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Citations for "Genetic learning as an explanation of stylized facts of foreign exchange markets"

by Lux, Thomas & Schornstein, Sascha

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  1. Cars Hommes & Thomas Lux, 2008. "Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments," Kiel Working Papers, Kiel Institute for the World Economy 1466, Kiel Institute for the World Economy.
  2. Georges, Christophre & Wallace, John C., 2009. "Learning Dynamics And Nonlinear Misspecification In An Artificial Financial Market," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 13(05), pages 625-655, November.
  3. Pichl, Lukáš & Kaizoji, Taisei & Yamano, Takuya, 2007. "Stylized facts in internal rates of return on stock index and its derivative transactions," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 382(1), pages 219-227.
  4. Waltman, L. & van Eck, N.J.P., 2009. "A Mathematical Analysis of the Long-run Behavior of Genetic Algorithms for Social Modeling," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2009-011-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  5. Waltman, L. & van Eck, N.J.P. & Dekker, R. & Kaymak, U., 2009. "Economic Modeling Using Evolutionary Algorithms: The Effect of a Binary Encoding of Strategies," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2009-028-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  6. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 208, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Gregory Gagnon, 2012. "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer, Springer, vol. 35(1), pages 29-58, May.
  8. Kluger, Brian D. & McBride, Mark E., 2011. "Intraday trading patterns in an intelligent autonomous agent-based stock market," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 79(3), pages 226-245, August.
  9. Arifovic, Jasmina & Karaivanov, Alexander, 2010. "Learning by doing vs. learning from others in a principal-agent model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(10), pages 1967-1992, October.
  10. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00983051, HAL.
  11. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 11(S1), pages 80-101, November.
  12. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 41(1-2), pages 7-42, February.
  13. Sancho Salcedo-Sanz & Leo Carro-Calvo & Mercè Claramunt & Ana Castañer & Maite Mármol, 2014. "Effectively Tackling Reinsurance Problems by Using Evolutionary and Swarm Intelligence Algorithms," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(2), pages 132-145, April.
  14. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008. "Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(1), pages 101-136, January.
  15. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(10), pages 3396-3426, October.
  16. Alfarano, Simone & Milaković, Mishael, 2008. "Should Network Structure Matter in Agent-Based Finance?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2008,04, Christian-Albrechts-University of Kiel, Department of Economics.
  17. Paul De Grauwe & Pablo Rovira Kaltwasser, 2007. "Modeling Optimism and Pessimism in the Foreign Exchange Market," CESifo Working Paper Series, CESifo Group Munich 1962, CESifo Group Munich.
  18. Liu, Yi-Fang & Zhang, Wei & Xu, Chao & Vitting Andersen, Jørgen & Xu, Hai-Chuan, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 407(C), pages 204-215.
  19. Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 60(1), pages 70-84, May.
  20. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. S. Alfarano & M. Milakovic & M. Raddant, 2013. "A note on institutional hierarchy and volatility in financial markets," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(6), pages 449-465, July.
  22. Chen, Shu-heng & Chang, Chia-ling, 2012. "Interactions in the New Keynesian DSGE models: The Boltzmann-Gibbs machine and social networks approach," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 6(26), pages 1-32.
  23. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 14031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  24. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary finance: introduction to the special issue," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 41(1-2), pages 1-5, February.
  25. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2006,11, Christian-Albrechts-University of Kiel, Department of Economics.
  26. Alfarano, Simone & Milaković, Mishael & Raddant, Matthias, 2009. "Network hierarchy in Kirman's ant model: fund investment can create systemic risk," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2009,09, Christian-Albrechts-University of Kiel, Department of Economics.
  27. Yi-Fang Liu & Wei Zhang & Chao Xu & J{\o}rgen Vitting Andersen & Hai-Chuan Xu, 2013. "Impact of information cost and switching of trading strategies in an artificial stock market," Papers 1311.4274, arXiv.org, revised Jul 2014.
  28. Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(1), pages 78-92, January.
  29. Arifovic, Jasmina & Maschek, Michael K., 2012. "Currency crisis: Evolution of beliefs and policy experiments," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 82(1), pages 131-150.
  30. Paul De Grauwe & Pablo Rovira Kaltwasser, 2006. "A Behavioral Finance Model of the Exchange Rate with Many Forecasting Rules," CESifo Working Paper Series, CESifo Group Munich 1849, CESifo Group Munich.