The case for active management from the perspective of Complexity Theory
This paper approaches active management of baskets of currencies from the perspectiveof Complexity theory, where the market is analysed as a Complex Adaptive system. Abasket of currencies is constructed using objective probabilities (propensities) and anartificial intelligence optimization technique that allows for implicit learning ofcorrelations dynamics. Statistical tests of the diversification benefit are presented.
|Date of creation:||11 Mar 2008|
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- J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
- Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.