|
 Working Paper Series
2001
The Working Paper Series is the internal publication platform
of the research project 'Adaptive Informations Systems and Management in Economics and
Management Science'. If you are interested in any of the articles stated below, please
download document if available.
List of working papers 2001
(click for more information)
| 1-5 |
Working
Paper Series 1997 |
| 6-25 |
Working
Paper Series 1998 |
| 26-60 |
Working
Paper Series 1999 |
| 61-78 |
Working
Paper Series 2000 |
| 79 |
SIMSEG/ACM:
A Simulation Environment for Artificial Consumer Markets |
| 80 |
Running
Agent – Based Simulation |
| 81 |
Affine
Processes and Applications in Finance |
| 82 |
A
Critical View on Recommendation Systems |
| 84 |
Necessary
and sufficient conditions in the problem of optimal investment
in incomplete markets |
| 85-93 |
Working
Paper Series 2002 |
| 94-.. |
Working
Paper Series 2003 |
7878
Working Paper #79, March 2001 (Ini 3)
Christian Buchta, Josef Mazanec
SIMSEG/ACM: A Simulation Environment for
Artificial Consumer Markets
The ACM-Artificial Consumer Market is part of the integrated simulation endeavor named the
"Artificial Economy''. Complementing and extending the concepts developed in the
SIMSEG simulation environment of Working Paper No. 60 this report proceeds in two steps.
(1) it outlines the basic constructs and consumer behavior phenomena implemented in the
ACM in a nontechnical manner. (2) it elaborates the formal structure and relationships in
full detail. The ACM was never headed for mimicking any real consumer market. However, it
is ambitious enough to capture a number of behavioral mechanisms that are deemed crucial
for exposing the Artificial Firms' analytical and strategic agents to a challenging
artificial marketplace.
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7878
Working Paper #80, June 2001 (Ini 1 + 3)
David Meyer, Alexandros Karatzoglou, Christian Buchta, Friedrich
Leisch, Kurt Hornik
Running Agent – Based Simulation
When running agent-based simulations using ready-made components,
one usually faces heterogeneity problems both for the agents' implementation and for the
underlying platform. To circumvent these kind of hindrances, we introduce a wrapper
technique for mapping the functionality of agents living in an interpreter-based
environment to a standardized CORBA interface, thus facilitating the task for any control
mechanism (like a simulation manager) which just will need to handle one set of commands
for all agents involved. This mapping is made by an XML-based definition file. We also
have built a generic simulation manager which makes use of agents with homogeneous
interfaces, and which can be used to run simple simulations. In a sample session, we
illustrate how wrapper and simulation manager do interact. Finally, we describe the
database interface representing the global Artificial Economy environment in which agents
operate. In the Appendix, we give a brief overview of the current installation of the SFB
reference computer platform.
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7878
Working Paper #81, December 2001 (Ini 2)
D. Duffie, D. Filipovic, W. Schachermayer
Affine Processes and Applications in Finance
We
provide the definition and a complete characterization of regular affine processes. This
type of process unifies the concepts of continuous-state branching processes with
immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations
for, a wide range of financial applications for regular affine processes.
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7878
Working Paper #82, July 2001 (Ini 5)
Andreas Mild, Martin Natter
A Critical View on Recommendation
Systems
The literature on recommendation systems indicates that the choice
of the methodology significantly influences the quality of recommendations. The impact of
the amount of available data on the performance of recommendation systems has not been
systematically investigated. We study different approaches to recommendation systems using
the publicly available EachMovie data set. In contrast to previous work on this data set,
here a significantly higher subset is used. The effects caused by the number of customers
and movies as well as their interaction with different methods are investigated. We
compare two commonly used collaborative filtering approaches to several regression models
using an experimental full factorial design. According to our findings, the number of
customers significantly influences the performance of all approaches under study. For a
large number of customers and movies, we show that simple linear regression with model
selection can provide significantly better recommendations than collaborative filtering.
From a managerial perspective, this gives suggestions about the selection of the model to
be used depending on the amount of data available. Furthermore, the impact of an
enlargement of the customer database on the quality of recommendations is shown.
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7878
Working Paper #84, December 2001 (Ini 2)
D. Kramkov, W. Schachermayer
Necessary and sufficient conditions in the
problem of optimal investment in incomplete markets
Following
[10] we continue the study of the problem of expected utility maximization in incomplete
markets. Our goal is to find minimal conditions
on a model and a utility function for the validity of several key assertions of the theory
to hold true. In [10] we proved that a minimal condition on the utility function alone, i.e. a minimal market independent condition, is that the
asymptotic elasticity of the utility function is strictly less than 1. In this paper we
show that a necessary and sufficient condition
on both, the utility function and the model, is
that the value function of the dual problem is finite.
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Latest
Update: 19. Mär 02 by ML |
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