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A learning-to-forecast experiment on the foreign exchange market with a classifier system

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  • Beltrametti, Luca
  • Fiorentini, Riccardo
  • Marengo, Luigi
  • Tamborini, Roberto

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 21 (1997)
Issue (Month): 8-9 (June)
Pages: 1543-1575

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Handle: RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1543-1575

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Arthur, W Brian, 1991. "Designing Economic Agents that Act Like Human Agents: A Behavioral Approach to Bounded Rationality," American Economic Review, American Economic Association, vol. 81(2), pages 353-59, May.
  2. Meese, Richard A & Singleton, Kenneth J, 1982. " On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-35, September.
  3. Riccardo Fiorentini, 1991. "Ex ante purchasing power parity: An empirical note," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 127(2), pages 343-355, June.
  4. Bray, Margaret, 1982. "Learning, estimation, and the stability of rational expectations," Journal of Economic Theory, Elsevier, vol. 26(2), pages 318-339, April.
  5. Grossman, Sanford J, 1981. "An Introduction to the Theory of Rational Expectations under Asymmetric Information," Review of Economic Studies, Wiley Blackwell, vol. 48(4), pages 541-59, October.
  6. W. Brian Arthur, 1992. "On Learning and Adaptation in the Economy," Working Papers 854, Queen's University, Department of Economics.
  7. Frenkel, Jacob A. & Mussa, Michael L., 1985. "Asset markets, exchange rates and the balance of payments," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 14, pages 679-747 Elsevier.
  8. Holland, John H & Miller, John H, 1991. "Artificial Adaptive Agents in Economic Theory," American Economic Review, American Economic Association, vol. 81(2), pages 365-71, May.
  9. Marimon, Ramon & McGrattan, Ellen & Sargent, Thomas J., 1990. "Money as a medium of exchange in an economy with artificially intelligent agents," Journal of Economic Dynamics and Control, Elsevier, vol. 14(2), pages 329-373, May.
  10. Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June.
  11. Lucas, Robert E, Jr, 1986. "Adaptive Behavior and Economic Theory," The Journal of Business, University of Chicago Press, vol. 59(4), pages S401-26, October.
  12. Jacob A. Frenkel & Michael L. Mussa, 1985. "Asset Markets, Exchange Rates and the Balance of Payments," NBER Working Papers 1287, National Bureau of Economic Research, Inc.
  13. A. P. Thirlwall, 1983. "Introduction," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 5(3), pages 341-344, April.
  14. A. Meltzer & Peter Ordeshook & Thomas Romer, 1983. "Introduction," Public Choice, Springer, vol. 41(1), pages 1-5, January.
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Cited by:
  1. Eric Ringhut & Stefan Kooths, 2003. "Modeling Expectations with GENEFER -- an Artificial Intelligence Approach," Computational Economics, Society for Computational Economics, vol. 21(1_2), pages 173-194, 02.
  2. Basci, Erdem, 1999. "Learning by imitation," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1569-1585, September.
  3. Roberto Tamborini, 1997. "A macroeconomic model of bankruptcy," CEEL Working Papers 9702, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia.
  4. Jaqueson K. Galimberti & Sergio da Silva, 2012. "An empirical case against the use of genetic-based learning classifier systems as forecasting devices," Economics Bulletin, AccessEcon, vol. 32(1), pages 354-369.
  5. Erdem Basci & Mehmet Orhan, 1999. "Reinforcement Learning and Dynamic Optimization," Departmental Working Papers 998, Bilkent University, Department of Economics.
  6. Duffy, John, 2006. "Agent-Based Models and Human Subject Experiments," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 19, pages 949-1011 Elsevier.
  7. Erdem Basci, . "Learning by Imitation in the Kiyotaki-Wright Model of Money," Computing in Economics and Finance 1997 152, Society for Computational Economics.

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