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Speculation, Heterogeneity and Learning: A Simulation Model of Exchange Rates Dynamics

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  • Marengo, Luigi
  • Tordjman, Helene

Abstract

This paper presents a model of a speculative determination of exchange rates. The authors' basic claim is that speculation is intrinsically a disequilibrium phenomenon, mainly because the imperfect rationality of economic agents engenders heterogeneity of their beliefs, representations, and 'models of the world.' They use classifiers systems and genetic algorithms to simulate the behavior of learning agents and study the aggregate results in terms of prices and volume of transaction. Simulated exchange rates exhibit some of the distinctive properties characterizing real series. Copyright 1996 by WWZ and Helbing & Lichtenhahn Verlag AG

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Kyklos.

Volume (Year): 49 (1996)
Issue (Month): 3 ()
Pages: 407-38

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Handle: RePEc:bla:kyklos:v:49:y:1996:i:3:p:407-38

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0023-5962

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Cited by:
  1. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
  2. Stefan Kooths & Eric Ringhut, 2000. "Modelling Expectations With Genefer- An Artificial Intelligence Approach," Computing in Economics and Finance 2000 80, Society for Computational Economics.
  3. Giovanni Dosi, 2012. "Economic Coordination and Dynamics: Some Elements of an Alternative "Evolutionary" Paradigm," LEM Papers Series 2012/08, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  4. R. Aversi & G. Dosi & G. Fagiolo & M. Meacci & C. Olivetti, 1997. "Demand Dynamics With Socially Evolving Preferences," Working Papers ir97081, International Institute for Applied Systems Analysis.

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