The case for active management from the perspective of Complexity Theory
AbstractThis paper approaches active management of baskets of currencies from the perspective of Complexity theory, where the market is analysed as a Complex Adaptive system. A basket of currencies is constructed using objective probabilities (propensities) and an artificial intelligence optimization technique that allows for implicit learning of correlations dynamics. Statistical tests of the diversification benefit are presented.
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Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004566.
Date of creation: 11 Mar 2008
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- Alejandro Revéiz Herault & Sebastian Rojas, . "The case for active management from the perspective of Complexity Theory," Borradores de Economia 495, Banco de la Republica de Colombia.
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-25 (All new papers)
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004626, BANCO DE LA REPÚBLICA.
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