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Inspired by the classical riot model proposed by Granovetter in 1978, we consider a parametric stochastic dynamical system that describes the collective behavior of a large population of interacting agents. By controlling a parameter, a policy maker seeks to minimize her own disutility, which in turn depends on the steady state of the system. We show that this economically sensible optimization is ill-posed and illustrate a novel way to tackle this practical and formal issue. Our approach is based on theΓ-convergence of a sequence of mean-regularized instances of the original problem. The corresponding minimum points converge toward a unique value that intuitively is the solution of the original ill-posed problem. Notably, to the best of our knowledge, this is one of the first applications ofΓ-convergence in economics.

We replicate and use more recent data to re-estimate the paper “Uncertain outcomes and climate change policy”, Pindyck, J. Environ. Econ. Manag., 2012. In several cases, verification analysis confirms the results and the associated economic interpretation. However, those results cannot be replicated in one out of five cases. The replication is, therefore, only partially successful: the numerical results for some sets of parameter values turn out to be overly sensitive to a variety of technical computational settings. This suggests that great caution is needed with regard to estimates and policy conclusions based on this model. A re-estimation of the model using more recent climate data, which suggests that temperature increase is now higher on average but less widely dispersed, does not lead to significant economic differences in the results.

This paper presents a computational agent-based model of labor market participation, in which a population of agents, affected by adverse health shocks that impact the costs associated with working efforts, decides whether to leave the labor market and retire. This decision is simply taken by looking at the working behaviors of the other agents, comparing the respective levels of well-being and imitating the more advantageous decision of others. The analysis reveals that such mechanism of social learning and imitation suffices to replicate the existing empirical evidence regarding the decline in labor market participation of older people. As a consequence, the paper demonstrates that it is not necessary to assume perfect and unrealistic rationality at the individual level to reproduce a rational behavior in the aggregate.

We develop a new monthly and daily index of economic policy uncertainty for Italy based on articles from the Sole 24 Ore (a popular Italian business daily newspaper). VAR investigations document that an unexpected rise in the Sole 24 Ore news-based EPU index ( EPU24 ) has mild effects on the real economic activity. Cross-sectional asset pricing tests then show that both monthly and daily EPU24 shocks command a positive risk premium. A standard event study finally indicates the presence of statistically significant positive cumulative abnormal returns (CARs) in the energy sector following different categories of policy-related events. Negative and significant CARs in the financial sector are instead found to be generated by international-related events and political elections.

This paper attempts to fill the gap between economic and behavioral literature on tax evasion. We propose a micro-founded model whose results are consistent with the ‘Slippery Slope’ Framework and with the Expected Utility Theory. Individual taxpayers face the problem of deciding the fraction of income they wish to disclose to the government, based on their trust and perceived power of authorities. Trust is modeled as the voluntary compliance originated by the umbrella-term tax morale and power is shaped by the perceived enforcement, mainly motivated by individual risk-aversion. Furthermore, we made use of Agent-Based simulations to replicate the ‘slippery slope’ conditions which allowed us to test the effects of different parameters on tax evasion. Compliance is primarily enhanced by tax morale and risk aversion, while it is secondarily motivated by higher audit probabilities and penalty fees. Tax rates, however, play a negative effect on tax compliance, as agents are less willing to pay taxes whenever facing larger obligations. Additionally, we study taxpayer behavior when the audit rate is zero and when agents are inclined to make charitable donations. Above all, we derive the conditions under which individuals would fully-evade, partially evade, fully-comply or even over-comply as charitable giving in the absence of audits.

In this paper, we propose an artificial market to model high-frequency trading where fast traders use threshold rules strategically to issue orders based on a signal reflecting the level of stochastic liquidity prevailing on the market. A market maker is in charge of adjusting prices (on a fast scale) and of setting closing prices and transaction costs on a daily basis, controlling for the volatility of returns and market activity. We first show that a baseline version of the model with no frictions is able to generate returns endowed with several stylized facts. This achievement suggests that the two time scales used in the model are one (possibly novel) way to obtain realistic market outcomes and that high-frequency trading can amplify liquidity shocks. We then explore whether transaction costs can be used to control excess volatility and improve market quality. While properly implemented taxation schemes may help in reducing volatility, care is needed to avoid excessively curbing activity in the market and intensifying the occurrence of abnormal peaks in returns.

Understanding what motivates and fosters collective actions has major implications in the governance and management of organizations, in the regulation and design of public policies, and has long attracted the interests of scholars and practitioners in business and economics. This paper deals with how groups of agents emerge in a dynamic contest characterized by lack of formal structure and uncertainty regarding the possible individual outcomes, focusing on the features of the cooperators and on the dynamics emerging among them. Through the development of a stylized agent-based model we start by showing how similarity in values can be a successful driver for cooperation but are also able to highlight the limits of such process, by looking at how and how much agents cooperate with similar others. A second-version of the model, where memory of past interactions has a role, introduces further dynamics and is able to create successful and relatively stable groups.

Why are unemployment expectations of the “man in the street” markedly different from professional forecasts? We present an agent-based model to explain this deep disconnection using boundedly rational agents with different levels of education. A good fit of empirical data is obtained under the assumptions that there is staggered update of information, agents update episodically their estimate and there is a fraction of households who always and stubbornly forecast that the unemployment is going to raise. The model also sheds light on the role of education and suggests that more educated agents update their information more often and less obstinately fixate on the worst possible forecast.

Why are unemployment expectations of the “man in the street” markedly different from professional forecasts? We present an agent-based model to explain this disconnection using boundedly rational agents with different levels of education.

In this paper we present a model of tax compliance with heterogeneous agents who maximize their individual utility based on income and the conjectured level of per capita public expenditure. We formally include psychological drivers in this model. These drivers affect individual behavior, such as risk aversion, together with appreciation of public expenditure, expectations about peers’ compliance and a natural inclination to comply, all of which we summarize in a quality termed “citizenship”. The enforcement system, based on random inspections, is standard and only partially known to agents. The agent-based model is simulated under a variety of settings, representing different “societies”. We use the artificial data produced by the model to estimate the effects of taxpayers’ traits on personal tax behavior and to build a compliance societal slippery slope. At the individual level, we find a positive dependence of compliance on all variables, with the significant exception of the tax rate, which has a negative impact. As far as societies are concerned, we show how aggregate tax compliance depends on composite indices of citizenship and power, and we find that the former is more important than the latter.

We present a verification, an extension and a reanalysis of “Uncertain outcomes and climate change policy”, R. Pindyck, Journal of Environmental Economics and Management, 2012. As far as verification is concerned, we are able to reproduce the results provided in Pindyck’s work in many cases and convincingly confirm the quality of the work. Some discrepancies are present, they are due to rounding or related to specific sets of parametric values and do not change the economic interpretation or significance of the results. The re-estimation of the model with more recent data on climate change made available in 2014 shows that temperature increments are now deemed to be higher in mean but less dispersed. As a consequence, the willingness to pay doesn’t vary much with respect to the original paper. We also modify the functional form describing the impact of temperature increase on the growth rate of consumption and obtain much bigger and potentially problematic increments of the willingness to pay. Finally, the paper demonstrates that the numerical results are sensitive to a variety of technical settings used in the computations and suggests that great care is needed in obtaining estimates and employing results in policy discussions.

Il saggio si concentra sulle proposte avanzate dai partiti politici e dalle istituzioni repubblicane tra anni settanta e ottanta per sciogliere i problemi riguardanti l'approvvigionamento energetico dell'Italia, con uno sguardo particolarmente attento alla questione nucleare e al potenziale impatto ecologico di quelle proposte. In particolare, sono qui analizzate le posizioni via via assunte dai principali rappresentanti della sinistra socialcomunista italiana (Partito comunista italiano, Partito socialista italiano, Confederazione generale italiana del lavoro, Unione italiana del lavoro) in rapporto all'effetto di rottura di alcuni eventi traumatici (dalla crisi petrolifera del 1973 all'incidente di Chernobyl del 1986) e alle risposte dell'opinione pubblica. I soggetti qui presi in esame si dimostrarono particolarmente attenti al tema energetico, considerando soprattutto le ripercussioni occupazionali delle scelte in tale ambito. Benché al suo interno molte voci si siano schierate a sostegno delle battaglie antinucleariste, il movimento ope- raio, complessivamente inteso, non sembra invece essere riuscito a cogliere le potenzialitŕ dello scontro sul tema ecologico.

The concept of coopetition is founded on the complementarity‐based nature of this strategy. However, coopetition research has devoted relatively little attention to complementarity issues and their impact on coopetition results. By bridging the coopetition and economics of complementarities research fields, we develop a model representing a classical optimization problem in complementarities as applied to coopetition in order to evaluate potential risks deriving at an operational level from implementing a coopetition strategy. The model we develop is a situated one and is based on empirical data from a longitudinal case study of coopetition in the mineral water and soft drinks industry. The results highlight a potential risk of coopetition strategies – namely, thresholds effects – as well as the associated risks a wrong understanding of complementarities in a coopetition setting may entail.

This paper presents an agent-based model of labor market participation, in which a population of agents is affected by adverse health shocks that impact the costs associated with work efforts, and decides whether to leave the labor market. This decision is simply taken by looking at the working behaviors of the other agents, comparing the respective levels of well-being and imitating the more advantageous decision of others. The analysis reveals that such mechanism of social learning suffices to replicate the existing empirical evidence regarding the decline in labor market participation of older people. As a consequence, the paper demonstrates that it is not necessary to assume perfect and unrealistic rationality at the individual level to reproduce a rational behavior in the aggregate.

This paper studies an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained and follow a value-based trading strategy which buys or sells depending on whether the price of the asset is below or above its risk-adjusted fundamental value. This environment generates returns that are remarkably leptokurtic and fat-tailed. By extending the study over a grid of different parameters for the fundamentalist trading strategy, we exhibit the existence of monotone relationships between the bid–ask spread demanded by the agents and several statistics of the returns. We conjecture that this effect, coupled with positive dependence of the risk premium on the volatility, generates positive feedbacks that might explain volatility bursts.

This special issue of the Journal of Management Control focuses on simulation in management accounting and management control. Since simulation is anything but new in the domain of management and business administration, and, hence, some remarks for motivating the subject of this special issue appear appropriate. Therefore, it is helpful to distinguish between twomajor ways to make use of simulation methods in the field of management accounting and control. First, simulation methods are widely used as powerful tools within management accounting and management control: for example, the use of simulation for evaluating operational and financial risks has a long tradition, simulation helps to estimate errors incorporated in accounting numbers; and in a nutshell, what-if analyses and sensitivity analyses are simulative approaches for figuring out the effects of changes in parameters on relevant performance measures (e.g. Zannetos 1963; Economos 1969; Chan 1996; Leitner 2012). Keeping this in mind, simulation could be supposed to become even more relevant within management accounting and control since the need for tools reasonably increases which are capable to deal with uncertainty, complexity and dynamics. Second, simulation can serve as a research method in the domain of management accounting andmanagement control, and, in this respect, the picture is rather disparate: on the one hand, there is some evidence that, so far, simulation-based research in management accounting and control is of minor relevance, particularly, in comparison against the predominant methods like closed-form analytical modelling, empirical research and conceptual development of frameworks (Hesford et al. 2007). On the

Objective Nonalcoholic fatty liver disease is very frequent in both type 2 diabetes mellitus (T2DM) and the metabolic syndrome (MS), which share clinical and metabolic characteristics. Whether and to which extent these characteristics can predict the degree of liver steatosis are not entirely clear. Patients and methods We determined liver fat (divided into four classes) by standard sonographic images, and clinical and biochemical variables, in 60 consecutive patients with T2DM and with features of the MS. We examined both simple and multiple correlations between the degree of liver steatosis and the variables measured. Results Increased liver fat (defined as >5% of liver mass) was detected in 88% of the participants. Using simple regression analysis, the class of steatosis correlated positively with BMI, waist, number of factors of the MS, sex (female > male), diastolic blood pressure, insulin resistance, metabolic control, inflammation, C-reactive protein, fibrinogen, and leptin, whereas it correlated negatively with high-density lipoprotein-cholesterol. Using multiple regression analysis, only metabolic control, insulin resistance and/or plasma insulin, and waist, remained correlated significantly with the degree of steatosis. Using an ordered probit statistical model, metabolic control, waist, and insulin concentration predicted the steatosis class in 58% of the cases (¡Ü97% with allowance for one class in either excess or deficit). Conclusion In patients with T2DM, the extent of liver steatosis is correlated with variables associated with metabolic control and features of the MS. The combination of metabolic control, visceral obesity, and insulin resistance may reasonably predict the degree of liver steatosis in T2DM. © 2015 Wolters Kluwer Health, Inc. All rights reserved.

In this paper we investigate the effects of using a Facebook page exclusively devoted to a first year Mathematics course in a large Italian public university. Posts and discussions supported traditional face-to-face lectures and students could freely post queries and get help from professors and peers. We use a newly constructed dataset to measure how this influences the grade they achieved and the probability of getting a passing grade. Firstly, we find that active students, who read and post more often, perform slightly better than non active ones, who mainly read the content, but the effect is not significant. However, other measures of activity, such as the frequency of visualization of the page significantly increase the probability of earning a passing grade, after controlling for students� characteristics and robust ex-post measures of ability. Secondly, we exploit a quasi-natural experiment to compare the performance of students having access to Facebook with that of a large sample of similar students who were not offered the support page in another branch of the uni- versity. Difference-in-difference estimates show that students who could access online discussions gain on average 1 additional point out of 30. The effect is, hence, significant but rather small and of possibly limited practical relevance.

In a discrete setting, a model is developed for pricing a contingent claim in incomplete markets. Since hedging opportunities influence the price of a contingent claim, the optimal hedging strategy is first introduced assuming that a contingent claim has been issued: a strategy implemented by investing initial wealth plus the selling price is optimal if it maximizes the expected utility of the agent's net payoff, which is the difference between the outcome of the hedging portfolio and the payoff of the claim. The ‘reservation price’ is then introduced as a subjective valuation of a contingent claim. This is defined as the minimum price that makes the issue of the claim preferable to staying put given that, once the claim has been written, the writer hedges it according to the expected utility criterion. The reservation price is defined both for a short position (reservation selling price) and for a long position (reservation buying price) in the claim. When the contingent claim is redundant, both the sell...

We study optimal pricing strategies and consequent market shares’ dynamics in a transition from an old and established technology to a new one. We simulate an agent-based model, in which a large population of possible buyers decide whether to adopt or not depending on prices, private signals and herding behavior. The firm, on its part, sets prices to maximize revenues. We show that trade-in programs, in practice comparable to very aggressive discounts, are supported by a rational attitude.

We study optimal pricing strategies and consequent market shares' dynamics in a transition from an old and established technology to a new one. We simulate an agentbased model, in which a large population of possible buyers decide whether to adopt or not depending on prices, private signals and herding behavior. The firm, on its part, sets prices to maximize revenues. We show that trade-in programs, in practice comparable to very aggressive discounts, are supported by a rational attitude.

A trader’s execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructures. We analyse an order book based on continuous double auction market under two different models of trader’s behaviour. In the first case actions only depend on a linear combination of the best bid and ask. In the second model, traders adopt the Markov perfect equilibrium strategies of the trading game. Both models are analytically intractable, and so optimal strategies are identified by the use of numerical techniques. Using the Markov model we show that, beyond the best quotes, additional information has little effect on either the behaviour of traders or the dynamics of the market. The remarkable similarity of the results obtained by the linear model indicates that the optimal strategy may be reasonably approximated by a linear function. We conclude that while the order book market and strategy space of traders are potentially very large and complex, optimal strategies may be relatively simple and based on a minimal information set.

A trader's execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructure's. We analyse an order book based continuous double auction market under two different models of trader's behaviour. In the first case actions only depend on a linear combination of the best bid and ask. In the second model traders adopt the Markov perfect equilibrium strategies of the trading game. Both models are analytically intractable and so optimal strategies are identified by the use of numerical techniques. Using the Markov model we show that, beyond the best quotes, additional information has little effect on either the behaviour of traders or the dynamics of the market. The remarkable similarity of the results obtained by the linear model indicates that the optimal strategy may be reasonably approximated by a linear function. We conclude that whilst the order book market and strategy space of traders are potentially very large and complex, optimal strategies may be relatively simple and based on a minimal information set.

We generalize the classic Allingham and Sandmo’s model of tax evasion considering heterogeneous agents with different degrees of tax morale and matchable, as opposed to non-matchable, income. The Tax Agency evolves its control scheme, maximizing the revenues from fines, and takes into account some minimal information on the taxpayers. We compare different audit policies and find that the most effective scheme remarkably depends on the way agents update the subjective probability of being audited, on the distribution of matchable income in the population as well as on the level of tax morale. Hence, different features of societies and taxpayers’ behaviors not only affect the compliance rate, as expected, but require the Tax Agency to alter its audit policy in a context-dependent way. In particular, high revenues are obtained performing random audits when agents think they are directed towards peculiar individuals and, conversely, should be biased towards low declarations when taxpayers believe audits are nonspecific or random.

We study the emergence of strategic behavior in double auctions with an equal number of buyers and sellers, under the distinct assumptions that orders are cleared simultaneously or asynchronously. The evolution of strategic behavior is modeled as a learning process driven by a genetic algorithm. We find that, as the size of the market grows, allocative inefficiency tends to zero and performance converges to the competitive outcome, regardless of the order-clearing rule. The main result concerns the evolution of strategic behavior as the size of the market gets larger. Under simultaneous order-clearing, only marginal traders learn to be price takers and make offers equal to their valuations/costs. Under asynchronous order-clearing, all intramarginal traders learn to be price makers and make offers equal to the competitive equilibrium price. The nature of the order-clearing rule affects in a fundamental way what kind of strategic behavior we should expect to emerge.

Inspired by the theoretically oriented dynamic analysis of moving average rules in the model of Chiarella, He, and Hommes (CHH) [Journal of Economic Dynamics and Control30 (2006), 1729—1753], this paper conducts a dynamic analysis of a more realistic microstructure model of continuous double auctions in which the probability of heterogeneous agents trading is determined by the rules of either fundamentalists mean-reverting to the fundamental or chartists choosing moving average rules based on their relative performance. With such a realistic market microstructure, the model is able not only to obtain the results of the CHH model but also to characterize most of the stylized facts including volatility clustering, insignificant autocorrelations (ACs) of returns, and significant slowly decaying ACs of the absolute returns. The results seem to suggest that a comprehensive explanation of several statistical properties of returns is possible in a framework where bothbehavioraltraits andrealistic microstructurehave a role.

Diversification has its obvious benefits but its pursuit can involve a trade-off between risk-controls and returns. We investigate this trade-off by examining the relative performance of diversified versus concentrated portfolios both formed on the basis of the same stock preferences. Using US equity mutual funds as our data base, we establish that the concentrated portfolios achieve the better performance. This highlights the potential for investors to diversify across concentrated funds rather than have the funds do the diversification themselves. It also highlights that the stocks selection skills of the managers may be lost by their portfolio construction endeavours.

This paper studies the profile of cooperation emerging in a context in which agents may choose to join one of two groups or stay on their own, in a world where similarity across peers matters. In particular, we investigate the role of heterogeneity in individual contributions, of the level of information and of in-group processes of convergence in values (sense making) in fostering higher levels of cooperation, assessed through higher participation rates to groups. Starting from the result that more heterogeneity reduces participation, we show that increasing the level of information available to subjects and activating sense-making dynamics are able to support higher cooperation levels, which, however, come at the cost of increased radicalization of agent types within group.

The paper discusses the impact of the use of Facebook as a supporting learning platform for a course in Mathematics at the undergraduate level. After the examination of some critical issues of Facebook in a learning framework, we analyze data on the usage the page (total reach and number of engaged users) and the results of a survey taken by 217 students. Their appreciation for Facebook in such a context is stark and improvements of qualitative aspects of academic performance are perceived. Studying a subset of data tagged with ID information, we also investigate the quantitative performance (i.e., grades) in connection with the level of Facebook activity and usefulness. We find some evidence of positive correlation of grades and several variables. This is at odds with other studies, where active users experienced poorer performance when the use of Facebook is not related to academic work.

Understanding what motivates and fosters collective actions has major implications in the regulation and design of public policies, in the governance and management of organizations and has long attracted the interests of scholars and practitioners in economics and business. If trust and reciprocity certainly qualify as possible drivers of collective actions in some specific environments, as the uncertainty regarding the interaction structure increases, they are not likely to be able to explain the emergence of stable interacting groups. This paper deals with how groups of agents emerge in a dynamic contest characterized by lack of formal structure and uncertainty regarding the possible individual outcomes. Through the development of a stylized agent-based model we aim to show how similarity in values can be a successful driver for cooperation. A second-version of the model, where memory of past interactions has a role, introduces further dynamics and is able to create successful and relatively stable groups. The model nicely tries some stylized facts and sheds some light on potential avenues for the resolution of social dilemmas, such as contribution to public goods, addressing the role of perceived similarity in nurturing the cooperative process.

Although mutual fund performance has been dissected from almost every angle, very little attention has been paid to the connection between the actual active decisions made by management and the subsequent performance outcomes. In this paper we use information on institutional mutual funds to examine the implications of their active decisions made with respect to active positions, style and cash holdings for the fund's realised alpha, tracking error and information ratio. We identify some areas where the funds across the entire sample have success (active positions, and growth and winning stock divergences) and many others where they fall short (e.g. value and loser stock divergences). We identify that there is significant variation in these findings when we extend our analysis to examine the impact of these active decisions on performance for different styles of funds during periods of weak and strong markets. Value funds prove to be by far the best in the active positions that they make but losing across the board with their style divergences. Finally, we highlight the importance in style choice on the overall performance of a fund and identify the superiority of the value style over its competitors.

We develop a model where heterogeneous agents maximize their individual utility based on (after tax) income and on the level of public expenditure (as in Cowell, Gordon, 1988). Agents are different in risk aversion and in the relative preference for public expenditure with respect to personal income. In each period, an agent can optimally conceal some income based on conjectures on the perceived probability of being subject to audits, the perceived level of public expenditure and the perceived amount of tax paid by other individuals. As far as the agent-based model is concerned, we assume that the Government sets the tax rate and the penalties, uses all the revenue to finance public expenditure (with no inefficiency) and fights evasion by controlling a (random) fraction of agents. We show that, through computational experiments based on micro-simulations, stable configurations of tax rates and public expenditure endogenously form in this case as well. In such equilibrium-like situations we find: � a positive relationship between the tax rate and evasion still arises. � tax compliance mainly depends on the distribution of personal features like risk-aversion and the degree of preference for public expenditure. � an endogenous level of tax evasion that is almost not affected by reasonable rates of control. A proper choice of the tax rate results instead in voluntary partial compliance. � the enforcement of higher compliance rates requires unrealistic and costly large-scale audits.

We model a continuous double auction with heterogenous agents and compute approximate optimal trading strategies using evolution strategies. Agents privately know their values and costs and have a limited time to transact. We focus on equilibrium strategies that are developed taking into account the number of traders that submitted orders previously, as well as the number of who will submit subsequently. We find that it is optimal to place increasingly aggressive orders, according to a roughly linear schedule, and test the resulting equilibrium for robustness and accuracy.

This paper studies the continuous double auction from the point of view of market engineering: we tweak a resampling rule often used for this exchange protocol and search for an improved design. We assume zero intelligence trading as a lower bound for more robust behavioral rules and look at allocative efficiency, as well as three subordinate performance criteria: mean spread, cancellation rate, and traders’ protection. This latter notion measures the ability of a protocol to help traders capture their share of the competitive equilibrium profits.

We model a continuous double auction with heterogenous agents and compute approximate optimal trading strategies using evolution strategies. Agents privately know their values and costs and have a limited time to transact. We focus on equilibrium strategies that are developed taking into account the number of traders that submitted orders previously, as well as the number of who will submit subsequently. We find that it is optimal to place increasingly aggressive orders, according to a roughly linear schedule, and test the resulting equilibrium for robustness and accuracy.

One of the necessary features of markets to produce efficient pricing is competition between information-based investors who quickly impound new information into price. However, a significant proportion of funds invested in today's equity markets are in the hands of managers who pursue a style that utilises little or none of the available information. We simulate such a market where the funds are being managed using the following three investment styles: fundamental, momentum and index. We confirm that the major pricing anomalies that have been highlighted previously in the literature are a natural consequence of competition between managers utilising these three investment styles. More importantly, we show that this situation is unlikely to change as long as markets continue to be dominated by costly active managers with clients who pursue outperformance. © 2010 Springer-Verlag.