Nonlinear models and small sample performance of the generalized method of moments

In this paper I explore the issue of nonlinearity (both in the datageneration process and in the functional form that establishes therelationship between the parameters and the data) regarding the poorperformance of the Generalized Method of Moments (GMM) in small samples.To this purpose I build a sequence of models starting with a simple linearmodel and enlarging it progressively until I approximate a standard (nonlinear)neoclassical growth model. I then use simulation techniques to find the smallsample distribution of the GMM estimators in each of the models.

The impact of gender composition on team performance and decision-making: Evidence from the field

We investigate whether the gender composition of teams affect theireconomic performance. We study a large business game, played in groups ofthree, where each group takes the role of a general manager. There are twoparallel competitions, one involving undergraduates and the other involvingMBAs. Our analysis shows that teams formed by three women aresignificantly outperformed by any other gender combination, both at theundergraduate and MBA levels. Looking across the performancedistribution, we find that for undergraduates, three women teams areoutperformed throughout, but by as much as 10pp at the bottom and by only1pp at the top. For MBAs, at the top, the best performing group is two menand one woman. The differences in performance are explained bydifferences in decision-making. We observe that three women teams are lessaggressive in their pricing strategies, invest less in R&D, and invest more insocial sustainability initiatives, than any other gender combination teams.Finally, we find support for the hypothesis that it is poor work dynamicsamong the three women teams that drives the results.

Social value orientation as a moral intuition: Decision-making in the dictator game

We studied the decision making process in the Dictator Game and showed that decisions are the result of a two-step process. In a first step, decision makers generate an automatic, intuitive proposal. Given sufficient motivation and cognitive resources, they adjust this in a second, more deliberated phase. In line with the social intuitionist model, we show that one s Social Value Orientation determines intuitive choice tendencies in the first step, and that this effect is mediated by the dictator s perceived interpersonal closeness with the receiver. Self-interested concerns subsequently leadto a reduction of donation size in step 2. Finally, we show that increasing interpersonal closeness can promote pro-social decision-making.

Location of multiple server common service centers or public facilities for minimizing general congestion and travel cost functions

We propose a model and solution methods, for locating a fixed number ofmultiple-server, congestible common service centers or congestible publicfacilities. Locations are chosen so to minimize consumers congestion (orqueuing) and travel costs, considering that all the demand must be served.Customers choose the facilities to which they travel in order to receiveservice at minimum travel and congestion cost. As a proxy for thiscriterion, total travel and waiting costs are minimized. The travel costis a general function of the origin and destination of the demand, whilethe congestion cost is a general function of the number of customers inqueue at the facilities.

A data-dependent skeleton estimate and a scale-sensitive dimension for classification

The classical binary classification problem is investigatedwhen it is known in advance that the posterior probability function(or regression function) belongs to some class of functions. We introduceand analyze a method which effectively exploits this knowledge. The methodis based on minimizing the empirical risk over a carefully selected``skeleton'' of the class of regression functions. The skeleton is acovering of the class based on a data--dependent metric, especiallyfitted for classification. A new scale--sensitive dimension isintroduced which is more useful for the studied classification problemthan other, previously defined, dimension measures. This fact isdemonstrated by performance bounds for the skeleton estimate in termsof the new dimension.

The domain and interpretation of utility functions: An exploration

This paper proposes an exploration of the methodology of utilityfunctions that distinguishes interpretation from representation. Whilerepresentation univocally assigns numbers to the entities of the domainof utility functions, interpretation relates these entities withempirically observable objects of choice. This allows us to makeexplicit the standard interpretation of utility functions which assumesthat two objects have the same utility if and only if the individual isindifferent among them. We explore the underlying assumptions of suchan hypothesis and propose a non-standard interpretation according towhich objects of choice have a well-defined utility although individualsmay vary in the way they treat these objects in a specific context.We provide examples of such a methodological approach that may explainsome reversal of preferences and suggest possible mathematicalformulations for further research.

Decision making in uncertain and changing environments

We consider an agent who has to repeatedly make choices in an uncertainand changing environment, who has full information of the past, who discountsfuture payoffs, but who has no prior. We provide a learning algorithm thatperforms almost as well as the best of a given finite number of experts orbenchmark strategies and does so at any point in time, provided the agentis sufficiently patient. The key is to find the appropriate degree of forgettingdistant past. Standard learning algorithms that treat recent and distant pastequally do not have the sequential epsilon optimality property.

Projectes de modelatge i simulació avançada de sistemes mitjançant l'entorn ARENA

RESUM En l’exercici de les funcions típiques de qualsevol activitat humana, l’home ha de prendre decisions d’un o altre tipus permanentment i aquesta situació porta afegit, per lo general risc i incertesa, el que compromet la qualitat i l’èxit de la decisió. Per ajudar i contrarestar aquesta situació, l’home ha desenvolupat a través del temps una diversitat d’eines que li permeten minimitzar el risc i la incertesa en la presa de decisions. La simulació és una d’aquestes eines. Mitjançant la seva aplicació no només s’aconsegueix la comesa anterior, sinó que també es minimitzen els costos involucrats en la decisió mitjançant un millor ús dels recursos, la disminució del temps emprat per a la seva realització i la minimització de les probabilitats de risc. Aquest projecte representa la continuació d’un primer estudi introductori de la simulació anomenat: Estudi i guia docent per a modelatge i simulació de sistemes mitjançant l’entorn ARENA [9]. Realitzat per l’alumna d’Enginyeria en Organització Industrial de la Universitat de Vic, Montse Carbonell Crosas, l’any 2008 i sota la codirecció del director d’aquest segon projecte, el professor Juli Ordeix Rigo. Aquest nou projecte s’inicia amb una primera part teòrica, continguda dins del primer volum, la qual reforça els conceptes teòrics referents a la simulació amb ARENA, ja vistos en l’anterior projecte. Complementant aquells considerats bàsics i els de més utilitat i finalitza introduint nous conceptes avançats. Els nous capítols de temàtica avançada, junt als primers més bàsics de la primera part són exercitats dins de la segona, formant el segon volum d’aquest projecte. El mateix requereix la participació activa de l’alumne, per tal de realitzar cadascun dels 89 exercicis pràctics que es plantegen i poder onsolidar l’aprenentatge teòric d’aquesta eina avançada de simulació fent consultes als apartats teòrics recomanats dins de cada exercici. La complexitat dels exercicis anirà augmentant gradualment i s’insisteix en seguir la metodologia presentada en el projecte per a realitzar-los tots de forma ordenada i ascendent. L’ alumne quan acabi la part pràctica, haurà consolidat tota la part teòrica i serà capaç d’exercir com analista per tal de generar els seus propis projecte de simulació.

Análisis de la fiabilidad de indicadores para sistemas de seguimiento de precios en los mercados

Para este trabajo se ha desarrollado un programa en Matlab, que nos permite realizar ensayos con algunas de las herramientas fundamentales del análisis técnico. Concretamente nos hemos centrado en el “Indicador de Movimiento Direccional” de Wilder. El programa está formado por seis funciones que permiten descargar datos, hacer la simulación del indicador, ajustar automáticamente algunos de sus parámetros y presentar los resultados obtenidos en la simulación. Con los experimentos y simulaciones realizadas se ha visto la importancia de escoger adecuadamente los períodos de ±DIs (indicadores direccionales positivo y negativo) y el ADX (Average Directional Movement Index). También hemos visto que la reglas decisión apuntadas por autores de reconocido prestigio como Cava y Ortiz ,no siempre se comportan como cabría esperar. Se propone mejorar el rendimiento y la fiabilidad de este indicador Incluyendo alguna media móvil de los precios y el volumen de contratación, en los criterios de decisión. También se podría mejorar implementando un sistema para que se pudiesen autoajustar los criterios de decisión.

Generating functions for the numbers of Abelian extensions of a local field

The aim of this paper is to give an explicit formula for the num- bers of abelian extensions of a p-adic number field and to study the generating function of these numbers. More precisely, we give the number of abelian ex- tensions with given degree and ramification index, and the number of abelian extensions with given degree of any local field of characteristic zero. Moreover, we give a concrete expression of a generating function for these last numbers

Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Induced aggregation operators in decision making with the Dempster-Shafer belief structure

We study the induced aggregation operators. The analysis begins with a revision of some basic concepts such as the induced ordered weighted averaging (IOWA) operator and the induced ordered weighted geometric (IOWG) operator. We then analyze the problem of decision making with Dempster-Shafer theory of evidence. We suggest the use of induced aggregation operators in decision making with Dempster-Shafer theory. We focus on the aggregation step and examine some of its main properties, including the distinction between descending and ascending orders and different families of induced operators. Finally, we present an illustrative example in which the results obtained using different types of aggregation operators can be seen.

The induced 2-tuple linguistic generalized OWA operator and its application in linguistic decision making

[spa] Se presenta el operador de media ponderada ordenada generalizada lingüística de 2 tuplas inducida (2-TILGOWA). Es un nuevo operador de agregación que extiende los anteriores modelos a través de utilizar medias generalizadas, variables de ordenación inducidas e información lingüística representada mediante el modelo de las 2 tuplas lingüísticas. Su principal ventaja se encuentra en la posibilidad de incluir a un gran número de operadores de agregación lingüísticos como casos particulares. Por eso, el análisis puede ser visto desde diferentes perspectivas de forma que se obtiene una visión más completa del problema considerado y seleccionar la alternativa que parece estar en mayor concordancia con nuestros intereses o creencias. A continuación se desarrolla una generalización mayor a través de utilizar medias cuasi-aritméticas, obteniéndose el operador Quasi-2-TILOWA. El trabajo finaliza analizando la aplicabilidad del nuevo modelo en un problema de toma de decisiones sobre gestión de la producción.

The generalized index of maximum and minimum level and its application in decision making

[spa] El índice del máximo y el mínimo nivel es una técnica muy útil, especialmente para toma de decisiones, que usa la distancia de Hamming y el coeficiente de adecuación en el mismo problema. En este trabajo, se propone una generalización a través de utilizar medias generalizadas y cuasi aritméticas. A estos operadores de agregación, se les denominará el índice del máximo y el mínimo nivel medio ponderado ordenado generalizado (GOWAIMAM) y cuasi aritmético (Quasi-OWAIMAM). Estos nuevos operadores generalizan una amplia gama de casos particulares como el índice del máximo y el mínimo nivel generalizado (GIMAM), el OWAIMAM, y otros. También se desarrolla una aplicación en la toma de decisiones sobre selección de productos.

Suboptimal filtering and nonlinear time scale transformation for the analysis of multiexponential decays

Multiexponential decays may contain time-constants differing in several orders of magnitudes. In such cases, uniform sampling results in very long records featuring a high degree of oversampling at the final part of the transient. Here, we analyze a nonlinear time scale transformation to reduce the total number of samples with minimum signal distortion, achieving an important reduction of the computational cost of subsequent analyses. We propose a time-varying filter whose length is optimized for minimum mean square error