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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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  • Beltrametti, Luca & Fiorentini, Riccardo & Marengo, Luigi & Tamborini, Roberto, 1997. "A learning-to-forecast experiment on the foreign exchange market with a classifier system," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1543-1575, June.
    • Handle: RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1543-1575
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    References listed on IDEAS

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    1. Bray, Margaret, 1982. "Learning, estimation, and the stability of rational expectations," Journal of Economic Theory, Elsevier, vol. 26(2), pages 318-339, April.
    2. Granger, Clive W. J., 1992. "Forecasting stock market prices: Lessons for forecasters," International Journal of Forecasting, Elsevier, vol. 8(1), pages 3-13, June.
    3. 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 353-359, May.
    4. Lucas, Robert E, Jr, 1986. "Adaptive Behavior and Economic Theory," The Journal of Business, University of Chicago Press, vol. 59(4), pages 401-426, October.
    5. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    6. 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 1029-1035, September.
    7. Sanford J. Grossman, 1981. "An Introduction to the Theory of Rational Expectations Under Asymmetric Information," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 48(4), pages 541-559.
    8. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    9. 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.
    10. W. Brian Arthur, 1992. "On Learning and Adaptation in the Economy," Working Paper 854, Economics Department, Queen's University.
    11. Holland, John H & Miller, John H, 1991. "Artificial Adaptive Agents in Economic Theory," American Economic Review, American Economic Association, vol. 81(2), pages 365-371, May.
    12. 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.
    13. Riccardo Fiorentini, 1991. "Ex ante purchasing power parity: An empirical note," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 127(2), pages 343-355, June.
    14. Michael Goldberg & Roman Frydman, 1993. "Theories, Consistent Expectations and Exchange Rate Dynamics," International Economic Association Series, in: Helmut Frisch & Andreas Wörgötter (ed.), Open-Economy Macroeconomics, chapter 20, pages 377-399, Palgrave Macmillan.
    15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. 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.
    2. Basak, Suryoday & Kar, Saibal & Saha, Snehanshu & Khaidem, Luckyson & Dey, Sudeepa Roy, 2019. "Predicting the direction of stock market prices using tree-based classifiers," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 552-567.
    3. 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.
    4. Basci, Erdem, 1999. "Learning by imitation," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1569-1585, September.
    5. Haijun Yang & Shuheng Chen, 2018. "A heterogeneous artificial stock market model can benefit people against another financial crisis," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-25, June.
    6. Eric Ringhut & Stefan Kooths, 2003. "Modeling Expectations with GENEFER -- an Artificial Intelligence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 173-194, February.
    7. HIGASHIDA Keisaku & TANAKA Kenta & MANAGI Shunsuke, 2018. "Losses on Asset Returns Caused by Perception Gaps of Fundamental Values: Evidence from laboratory experiments," Discussion papers 18008, Research Institute of Economy, Trade and Industry (RIETI).
    8. Roberto Tamborini, 1997. "A macroeconomic model of bankruptcy," CEEL Working Papers 9702, Cognitive and Experimental Economics Laboratory, Department of Economics, University of Trento, Italia.

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