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Citations for "The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies"

by Arifovic, Jasmina

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  1. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2006,16, Christian-Albrechts-University of Kiel, Department of Economics.
  2. Lux, Thomas & Schornstein, Sascha, 2002. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Discussion Paper Series 1: Economic Studies 2002,29, Deutsche Bundesbank, Research Centre.
  3. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics.
  4. Paul Gomme, 1998. "Evolutionary programming as a solution technique for the Bellman equation," Working Paper 9816, Federal Reserve Bank of Cleveland.
  5. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics.
  6. Paul Castillo & Diego Winkelried, 2007. "Dollarization Persistence and Individual Heterogeneity," Working Papers 2007-004, Banco Central de Reserva del Perú.
  7. Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(1), pages 70-84, May.
  8. Thomas Lux, 2006. "Financial Power Laws: Empirical Evidence, Models, and Mechanism," Working Papers wpn06-08, Warwick Business School, Finance Group.
  9. Chia-Hsuan Yeh & Shu-Heng Chen, 2000. "Toward An Integration Of Social Learning And Individual Learning In Agent-Based Computational Stock Markets:The Approach Based On Population Genetic Programming," Computing in Economics and Finance 2000 338, Society for Computational Economics.
  10. Terje Lensberg & Klaus Reiner Schenk-Hoppe, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Swiss Finance Institute Research Paper Series 06-38, Swiss Finance Institute.
  11. Bao, T. & Duffy, J. & Hommes, C.H., 2011. "Learning, Forecasting and Optimizing: an Experimental Study," CeNDEF Working Papers 11-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  12. Ludo Waltman & Nees Eck & Rommert Dekker & Uzay Kaymak, 2011. "Economic modeling using evolutionary algorithms: the effect of a binary encoding of strategies," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 737-756, December.
  13. Anufriev, M. & Hommes, C.H. & Philipse, R., 2010. "Evolutionary Selection of Expectations in Positive and Negative Feedback Markets," CeNDEF Working Papers 10-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  14. Riechmann, Thomas, 1997. "Learning and Behavoiral Stability - An Economic Interpretation of Genetic Algorithms," Hannover Economic Papers (HEP) dp-209, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  15. Hommes, Cars & Lux, Thomas, 2013. "Individual Expectations And Aggregate Behavior In Learning-To-Forecast Experiments," Macroeconomic Dynamics, Cambridge University Press, vol. 17(02), pages 373-401, March.
  16. Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.
  17. Marco Casari, 2003. "Does bounded rationality lead to individual heterogeneity? The impact of the experimentation process and of memory constraints," UFAE and IAE Working Papers 583.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  18. James Bullard & John Duffy, 1999. "Learning and Excess Volatility," Computing in Economics and Finance 1999 224, Society for Computational Economics.
  19. Eric Fisher, 2004. "Exploring Elements of Exchange Rate Theory in a Controlled Enivronment," Levine's Bibliography 122247000000000199, UCLA Department of Economics.
  20. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
  21. John Duffy, 2004. "Agent-Based Models and Human Subject Experiments," Computational Economics 0412001, EconWPA.
  22. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
  23. Marco Casari, 2002. "Can genetic algorithms explain experimental anomalies? An application to common property resources," UFAE and IAE Working Papers 542.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  24. Shu-Heng Chen & Chia-Hsuan Yeh, 1999. "Evolving Traders and the Faculty of the Business School: A New Architecture of the Artificial Stock Market," Computing in Economics and Finance 1999 613, Society for Computational Economics.
  25. James Bullard & John Duffy, 2010. "Using genetic algorithms to model the evolution of heterogenous beliefs," Levine's Working Paper Archive 550, David K. Levine.
  26. Chen, Shu-Heng & Yeh, Chia-Hsuan, 2001. "Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 363-393, March.
  27. Magda Fontana, 2006. "Computer simulations, mathematics and economics," International Review of Economics, Springer, vol. 53(1), pages 96-123, March.
  28. Jasmina Arifovic & Alexander Karaivanov, 2007. "Learning by Doing vs. Learning from Others in a Principal-Agent Model," Discussion Papers dp07-24, Department of Economics, Simon Fraser University.
  29. Christopher Boyer & B. Brorsen & Tong Zhang, 2014. "Common-value auction versus posted-price selling: an agent-based model approach," Journal of Economic Interaction and Coordination, Springer, vol. 9(1), pages 129-149, April.
  30. Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics.
  31. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, EconWPA, revised 15 Aug 2002.
  32. Roberto Ricciuti, 2005. "Bringing Macroeconomics into the Lab," Labsi Experimental Economics Laboratory University of Siena 004, University of Siena.
  33. Mark Salmon & Roman Kozhan, 2008. "On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates," Working Papers wp08-06, Warwick Business School, Finance Group.
  34. Matteo Richiardi & Roberto Leombruni & Nicole J. Saam & Michele Sonnessa, 2006. "A Common Protocol for Agent-Based Social Simulation," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 9(1), pages 15.
  35. Hoffmann, Arvid O.I. & Jager, Wander, 2004. "The effect of different needs, decisionmaking processes and networkstructures on investor behavior and stock market dynamics : a simulation approach," Research Report 04B25, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  36. Ernan Haruvy & M. Utku Ünver, 2003. "Equilibrium Selection in Repeated Business-to-Business Matching Markets," Experimental 0305004, EconWPA, revised 02 Sep 2003.
  37. Arifovic, Jasmina & Gencay, Ramazan, 2000. "Statistical properties of genetic learning in a model of exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 981-1005, June.
  38. Hommes, Cars H. & Rosser,, J. Barkley, 2001. "Consistent Expectations Equilibria And Complex Dynamics In Renewable Resource Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 180-203, April.
  39. Jie-Shin Lin & Chris Birchenhall, 2000. "Learning And Adaptive Artificial Agents: An Analysis Of Evolutionary Economic Models," Computing in Economics and Finance 2000 327, Society for Computational Economics.
  40. Steinbacher, Matjaz, 2008. "Stochastic Processes in Finance and Behavioral Finance," MPRA Paper 13603, University Library of Munich, Germany.
  41. 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 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.
  42. Haruvy, Ernan & Roth, Alvin E. & Unver, M. Utku, 2006. "The dynamics of law clerk matching: An experimental and computational investigation of proposals for reform of the market," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 457-486, March.
  43. Thomas Lux, 2007. "Application of Statistical Physics in Finance and Economics," Working Papers wp07-09, Warwick Business School, Finance Group.
  44. Thomas H. Noe & Michael J. Rebello & Jun Wang, 2006. "The Evolution of Security Designs," Journal of Finance, American Finance Association, vol. 61(5), pages 2103-2135, October.
  45. Agnieszka Markiewicz, 2010. "Monetary Policy, Model Uncertainty and Exchange Rate Volatility," CESifo Working Paper Series 2949, CESifo Group Munich.
  46. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
  47. Casari, Marco, 2008. "Markets in equilibrium with firms out of equilibrium: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 65(2), pages 261-276, February.
  48. Goeree, Jacob K. & Hommes, Cars H., 2000. "Heterogeneous beliefs and the non-linear cobweb model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 761-798, June.
  49. Arifovic, Jasmina, 2001. "Evolutionary dynamics of currency substitution," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 395-417, March.
  50. Dawid, Herbert, 1999. "On the convergence of genetic learning in a double auction market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1545-1567, September.
  51. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
  52. Dan Ladley, 2010. "Contagion and risk-sharing on the inter-bank market," Discussion Papers in Economics 11/10, Department of Economics, University of Leicester, revised Jan 2013.
  53. E. Samanidou & E. Zschischang & D. Stauffer & Thomas Lux, 2006. "Microscopic Models of Financial Markets," Working Papers wpn06-03, Warwick Business School, Finance Group.
  54. J. Wiesinger & D. Sornette & J. Satinover, 2013. "Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms," Computational Economics, Society for Computational Economics, vol. 41(4), pages 475-492, April.
  55. Arifovic, Jasmina & Eaton, B. Curtis, 1998. "The evolution of type communication in a sender/receiver game of common interest with cheap talk," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1187-1207, August.
  56. Chen, Shu-Heng, 2012. "Varieties of agents in agent-based computational economics: A historical and an interdisciplinary perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 1-25.
  57. Kimbrough, Erik O., 2011. "Heuristic learning and the discovery of specialization and exchange," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 491-511, April.
  58. Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers 37358, Iowa State University, Department of Economics.
  59. Bullard, James & Duffy, John, 1998. "A model of learning and emulation with artificial adaptive agents," Journal of Economic Dynamics and Control, Elsevier, vol. 22(2), pages 179-207, February.
  60. Eric O' N. Fisher, 2001. "Purchasing Power Parity and Interest Parity in the Laboratory," ISER Discussion Paper 0531, Institute of Social and Economic Research, Osaka University.
  61. Marco Casari, 2004. "Can Genetic Algorithms Explain Experimental Anomalies?," Computational Economics, Society for Computational Economics, vol. 24(3), pages 257-275, March.
  62. LeBaron, Blake & Tesfatsion, Leigh S., 2008. "Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents," Staff General Research Papers 12973, Iowa State University, Department of Economics.
  63. Noe, Thomas H. & Rebello, Michael & Wang, Jun, 2012. "Learning to bid: The design of auctions under uncertainty and adaptation," Games and Economic Behavior, Elsevier, vol. 74(2), pages 620-636.
  64. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics.
  65. Jens Grossklags & Carsten Schmidt, 2002. "Artificial Software Agents on Thin Double Auction Markets - A Human Trader Experiment," Papers on Strategic Interaction 2002-45, Max Planck Institute of Economics, Strategic Interaction Group.
  66. Samanidou, Egle & Zschischang, Elmar & Stauffer, Dietrich & Lux, Thomas, 2006. "Microscopic models of financial markets," Economics Working Papers 2006,15, Christian-Albrechts-University of Kiel, Department of Economics.
  67. Marey, Philip S., 2004. "Exchange rate expectations: controlled experiments with artificial traders," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 283-304, March.
  68. John Duffy, 2008. "Macroeconomics: A Survey of Laboratory Research," Working Papers 334, University of Pittsburgh, Department of Economics, revised Jun 2014.
  69. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  70. John Duffy, 1998. "Monetary theory in the laboratory," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 9-26.
  71. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2012. "Costs and Benefits of Speculation," Discussion Papers 2012/12, Department of Business and Management Science, Norwegian School of Economics.
  72. Riechmann, Thomas, 2001. "Genetic algorithm learning and evolutionary games," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 1019-1037, June.
  73. Gagnon, Gregory, 2004. "Exchange rate fluctuations in an economy with noise traders," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 45-63, March.
  74. Kirill Chernomaz, 2014. "Adaptive learning in an asymmetric auction: genetic algorithm approach," Journal of Economic Interaction and Coordination, Springer, vol. 9(1), pages 27-51, April.
  75. Tong Zhang & B. Brorsen, 2011. "Oligopoly firms with quantity-price strategic decisions," Journal of Economic Interaction and Coordination, Springer, vol. 6(2), pages 157-170, November.
  76. Sylvie Geisendorf, 2011. "Internal selection and market selection in economic Genetic Algorithms," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 817-841, December.
  77. Thomas Lux, 2006. "Applications of Statistical Physics in Finance and Economics," Working Papers wpn06-07, Warwick Business School, Finance Group.
  78. Christopher Boyer & B. Brorsen, 2014. "Implications of a Reserve Price in an Agent-Based Common-Value Auction," Computational Economics, Society for Computational Economics, vol. 43(1), pages 33-51, January.
  79. Jie-Shin Lin, 2005. "Learning in a Network Economy," Computational Economics, Society for Computational Economics, vol. 25(1), pages 59-74, February.
  80. Leombruni, Roberto & Richiardi, Matteo, 2005. "Why are economists sceptical about agent-based simulations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 103-109.
  81. repec:dgr:uvatin:2012015 is not listed on IDEAS
  82. James Bullard & John Duffy, 1995. "On learning and the stability of cycles," Working Papers 1995-006, Federal Reserve Bank of St. Louis.
  83. Lettau, Martin, 1997. "Explaining the facts with adaptive agents: The case of mutual fund flows," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1117-1147, June.
  84. Arifovic, Jasmina & Maschek, Michael K., 2012. "Currency crisis: Evolution of beliefs and policy experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 131-150.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.