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The case for active management from the perspective of Complexity Theory

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Author Info
Aeljandro Reveiz Herault ()
Sebastian Rojas ()

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Abstract

This 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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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004566.

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Length: 22
Date of creation: 11 Mar 2008
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Handle: RePEc:col:000094:004566

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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  1. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April. [Downloadable!] (restricted)
  2. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
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  1. Alejandro Reveiz & Carlos León, . "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia. [Downloadable!]
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  2. Alejandro Reveiz Herault, . "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," Borradores de Economia 511, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-12.

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