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Experiments in Evolutionary Finance

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Abstract

Combining ideas from evolution and learning to understand empirical puzzles in financial markets is a growing area of interest in economic research. This paper provides a short survey of some of the ongoing work in this area with special attention paid to computational models relying on artificial intelligence methods. Also, specific experiments will be analyzed using the Santa Fe Artificial Stock Market. The conclusion ties some of the results from these very different modeling approaches together, and suggests paths for future research.

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  • Blake LeBaron, "undated". "Experiments in Evolutionary Finance," Working papers _001, University of Wisconsin - Madison.
    • Handle: RePEc:wop:wimahp:_001
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    File URL: http://www.econ.wisc.edu/~blake/papers/efin.ps
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    Cited by:

    1. Brock, William A. & de Fontnouvelle, Patrick, 2000. "Expectational diversity in monetary economies," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 725-759, June.
    2. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    3. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
    4. Derveeuw, Julien, 2005. "Market dynamics and agents behaviors: a computational approach," MPRA Paper 4916, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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