IDEAS home Printed from https://ideas.repec.org/r/zbw/bubdp1/4194.html
   My bibliography  Save this item

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

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Paul De Grauwe & Pablo Rovira Kaltwasser, 2007. "Modeling Optimism and Pessimism in the Foreign Exchange Market," CESifo Working Paper Series 1962, CESifo.
  2. Arifovic, Jasmina & Karaivanov, Alexander, 2010. "Learning by doing vs. learning from others in a principal-agent model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1967-1992, October.
  3. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
  4. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary finance: introduction to the special issue," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 1-5, February.
  5. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01011701, HAL.
  6. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  7. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-01215947, HAL.
  8. Kluger, Brian D. & McBride, Mark E., 2011. "Intraday trading patterns in an intelligent autonomous agent-based stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 79(3), pages 226-245, August.
  9. Sancho Salcedo-Sanz & Leo Carro-Calvo & Mercè Claramunt & Ana Castañer & Maite Mármol, 2014. "Effectively Tackling Reinsurance Problems by Using Evolutionary and Swarm Intelligence Algorithms," Risks, MDPI, vol. 2(2), pages 1-14, April.
  10. Konrad RICHTER, 2010. "Revenue Equivalence Revisited: Bounded Rationality in Auctions," EcoMod2004 330600118, EcoMod.
  11. Davies, Paul Lyndon, 2006. "Long range financial data and model choice," Technical Reports 2006,21, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  12. Liu, Yi-Fang & Zhang, Wei & Xu, Chao & Vitting Andersen, Jørgen & Xu, Hai-Chuan, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 204-215.
  13. Pichl, Lukáš & Kaizoji, Taisei & Yamano, Takuya, 2007. "Stylized facts in internal rates of return on stock index and its derivative transactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 219-227.
  14. Arifovic, Jasmina & Schmitt-Grohé, Stephanie & Uribe, Martín, 2018. "Learning to live in a liquidity trap," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 120-136.
  15. Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(1), pages 70-84, May.
  16. Salle, Isabelle & Yildizoglu, Murat & Zumpe, Martin & Sénégas, Marc-Alexandre, 2017. "Coordination through social learning in a general equilibrium model," Journal of Economic Behavior & Organization, Elsevier, vol. 141(C), pages 64-82.
  17. Leonid A. Serkov, 2023. "Effect of sticky Wages on the Behavior of Economic Agents with Heterogeneous Expectations," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 22(2), pages 450-473.
  18. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
  19. Barbara Weißenberger & Benjamin Löhr, 2008. "Planung und Unternehmenserfolg: Stylized Facts aus der empirischen Controllingforschung im deutschsprachigen Raum von 1990–2007," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 18(4), pages 335-363, February.
  20. S. Alfarano & M. Milakovic & M. Raddant, 2013. "A note on institutional hierarchy and volatility in financial markets," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 449-465, July.
  21. Laurie Davies & Walter Kramer, 2016. "Stylized Facts and Simulating Long Range Financial Data," Papers 1612.05229, arXiv.org.
  22. He, Xue-Zhong & Li, Youwei, 2015. "Testing of a market fraction model and power-law behaviour in the DAX 30," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
  23. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
  24. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008. "Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 101-136, January.
  25. Hommes, Cars & Lux, Thomas, 2013. "Individual Expectations And Aggregate Behavior In Learning-To-Forecast Experiments," Macroeconomic Dynamics, Cambridge University Press, vol. 17(2), pages 373-401, March.
  26. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-00983051, HAL.
  27. Georges, Christophre & Wallace, John C., 2009. "Learning Dynamics And Nonlinear Misspecification In An Artificial Financial Market," Macroeconomic Dynamics, Cambridge University Press, vol. 13(5), pages 625-655, November.
  28. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
  29. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  30. Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 78-92, January.
  31. De Grauwe, Paul & Markiewicz, Agnieszka, 2013. "Learning to forecast the exchange rate: Two competing approaches," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
  32. Stolzenburg, Ulrich & Lux, Thomas, 2010. "Identification of a core-periphery structure among participants of a business climate survey," Kiel Working Papers 1659, Kiel Institute for the World Economy (IfW Kiel).
  33. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00983051, HAL.
  34. Arifovic, Jasmina & Maschek, Michael K., 2012. "Currency crisis: Evolution of beliefs and policy experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 131-150.
  35. Paul De Grauwe & Pablo Rovira Kaltwasser, 2006. "A Behavioral Finance Model of the Exchange Rate with Many Forecasting Rules," CESifo Working Paper Series 1849, CESifo.
  36. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01215947, HAL.
  37. Simone Alfarano & Thomas Lux, 2007. "A Minimal Noise Trader Model with Realistic Time Series Properties," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 345-361, Springer.
  38. Ghonghadze, Jaba & Lux, Thomas, 2016. "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 1-19.
  39. Salle, Isabelle & Seppecher, Pascal, 2016. "Social Learning About Consumption," Macroeconomic Dynamics, Cambridge University Press, vol. 20(7), pages 1795-1825, October.
  40. Waltman, L. & van Eck, N.J.P., 2009. "A Mathematical Analysis of the Long-run Behavior of Genetic Algorithms for Social Modeling," ERIM Report Series Research in Management ERS-2009-011-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  41. Mikhail Anufriev & Cars Hommes & Tomasz Makarewicz, 2019. "Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments," Journal of the European Economic Association, European Economic Association, vol. 17(5), pages 1538-1584.
  42. Diana MARICA, 2015. "SIMULATING AN EVOLUTIONARY MULTI-AGENT BASED MODEL OF THE STOCK MARKET Abstract : The paper focuses on artificial stock market simulations using a multi-agent model incorporating 2,000 heterogeneous a," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(Special I), pages 1-42, august.
  43. Shu-Heng Chen & Umberto Gostoli, 2017. "Coordination in the El Farol Bar problem: The role of social preferences and social networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(1), pages 59-93, April.
  44. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  45. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  46. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney.
  47. Isabelle Salle & Marc-Alexandre Sénégas & Murat Yıldızoğlu, 2019. "How transparent about its inflation target should a central bank be?," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 391-427, March.
  48. Chen, Shu-heng & Chang, Chia-ling, 2012. "Interactions in the New Keynesian DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-32.
  49. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW Kiel).
  50. Yi-Fang Liu & Wei Zhang & Chao Xu & J{o}rgen Vitting Andersen & Hai-Chuan Xu, 2013. "Impact of information cost and switching of trading strategies in an artificial stock market," Papers 1311.4274, arXiv.org, revised Jul 2014.
  51. Ludo Waltman & Nees Eck & Rommert Dekker & Uzay Kaymak, 2011. "Economic modeling using evolutionary algorithms: the effect of a binary encoding of strategies," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 737-756, December.
  52. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
  53. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
  54. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
  55. Gregory Gagnon, 2012. "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(1), pages 29-58, May.
  56. Alfarano, Simone & Milaković, Mishael & Raddant, Matthias, 2009. "Network hierarchy in Kirman's ant model: fund investment can create systemic risk," Economics Working Papers 2009-09, Christian-Albrechts-University of Kiel, Department of Economics.
  57. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Documents de travail du Centre d'Economie de la Sorbonne 14031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.