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Learning Dynamics in an Artificial Currency Market

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Author Info
Christophre Georges

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Abstract

This paper considers the behavior of the exchange rate in a very simple artificial currency market with two currencies and artificial agents who evolve their forecast rules over time via a genetic algorithm. I consider two simple forecast rules, one linear and the other non-linear. Under the first rule, learning tends to be rapid and complete. Under the second, learning can generate persistent exchange rate dynamics.

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 31.

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Date of creation: 01 Apr 2001
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Handle: RePEc:sce:scecf1:31

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Related research
Keywords: Learning; Genetic Algorithm; Currency;

Find related papers by JEL classification:
D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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  1. Alfarano, Simone & Lux, Thomas, 2003. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2003,15, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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