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

DOI10.1016/j.jmateco.2004.02.003zbMath1146.91353OpenAlexW2033073981MaRDI QIDQ556409

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

Genetic algorithmsLearningExchange rate dynamics

Mathematics Subject Classification ID

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

Related Items (16)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evolutionary dynamics in markets with many trader types
• Evolution and market behavior
• Tackling real-coded genetic algorithms: operators and tools for behavioural analysis
• Statistical properties of genetic learning in a model of exchange rate
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• A Rational Route to Randomness
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Asset price and wealth dynamics under heterogeneous expectations

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