# Society for Computational Economics

# Computing in Economics and Finance 1997

Web page: http://bucky.stanford.edu/cef97/

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(Christopher F. Baum)**

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**99 The Use of Extremal Vector Field Analysis to Study Debt Dynamics***by*Willi Semmler & Malte Sieveking**98 A Discrete Differential Equation Model of the US: 1972-84***by*Walter Waymeyer**97 Adaptive Rational Expectations in Models of Monetary Dynamics***by*Carl Chiarella & Alexander Khomin**96 Optimal Forward-Looking Monetary Policy under Rational Expectations***by*Peter Zadrozny**95 Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data***by*Robert B. Avery & Michael Gordy**94 Volume and Return Relationships in the Stock Market***by*J. Guillermo Llorente-Alvarez & J. del Hoyo**93 Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models***by*Ming Liu & Harold H. Zhang**92 Asset Prices Under Asymmetric Information***by*Christian Haefke & Leopold Soegner & Business Administration**91 Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models***by*Max E. Jerrell**90 Computing Implied Volatilities Using Automatic Differentiation***by*Lucas Roh**9 Expectations, Learning and the Design of Monetary Policy Rules***by*Robert Tetlow & Peter von zur Muehlen**89 A Genetic Algorithm Approach to Repeated Bargaining Under Symmetric and Asymmetric Information***by*Christoph Zott**88 Decentralized Interaction and Co-adaptation in the Repeated Prisoner's Dilemma***by*Tomas Klos**87 Does Evolution Make Reasoning Improve Learning?***by*Bernard Borges & Peter M. Todd**86 Medicare, Medicaid, Medigap, and the Life Expectancy of the Elderly***by*Morris A. Davis**85 Optimal Indirect Taxes for Brazil: Combining Equity and Efficiency***by*Rozane Bezerra de Siqueira**84 A Quantitative Analysis of Employment Guarantee Programs with an Application to Rural India***by*Pushkar Maitra**83 Option Valuation Using Quadrature***by*Michael A. Sullivan**82 The Random-Time Binomial Model***by*Dietmar P. J. Leisen**81 Innovation and Capital Accumulation in a Vintage Capital Model: an Infinite Dimensional Control Approach***by*Emilio Barucci & F. Gozzi**80 Financial Fragility, Bounded Rationality and Agents Heterogeneity***by*Domenico Delli Gatti & Mauro Gallegati & Antonio Palestrini**8 Should Macroeconomic Policy Makers Consider Parameter Covariances?***by*Hans M. Amman & David Kendrick**79 Innovation and Firm's International Expansion: A Dynamic Approach***by*Maria Luisa Petit & Francesca Sanna Randaccio & Boleslaw Tolwinski**78 Automated Theorem Proving***by*Seth Greenblat**77 In Defense of Computing in Economics***by*Billette de Villemeur**76 Preface to a Computational Economic Theory of Democracy***by*Andres Rius**75 Auctions and Optimization: Methods for Closing the Gap Caused by Non-Convexities in Preferences***by*Rinaldo A. Jose, Patrick Harker & Lyle H. Ungar**74 Low Inflation or Stable Prices? Monetary Policy in the Absence of Deficit Finance***by*Christopher F. Baum & Meral Karasulu**73 Time-Varying Risk of Realignment in the European Rate Mechanism: A Comparison of Linear and Nonlinear Estimation Techniques***by*Liga E. Bauer**72 The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates***by*Basma Bekdache & Christopher F. Baum**71 The Equity Premium and the Term Structure of Interest Rates with Stochastic Differential Utility***by*Mark E. Fisher & Christian Gilles**70 Computational General Equilibrium with Incomplete Assets***by*Karl Schmedders**7 Testing Change in Time Series***by*Atsushi Inoue**69 PATH, NLP2MCP and Economic Applications of Complementarity***by*Michael C. Ferris**68 Numerical Tracking of the Tracing Procedure for Non-cooperative N-person games***by*P. J. J. Herings & Antoon van den Eizen**67 Testing for a Unique Equilibrium in Computable General Equilibrium Models***by*Sami Dakhlia**66 Practical Results on Parallel Methods for Solving Forward-Looking Models***by*Manfred Gilli & Giorgio Pauletto**65 A Toolkit for Optimizing Functions in Economics***by*William L. Goffe**64 A Simple Approach to the Assortment Problem***by*G�tz Uebe**63 Approximating and Simulating the Real Business Cycle: Linear Quadratic Methods, Parameterized Expectations and Genetic Algorithms***by*John Duffy & Paul D. McNelis**62 Power Markets for Controlling Smart Matter***by*Oliver Guenther, Tad Hogg & Bernardo Huberman**61 The Emergence of Economic Classes in an Agent-based Bargaining Model***by*Robert Axtell, Joshua M. Epstein, & H. Peyton Young**60 Market Organizations for Perishable Goods***by*Gerard Weisbuch & Alain Kirman & EHESS**6 EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study***by*Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen**59 Microsimulation of Markets and Endogenous Price Bubbles***by*Ken Steiglitz & Liadan I. O'Callaghan**58 A Theory of Technical Analysis***by*Spyros Skouras**57 Asset Pricing Under Endogenous Expectations in an Artificial Stock Market***by*W. Brian Arthur & Paul Tayler**56 A Dynamic Model of Information Selection in Asset Markets***by*David Goldbaum**55 Optimization of Trading Systems and Portfolios***by*John Moody & Lizhong Wu**54 Coexistence of Perfect and Non-Perfect Foresight Cycles in a Bounded Rationality Economy***by*Gian-Italo Bischi & Laura Gardini & University of Urbino**53 Win-Stay, Lose-Shift. A General Learning Rule for Repeated Normal Form Games***by*Martin Posch & Werner Brannath**52 How Small Shocks and Heterogeneous Expectations Can Create Large Swings in the Exchange Rates***by*Torsten Sloek & Jens Peter Sorenson**51 Economic Dynamics with Learning: New Stability Results***by*George W. Evans & Seppo Honkapohja**50 Structural Breaks and VAR Modeling with Marginal Likelihoods***by*Wolfgang Polasek**5 Finite Sample Properties of the Efficient Method of Moments***by*Romulo Chumacero**49 Non-Linear Structures and Exchange Rate Dynamics Identification***by*Federico Ravenna**48 Predictive Residual Sum of Squares: A Comparision of Criteria for Estimating Lag Order of an Autoregressive Process***by*Sidika Basci & Asad Zaman**47 Rapid Prototyping of Quantitative Displays***by*R. W. Oldford**46 Global Optimization Methods for Estimating GARCH Models***by*Max E. Jerrell**45 Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints***by*Erricos Kontoghiorghes & Elias Dinenis & Dennis Parkinson**44 Computing Hessians with the Help of Automatically Detected Partially Separable Structure***by*David M. Gay**43 When Less is not too Little: On the Adaptation to Adverse Endowment Conditions in Artificial Economies***by*Bernard Borges & Gregory M. Werner**42 Refining the Breeding of Hybrid Strategies***by*Albert E. Marks & David F. Midgley & Lee G. Cooper**41 Cellular Genetic Automata in Computer Simulation of Economic Growth and Development with Romer Externalities***by*Roger A. McCain**40 Dynamic Agency with Feedback***by*B. Taub**4 Multivariate Analysis of Business Cycles***by*Ulrich Heilemann & Heinz M�ench & Universit�t Duisburg**39 Dynamic Principal - Multiple Agent Problems***by*Sevin Yeltekin**38 Contracting and Income Smoothing in an Infinite Agency Model***by*Richard T. Boylan & Bente Villadsen**37 Precautionary Saving Credit Constraints and Investment: Theory and Evidence from Semi-Arid India***by*Marcel Fafchamps & John Pender**36 Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market***by*Martin Lettau & Willi Semmler & University of Bielefeld**35 Computationally Efficient Solution and Maximum Likelihood Estimation of Nonlinear Rational Expectations Models***by*Jeffrey C. Fuhrer & C. Hoyt Bleakley**34 Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models***by*Michael Binder, M. Hashem Pesaran & S. Hossein Samiei**33 Network Modeling of International Financial Equilibria with Hedging: Statics and Dynamics***by*Anna Nagurney & Stavros Siokos**32 A Computational Model of Economies of Scale and Market Share Instability: A Replicator Dynamics Framework***by*Mariana Mazzucato**31 Credit Risk Assessment using Statistical and Machine Learning Methods as an Ingredient for Risk Modeling of Financial Intermediaries***by*Jorge Galindo & Pablo Tamayo**30 The Evolution of Portfolio Rules in Financial Markets***by*Emanuela Sciubba**3 A Wavelet-Based Nonparametric Estimator of the Variance Function***by*Zuohong Pan & Xiaodi Wang**29 Generalized Adjustment Costs and Macro Dynamics: Specification and System Estimation of a Small-Scale Model of the US Economy***by*Antulio Bomfim & John Williams**28 Pricing and Hedging Contingent Claims via Malliavin Calculus***by*Emilio Barucci & Maria Elvira Mancino**27 Numerical Solution of an Endogenous Growth Model with Threshold Learning***by*Baoline Chen**26 Bayesian Learning and Investment Dynamics***by*Bartholomew Moore & Huntley Schaller**25 A Methodology for Managing Risk in Electronic Transactions over the Internet***by*Rajan M. Lukose & Bernardo A. Huberman**24 Mathematica and Economic Research: A Student Tutorial***by*David A. Belsley**23 Introductory Honors Economics on the WEB***by*Alfred L. Norman & Vinit Jagdish**22 Wide-Area Distributed Database System in Electronic Commerce***by*Zhangxi Lin, Prabhudev Konana, & Andrew B. Whinston**21 Economic Theory with 'Bottom Up' Models: Comparative Dynamics, Testing and Verification***by*Benedikt Stefansson**20 Agent-Based Keynesian Economics; Methodological Issues and a Model***by*Charlotte Bruun**2 A Test for Strong Hysteresis***by*Laura Piscitelli**19 Production Functions as Turing Machines***by*Kumaraswamy Velupillai & Stefano Zambelli**18 Simulating and Analyzing Coevolutionary Instability of Multi-Agent Games with Genetic Algorithms***by*Shu-Heng Chen & Chih-Chi Ni**178 Procyclical Labor Productivity: Sources and Implications***by*Burkhard Heer & Ludger Linnemann**177 A Real Business Cycle Model for Panel Data: An Application for the Central European Transition Economies***by*Libor Krkoska**176 Forecasting Fundamental Asset Return Distributions***by*R. Glen Donaldson & Mark Kamstra**175 Cyclical Variation in the Risk and Return Relation***by*Paul Harrison & Harold H. Zhang**174 Tax Policy and the Dynamic Demand for Domestic and Foreign Capital by Multinational Corporations***by*Rosanne Altshuler & Jason G. Cummins**173 A Steady State Evaluation of the measures of the Welfare Cost of Inflation***by*Robert Hooper**172 Flat Tax Reform: A Quantitative Exploration***by*Gustavo Ventura**171 Why Equal Weights in the Three Factor Formula Apportionment Method? A Game-theoretic Model of Competition between States***by*April Franco**170 Using Neural Nets as a Tool to Gain Insight into Differential Stochastic Equations***by*Duc Pham-Hi**17 Learning and Contagion Effects in Trasitions Between Regimes: A Schematic Model of Bank Runs***by*D. Heymann, R. P. J. Perazzo, & Andres Schuschny**169 Toward a Generic Macroeconomic Modeling Environment***by*Stephen Wright**168 Controlling the Flexibility of Neural Networks: An Empirical Study in Financial Modelling***by*Hennie Daniels & Bart Kamp & William Verkooijen**167 Forecasting UK Output: a Neural Network Approach***by*E. L. Salazar & Social Research (NIESR)**166 The Emergence of a Firm as a Complex-Problem Solver***by*Francesco Luna**165 Stochastic Demand, Monopoly, and Information Aquisition when Demand Comes from Multiple Sources***by*Jacek Cukrowski & Kresimir Zigic**164 Problem-solving in the SIGMA Computational Economy Through Learning and Adaptation***by*Grigoris Karakoulas**163 Information Processing and Organizational Structure***by*Stephen J. DeCanio & William E. Watkins**162 Endogenous Cycles in Linear and Nonlinear Trade Cycle Models***by*Steve Keen**161 Public Deficits, Debt and Financial Markets: A Stochastic General Equilibrium***by*Roland Demmel**160 Linear Contemporaneous Control Models***by*Ric Herbert, Rod Bell & Graham Madden**16 Optimal Trading Strategy When Return Process is AR(1)***by*Kin Lam & Li Wei**159 Relaxation Algorithms in Finding Nash Equilibrium***by*Steffan Berridge & Jacek Krawczyk**158 A Numerically Stable Quadrature Procedure for the One-Factor Random Component Discrete Choice Model***by*Lung-fei Lee**157 Random Number Generators***by*Gerald P. Dwyer, Jr. & K. B. Williams**156 Kernel Estimation of the Density of a Change-Point in the Mean***by*Marine Carrasco**155 A Fast Maximum Simulated Likelihood Estimation Technique for NMP Models***by*Denis Bolduc**154 Learning With a Known Average: a Simulation Study of Alternative Learning Rules***by*Huw D. Dixon & Paolo Lupi**153 Choice Under Uncertainty with Costly Computations***by*Kislaya Prasad**152 Learning by Imitation in the Kiyotaki-Wright Model of Money***by*Erdem Basci**151 Learning About the Learning Curve: A Computational Model***by*V. Bala & R. Radner**150 The Dynamics of Regional Interaction, Growth and Agglomeration - a simulation approach based on cellular automata***by*Max Keilbach**15 Consumption, Saving, and Local Interaction***by*Dorothea K. Herreiner**149 Profile Learning by Strategic Workers in Wage-Setting Duopsony***by*Aurora Garc�a, Nikolaos Georgantz�s, Vicente Orts R�os, & Jos� C. Pern�as**148 A Genetic Game of Trade, Growth, and Externalities***by*Nedim M. Alemdar & S�heyla �zyildirim**147 Genetic Learning in Double Auctions***by*Herbert Dawid**146 Putting Rationality in Chains***by*Jan W. Portengen**145 A Computer Simulation of Replenishable Resource Traps: An Evolutionary Game Perspective***by*Robbie T. Nakatsu**144 Investment Behaviour Under Knightian Uncertainty - an Evolutionary Approach***by*Terje Lensberg & Business Administration**143 Distribution-free Confidence Intervals for Sampling Inequality Indices***by*Paola Palmitesta & Cosimo Spera**142 Monte Carlo Comparison of Several High Breakdown, Efficient Estimators***by*Jiazhong You**141 Simulation Based Finite and Large Sample Inference Methods in Multiple Regression Models***by*Jean-Marie Dufour & Linda Khalaf**140 Stability Properties of Fiscal/Monetary Policy Interactions Under Alternative Discounting Assumptions***by*Peter Stemp**14 Organizational Adaptation on Rugged Fitness Landscapes***by*Luigi Marengo**139 Visual Simulation of Econometric Models***by*Ric Herbert**138 A Model of Monetary Growth for a Small Open Economy***by*Carl Chiarella & Peter Flaschel**137 The Impact of Exchange Rate Variability on Domestic Investment***by*A. J. Hughes-Hallett & Laura Piscitelli**136 An Efficient Approximate Algorithm for Robust Optimal Decisions under Uncertainty***by*J. Darlington, C. Pantelides, B. Tanyi, & Berc Rustem**135 Solving Higher-Dimensional Continuous Time Stochastic Control Problems by Value Function Interpolation***by*Michael Reiter**134 Optimal Consumption/Investment Choice with Undiversifiable Income Risk: Numerical Solution***by*Claus Munk**133 Reverse Shooting***by*Sy-Ming Guu**132 Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions***by*Carl Chiarella, Nadima El-Hassan, & Adam Kucera**131 American GARCH Option Pricing by a Markov Chain Approximation***by*Jin-Chuan Duan & Technology & Jean-Guy Simonato**130 Pricing Double Barrier Options: An Analytical Approach***by*Antoon Pelsser**13 Technological Diversity in an Evolutionary Industry Model with Localized Learning and Network Externalities***by*Nicolas Jonard & Murat Yildizoglu**129 Interest Rate Dynamics and Derivatives Pricing***by*Lin Chen**128 A Microeconomic Theory of Learning-by-Doing: An Application of Nascent Technology Approach***by*Phil Auerswald & Jose Lobo & Karl Shell**127 Computing Post Merger Nash Equilibria: Local vs. Global Demand Properties***by*Philip Crooke, Luke Froeb, & Steven Tschantz & Gregory J. Werden**126 Mergers and Dynamic Oligopoly***by*Kwang-Soo Cheong**125 Optimal Open Loop Cheating in Dynamic Reversed LQG Stackelberg Games***by*Thomas Vallee & Christophe Deissenberg & Tamer Basar**124 GAUSS Programming for Econometricians: A Distance Learning Approach***by*Kuan-Pin Lin & Lani Pennington**123 Visual Simulation with a Large Macroeconomic Model***by*Ric Herbert**122 Normative Considerations in the Development of a Software Package for Econometric Estimation***by*Charles G. Renfro**121 Chaotic Learning Equilibria***by*Martin Schonhofer**120 An Evolutionary Macro-Economic Model of Innovation and Imitation***by*I. Adjali, D. Collings, A. A. Reeder, & M. H. Lyons**12 A Cellular Automata Model of Schumpeterian Growth***by*Pari Kasliwal**119 Least Squares and Nonlinear Dynamics: Implications for Prediction***by*Kaushik Mitra**118 Adaptive Learning Dynamics and the Stabilization Policy in an Overlapping Generations Model***by*Taisei Kaizoji**117 EmmPack 1.0: C Code for use with Ox for the Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments***by*Pieter J. van der Sluis**116 Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks***by*Prasad V. Bidarkota & J. Huston McCulloch**115 Tests for Bounded Rationality: An Application to the U.S. Cattle Market***by*SaangJoon Baak**114 Reproducing Partial Observed Systems with Application to Interest Rate Diffusions***by*A. Ronald Gallant & George Tauchen**113 Estimation and Stochastic Simulation of Large-Scale Econometric Models with Rational Expectations***by*Giuseppe Bruno, Giancarlo Marra, & Andrea Cividini & Carlo Bianchi**112 On the Long-Run Stability of Term Premia***by*Basma Bekdache & Byeongseon Seo**111 Estimation of Game Theoretic Models: Computational Issues***by*Jean-Pierre Florens & Jean-Fran�ois Richard**110 An Agent-Based Computational Model for the Evolution of Trade Networks***by*David McFadzean & Leigh Tesfatsion**11 Monetary Policy and Uncertainty about the Natural Unemployment Rate***by*Volker Wieland**109 Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems***by*Carl Chiarella & Alexander Khomin**108 Enjoying a Free Lunch: Computational Economics with Linux***by*Dirk Eddelbittel**107 Growth and Migration***by*Jess Gaspar**106 An Application of Gr�bner Bases to Computing MLE's of the Structural Coefficients of Nonlinear-Perfect-Foresight Models***by*Gary S. Anderson**105 Transitional Dynamics in Non-Scale Growth Models***by*Theo Eicher & Stephen J. Turnovsky**104 Echoes Dynamics in Vintage Models: Basic Theoretical and Computational Results***by*Raouf Boucekkine & Omar Licandro**103 Occupation Time Derivatives***by*Vadim Linetsky**102 The Self-Evolving Logic of Financial Claim Prices***by*Thomas A. Noe**101 A Technique for Calibrating Derivative Security Pricing Models: Numerical Solution of an Inverse Problem***by*Ronald Lagnado & Stanley Osher**100 Markovian Term Structure Models***by*Patrick Hagan & Diana E. Woodward**10 Should the Fed Base Policy Decisions on a Linear Phillips Curve?***by*Doug Laxton, Dave Rose & Demos Tambakis**1 Rational Vector Error Correction Models***by*Sharon Kozicki & Peter A. Tinsley