Related papers: Investigating Wheat Price with a Multi-Agent Model
The World Trade Web (WTW) is a weighted network whose nodes correspond to countries with edge weights reflecting the value of imports and/or exports between countries. In this paper we introduce to this macroeconomic system the notion of…
An economic system is an exemplar of a complex system in which all agents interact simultaneously. Interactions between countries have generally been studied using the flow of resources across diverse trade networks, in which the degree of…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
This paper presents a modeling framework for simulating the decision-making processes of artificial farms populating an agent-based model for the Italian wheat production system. The decision process is based on a mathematical programming…
The Ricardian model of world trade based on comparative advantage is not sufficient to justify equal trade relations.The existing model of trade relations does not explain the distribution of income among trading countries. This paper…
Prediction markets are a popular, prominent, and successful structure for a collective intelligence platform. However the exact mechanism by which information known to the participating traders is incorporated into the market price is…
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of…
We compiled the first high-frequency rice price panel for Taiwan from August 1945 to March 1947, during the transition from Japanese rule to China rule. Using regression models, we found that the pattern of rice price changes could be…
We explore the effects of social influence in a simple market model in which a large number of agents face a binary choice: 'to buy/not to buy' a single unit of a product at a price posted by a single seller (the monopoly case). We consider…
Crop yield prediction typically involves the utilization of either theory-driven process-based crop growth models, which have proven to be difficult to calibrate for local conditions, or data-driven machine learning methods, which are known…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…
Wheat accounts for approximately 20% of the world's caloric intake, making it a vital component of global food security. Given this importance, mapping wheat fields plays a crucial role in enabling various stakeholders, including policy…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
We examine the problem of modeling and forecasting European Day-Ahead and Month-Ahead natural gas prices. For this, we propose two distinct probabilistic models that can be utilized in risk- and portfolio management. We use daily pricing…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
In this paper, we conduct a large-scale field experiment to investigate the manipulability of prediction markets. The main experiment involves randomly shocking prices across 817 separate markets; we then collect hourly price data to…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
International trade has been increasingly organized in the form of global value chains (GVCs) where different stages of production are located in different countries. This recent phenomenon has substantial consequences for both trade policy…