Are agent-based simulations robust? The wholesale electricity trading case

Agent-based computational economics is becoming widely used in practice. This paperexplores the consistency of some of its standard techniques. We focus in particular on prevailingwholesale electricity trading simulation methods. We include different supply and demandrepresentations and propose the Experience-Weighted Attractions method to include severalbehavioural algorithms. We compare the results across assumptions and to economic theorypredictions. The match is good under best-response and reinforcement learning but not underfictitious play. The simulations perform well under flat and upward-slopping supply bidding,and also for plausible demand elasticity assumptions. Learning is influenced by the number ofbids per plant and the initial conditions. The overall conclusion is that agent-based simulationassumptions are far from innocuous. We link their performance to underlying features, andidentify those that are better suited to model wholesale electricity markets.

The dog that did not bark: Insider trading and crashes

This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as patterns of insider trading driven by earnings announcement dates, or insiders timing their trades to evade prosecution. Finally we provide new evidence regarding crashes and the degree of information asymmetry.

Implications of dynamic trading for insurance markets

We study the interaction between insurance and capital markets within singlebut general framework.We show that capital markets greatly enhance the risksharing capacity of insurance markets and the scope of risks that areinsurable because efficiency does not depend on the number of agents atrisk, nor on risks being independent, nor on the preferences and endowmentsof agents at risk being the same. We show that agents share risks by buyingfull coverage for their individual risks and provide insurance capitalthrough stock markets.We show that aggregate risk enters private insuranceas positive loading on insurance prices and despite that agents will buyfull coverage. The loading is determined by the risk premium of investorsin the stock market and hence does not depend on the agent s willingnessto pay. Agents provide insurance capital by trading an equally weightedportfolio of insurance company shares and riskless asset. We are able toconstruct agents optimal trading strategies explicitly and for verygeneral preferences.

For public service or money: Understanding geographical imbalances in the health workforce in Ethiopia

Geographical imbalances in the health workforce have been a consistent feature of nearly all health systems, and especially in developing countries. In this paper we investigate the willingness to work in a rural area among final year nursing and medical students in Ethiopia. Analyzing data obtained from contingent valuation questions, we find that household consumption and the student s motivation to help the poor, which is our proxy for intrinsic motivation, are the main determinants of willingness to work in a rural area. We investigate whoe is willing to help the poor and find that women are significantly more likely than men. Other variables, including a rich set of psychosocial characteristics, are not significant. Finally, we carry out some simulation on how much it would cost to make the entire cohort of starting nurses and doctors chooseto take up a rural post.

Market structure and hospital efficiency: Evaluating potential effects of deregulation in a national health service

In this article we examine the potential effect of market structureon hospital technical efficiency as a measure of performance controlled byownership and regulation. This study is relevant to provide an evaluationof the potential effects of recommended and initiated deregulation policiesin order to promote market reforms in the context of a European NationalHealth Service. Our goal was reached through three main empirical stages.Firstly, using patient origin data from hospitals in the region of Cataloniain 1990, we estimated geographic hospital markets through the Elzinga--Hogartyapproach, based on patient flows. Then we measured the market level ofconcentration using the Herfindahl--Hirschman index. Secondly, technicaland scale efficiency scores for each hospital was obtained specifying aData Envelopment Analysis. According to the data nearly two--thirds of thehospitals operate under the production frontier with an average efficiencyscore of 0.841. Finally, the determinants of the efficiency scores wereinvestigated using a censored regression model. Special attention waspaid to test the hypothesis that there is an efficiency improvement in morecompetitive markets. The results suggest that the number of competitors inthe market contributes positively to technical efficiency and there is someevidence that the differences in efficiency scores are attributed toseveral environmental factors such as ownership, market structure andregulation effects.

Status Report Midwest Regional Rail Passenger Initiative and Passenger Rail Service in Iowa, February 1, 2009

This report is submitted as required per Code of Iowa section 327J.3(5), "The director shall report annually to the general assembly concerning the development and operation of the midwest regional rail system and the state's passenger rail service."

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.

How to recognize opportunities: Heterarchical search in a Wall Street trading room

Our task in this paper is to analyze the organization of trading in the era of quantitativefinance. To do so, we conduct an ethnography of arbitrage, the trading strategy that bestexemplifies finance in the wake of the quantitative revolution. In contrast to value andmomentum investing, we argue, arbitrage involves an art of association - the constructionof equivalence (comparability) of properties across different assets. In place of essentialor relationa l characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else - associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Special investigation of the Monticello Ambulance Service for the period July 1, 2005 through November 9, 2007

Special investigation of the Monticello Ambulance Service for the period July 1, 2005 through November 9, 2007

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

New findings regarding return autocorrelation anomalies and the importance of non-trading periods

In this paper, differences in return autocorrelation across weekdays havebeen investigated. Our research provides strong evidence of the importanceon non-trading periods, not only weekends and holidays but also overnightclosings, to explain return autocorrelation anomalies. While stock returnsare highly autocorrelated, specially on Mondays, when daily returns arecomputed on a open-to-close basis, they do not exhibit any significantlevel of autocorrelation. Our results are compatible with theinformation processing hypotheses as an explanation of the weekendeffect.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

Analysis of patient physical restraints usage in a Swiss emergency service

Introduction: Emergency services (ES) are often faced with agitated,confused or aggressive patients. Such situations may require physicalrestraint. The prevalence of these measures is poorly documented,concerning 1 to 10% of patients admitted in the ES. The indications forrestraint, the context and the related complications are poorly studied.The emergency service and the security service of our hospital havedocumented physical restraint for several years, using specific protocolsintegrated into the medical records. The study evaluated the magnitudeof the problem, the patient characteristics, and degree of adherence tothe restraint protocol.Methods: Retrospective study of physical restraint used on adultpatients in the ES in 2009. The study included analysis of medical anddemographic characteristics, indications justifying restraint and qualityof restraint documentation. Patients were identified from computerizedES and security service records. The data were supplemented byexamination of patients' medical records.Results: In 2009, according to the security service, 390 patients (1%)were physically restrained in the ES. The ES computerized systemidentified only 196 patients. Most patients were male (62%). The medianage was 40 years (15-98 years; P90 = 80 years). 63 % of the situationsoccurred between 18h00 and 6h00, and most frequently on Saturday(19%). Substance or alcohol abuse was present in 48.7% of cases andacute psychiatric crisis was mentioned in 16.7%. In most cases,restraint was motivated by extreme agitation or auto / hetero-aggressiveviolence. Most patients (68 %) were restrained with upper limb andabdominal restraints. More than three anatomic restraints werenecessary in 52 % of the patients. Intervention of security guards wasrequired in 77% of the cases. 61 restraint protocols (31 %) were missingand 57% of the records were incomplete. In many cases, the protocolsdid not include the signature of the physician (22%) or of the nurse(43.8%). Medical records analysis did not allow reliable estimation ofthe number of restraint-induced complications.Conclusions: Physical restraint is most often motivated by majoragitation and/or secondary to substance abuse. Caregivers regularlycall security guards for help. Restraint documentation is often missing orincomplete, requiring major improvement in education and prescription.

Audit report on the South Central Iowa Regional E-911 Service Board for the year ended June 30, 2008

Audit report on the South Central Iowa Regional E-911 Service Board for the year ended June 30, 2008