Person:
Álvarez González, Francisco

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First Name
Francisco
Last Name
Álvarez González
Affiliation
Universidad Complutense de Madrid
Faculty / Institute
Ciencias Económicas y Empresariales
Department
Análisis Económico y economía cuantitativa
Area
Fundamentos del Análisis Económico
Identifiers
UCM identifierORCIDScopus Author IDWeb of Science ResearcherIDDialnet IDGoogle Scholar ID

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Now showing 1 - 10 of 20
  • Publication
    Cheating for the common good in a macroeconomic policy game
    (Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2001) Álvarez González, Francisco; Deissenberg, Christophe
    Se presenta un juego repetido que modeliza la interacción entre un gobierno optimizador y el sector privado, representado por un continuo de agentes heterogéneos y atomísticos. Abstract: This paper presents a simple repeated-game model of interaction between an optimizing government and the private sector. Two polar cases are considered: (a) the private sector is represented by a single agent; and (b) there is a continuum of heterogenous atomistic private agents. In both cases, the government starts each repetition by making a non-binding announcement about its future actions. The players have complete and perfect information, with one exception: the private agents do not know whether or not the government will act as announced. Thus, each private agent i either behaves with probability πi as if it trusted the announcement, or plays with probability 1 − πi as a Stackelberg leader. After observing the reaction of the private sector, the government
  • Publication
    Treasury Auctions: The Spanish format
    (2002) Álvarez González, Francisco; Mazón Calpena, Cristina
    The Spanish Treasury is the only Treasury in the world that uses a hybrid system of discriminatory and uniform price auctions to sell government debt: winning bidders pay their bid price for each unit if this is lower than the weighted average price of winning bids, and pay the weighted average price of winning bids otherwise. Following Gordy (1996), we model the Spanish auction as a common value auction of multiple units with private information, allowing for multiple bids. Simulations show that bidders use bid spread to hedge against both uncertainty and the winner's curse, and that the expected seller's revenue is higher in the Spanish than in the discriminatory auction in a number of cases. El Tesoro español es el único Tesoro del mundo que utiliza un sistema híbrido de subasta discriminatoria y uniforme para vender deuda del estado: los pujadores ganadores pagan su puja por cada unidad, si esta fue menor que la media de las pujas ganadoras, y pagan la media de las pujas ganadoras en caso contrario. Siguiendo a Gordy (1996), desarrollamos un modelo para la subasta española, como una subasta de valor común y múltiples unidades, con información privada, permitiendo que los pujadores pujen por varias unidades. Utilizando simulaciones, encontramos que un pujador puja por distintas unidades a precios distintos, para protegerse tanto de la incertidumbre sobre el valor del bien como de la maldición del ganador, y que el ingreso esperado del vendedor es mayor con la subasta española que con la discriminatoria en varios casos.
  • Publication
    A solution method for a class of learning by doing models.
    (Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1996-02) Álvarez González, Francisco; Cerdá Tena, Emilio
    We obtain in the closed-form the optimal policy for a class of learning by doing models, in which a monopolist operating in a market with linear demand and finite time horizon, faces a lower bound in the cost reduction that can be achived through production. By using Dynamic Programming principles we show that the existence of a lower bound in the unit production cost implies that the optimal decision for output is a function which is indexed by initial unit cost. There is an optimal set of threshold values beyond wich the parameters of the production rule change. Some examples with specific parameter values are provided.
  • Publication
    Opportunity cost of CO2 emission reductions: developing vs. developed economies
    (Instituto Complutense de Estudios Internacionales (ICEI), 2009-11) Álvarez González, Francisco
    Presentamos evidencia empírica sobre convergencia en magnitudes medioambientales para países desarrollados y en vías de desarrollo. Además, partiendo de un modelo standard "putty-clay" de uso de energía, introducimos un stock de contaminación sobre el que se fija un objetivo de reducción de emisiones. El análisis teórico ofrece indicaciones sobre qué variables deberían ser objeto de futuros acuerdos de reducción de emisiones entre países heterogéneos.
  • Publication
    La Economía del Comportamiento en la asignatura de Teoría de Juegos: Experimentos en las aulas
    (2019-06-24) Camiña Centeno, Ester; Cerdá Tena, Emilio; Álvarez González, Francisco; Onrubia Fernández, Jorge; Sánchez Fuentes, Antonio Jesús; Rojas Candela, Ricardo; García Gómez, Raul; Salas del Mármol, Rafael; Moreno Martín, María Lourdes; Rey Simo, José Manuel; Rodríguez Álvarez, Carmelo
    El objetivo es introducir la economía experimental como herramienta pedagógica en la enseñanza de Teoría de Juegos para alumnos de los Grados en Economía y Doble Grado en Economía, Matemáticas y Estadística acercándoles a un análisis económico actual.
  • Publication
    A machine learning research template for binary classification problems and shapley values integration
    (Elsevier, 2021) Smith, Matthew; Álvarez González, Francisco
    This paper documents published code which can help facilitate researchers with binary classification problems and interpret the results from a number of Machine Learning models. The original paper was published in Expert Systems with Applications and this paper documents the code and work-flow with a special interest being paid to Shapley values as a means to interpret Machine Learning predictions. The Machine Learning models used are, Naive Bayes, Logistic Regression, Random Forest, adaBoost, Classification Tree, Light GBM and XGBoost.
  • Publication
    Software matemático para un cambio metodológico en la docencia de las matemáticas para economistas.
    (2015-02-19) Álvarez González, Francisco; Bujosa Brun, Marcos; Cerdá Tena, Emilio; de Castro, Luis Miguel; Jerez Méndez, Miguel; LLorente Comí, Marta; López Zorzano, Rafael; Lugo Arocha, Haydée; Maroto Fernández, José María; Mera Rivas, María Eugenia; Morán cabré, Manuel; Moreta Santos, María Jesús; Rey Simo, José Manuel; Rodrigo Fernández, Antonio; Ruiz, Jesús; Serrano, Gregorio; Vázquez Furelos, Mercedes
    En este proyecto se aborda cómo el software matemático puede mejorar la eficacia docente en las asignaturas de matemáticas para economistas del Grado en Economía de la UCM. Se ha elaborado un material docente para la asignatura de Matemáticas II del Grado en Economía (Álgebra Lineal) que consiste en material de prácticas con el software matemático Maple. Además se han analizado otros softwares matemáticos sin licencia. La financiación del proyecto se ha dedicado a organizar un curso de Sage que está alojado en el seminario de trabajo del campus virtual https://cv4.ucm.es/moodle/course/view.php?id=54001.
  • Publication
    Multiple bids in a multiple-unit common value auction: simulations for the spanish auction
    (Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1999) Álvarez González, Francisco; Mazón Calpena, Cristina
    The Spanish Treasury is the only one in the world that uses a hybrid system of discriminatory and uniform price auctions to sell bonds. In the Spanish auction, winning bidders pay their bid price if it is lower than tbe weighted average price of witming bids, while all other winning bidders pay the weighted average price of winning bids. We adapt Gordy's (96) medel of the discriminatory auction to the Spanish auction. The model is a discrete model of multiple bids in a multiple-unit common value auction. We use numerical simulations to find equilibria for the Spanish, the uniform and the discriminatory auction. Our results show that bidders in the Spanish and discriminatory auctions use bid spread to cover themselves against uncertainty, and that expected seller's revenue is larger on average in the former.
  • Publication
    Decomposing risk in an exploitation–exploration problem with endogenous termination time
    (Springer Nature, 2018) Álvarez González, Francisco
    An expected utility risk averse maximizer must decide on an investment policy for a set of N projects. The budget for investment is fixed and it is allocated to the projects gradually over time by an endogenously determined amount. We allow for simultaneous investments in different projects as well as investments in the same project at different times. The termination time is endogenous. The problem finishes, at latest, when the budget is fully depleted. Our problem has an exploitation versus exploration trade off. There are unknown relevant characteristics of each project that the decision maker only learns by investing in the corresponding project. We analyze the performance of dynamic programming based policies. Particularly, we use differences in the value functions of N single-project problems to construct the opportunity cost of investing in each project. Those opportunity costs drive the investment policy for the N project problem.
  • Publication
    Pricing Strategy versus Heterogeneous Shopping Behavior under Market Price Dispersion
    (Hindawi Publishing Corporation, 2016) Álvarez González, Francisco; Rey Simo, José Manuel; Sanchis, Raúl G.
    We consider the ubiquitous problem of a seller competing in a market of a product with dispersed prices and having limited information about both his competitors’ prices and the shopping behavior of his potential customers. Given the distribution of market prices, the distribution of consumers’ shopping behavior, and the seller’s cost as inputs, we find the computational solution for the pricing strategy that maximizes his expected profits. We analyze the seller’s solution with respect to different exogenous perturbations of parametric and functional inputs. For that purpose, we produce synthetic price data using the family of Generalized Error Distributions that includes normal and quasiuniform distributions as particular cases, and we also generate consumers’ shopping data from different behavioral assumptions. Our analysis shows that, beyond price mean and dispersion, the shape of the price distribution plays a significant role in the seller’s pricing solution. We focus on the seller’s response to an increasing diversity in consumers’ shopping behavior. We show that increasing heterogeneity in the shopping distribution typically lowers seller’s prices and expected profits.