Statistical properties of genetic learning in a model of exchange rate

DOI10.1016/S0165-1889(99)00033-0MaRDI QIDQ1978598zbMATHFDO

Authors Jasmina Arifovic, Ramazan Gençay

Publication date 4 June 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

time series analysisoverlapping-generations modelequilibrium dynamics

Mathematics Subject Classification ID

Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Recommendations

• Genetic learning as an explanation of stylized facts of foreign exchange markets
• Modeling exchange rate behavior with a genetic algorithm
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Cites work

• scientific article; zbMATH DE number 1281930 (Why is no real title available?)
• scientific article; zbMATH DE number 1281931 (Why is no real title available?)
• A Fast Algorithm for the BDS Statistic
• A Rational Route to Randomness
• A model of learning and emulation with artificial adaptive agents
• A test for independence based on the correlation dimension
• Adaptive learning by genetic algorithms. Analytic results and applications to economic models
• An algorithm for the \(n\) Lyapunov exponents of an \(n\)-dimensional unknown dynamical system
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Money as a medium of exchange in an economy with artificially intelligent agents
• The transition from stagnation to growth: An adaptive learning approach
• Time series properties of an artificial stock market

Cited in

(6)

• Genetic learning as an explanation of stylized facts of foreign exchange markets
• Exchange rate dynamics in a target zone-A heterogeneous expectations approach
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• Agent-based computational finance: Suggested readings and early research
• Modeling exchange rate behavior with a genetic algorithm
• INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS

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