution under Uncertainty'' [ Abstract ]
Nickolay V. Simakov:
``Computational Modeling of Energy-Economy Interaction under Uncertainty'' [ Abstract ]
10.7 Applied Econometrics
Chairperson: Frank A. Wolak
Peiming Wang, Martin L. Puterman, Iain Cockburn:
``A Mixed Poisson Regression Model for Analysis of Patent Data'' [ Abstract | Full Paper ]
Gabriele Fiorentini, Francesca Di Iorio:
``Indirect Inference Estimation for Stochastic Differential Equation with Unrestricted Variance Elasticity'' [ Abstract ]

[ Agenda | Sessions | Program ]