Genetic learning as an explanation of stylized facts of foreign exchange markets

DOI10.1016/J.JMATECO.2004.02.003MaRDI QIDQ556409zbMATHOpenAlexFDO

Authors Sascha Schornstein, Thomas C. H. Lux

Publication date 13 June 2005

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2004.02.003

zbMATH Keywords

Exchange rate dynamicsGenetic algorithmsLearning

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Neural networks for/in biological studies, artificial life and related topics (92B20)

Recommendations

• Modeling exchange rate behavior with a genetic algorithm
• Statistical properties of genetic learning in a model of exchange rate
• Publication:4717993
• Publication:4241009
• Heterogeneity of agents, transactions costs and the exchange rate

Cites work

• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• scientific article; zbMATH DE number 1425467 (Why is no real title available?)
• A Rational Route to Randomness
• A nonlinear structural model for volatility clustering
• Asset price and wealth dynamics under heterogeneous expectations
• Evolution and market behavior
• Evolutionary dynamics in markets with many trader types
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• Statistical properties of genetic learning in a model of exchange rate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tackling real-coded genetic algorithms: operators and tools for behavioural analysis
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(19)

• Heterogeneity of agents, transactions costs and the exchange rate
• Network structure andn-dependence in agent-based herding models
• Forecasting volatility with support vector machine-based GARCH model
• Learning to live in a liquidity trap
• Financial power laws: empirical evidence, models, and mechanisms
• Learning dynamics and nonlinear misspecification in an artificial financial market
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• Linking agent-based models and stochastic models of financial markets
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Power-law behaviour, heterogeneity, and trend chasing
• Learning by doing vs. learning from others in a principal-agent model
• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• Evolutionary dynamics in markets with many trader types
• Exchange rate bifurcation in a stochastic evolutionary finance model
• Modeling exchange rate behavior with a genetic algorithm
• Modeling expectations with GENEFER -- an artificial intelligence approach
• A mathematical analysis of the long-run behavior of genetic algorithms for social modeling
• INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS
• Learning to bid: the design of auctions under uncertainty and adaptation

This page was built for publication: Genetic learning as an explanation of stylized facts of foreign exchange markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q556409)