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Displaying results 1 to 6 of 6.

  1. Genetic learning as an explanation of stylized facts of foreign exchange markets
    Author: Lux, Thomas; Schornstein, Sascha
    Published: 2002
    Publisher:  Dt. Bundesbank, Frankfurt am Main

    This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 - 541) we investigate a dynamic version of... more

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    Universitätsbibliothek Braunschweig
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    3496-0174
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    WP 6-2002/29
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 935 (02.29)
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    ifo Institut für Wirtschaftsforschung an der Universität München, Bibliothek
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    This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 - 541) we investigate a dynamic version of the model in which agents' decision rules are updated using genetic algorithms. Our main interest is in whether the equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates (unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated data indicates that for particular parameterizations, the characteristics of the exchange rate dynamics are, in fact, very similar to those of empirical data. The similarity appears to be quite insensitive with respect to some of the ingredients of the GA algorithm (i.e. utility-based versus rank-based or tournament selection, binary or real coding). However, appearance or not of realistic time series characteristics depends crucially on the mutation probability (which should be low) and the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its realistic appearance and instead exhibits regular periodic oscillations of the agents'y choice variables.

     
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    Source: Union catalogues
    Language: German; English
    Media type: Book
    Format: Print
    ISBN: 3935821387
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2002,29
    Subjects: Wechselkurs; Volatilität; Monetäre Wechselkurstheorie; Overlapping Generations; Zwei-Länder-Modell; Lernprozess; Heuristik; Zeitreihenanalyse; Theorie; Genetische Algorithmen
    Scope: 40 S, graph. Darst
    Notes:

    Zsfassungen in dt. und engl. Sprache. - Literaturverz. S. 32 - 34
  2. The Santa Fe artificial stock market re-examined
    suggested corrections
    Author: Ehrentreich, Norman
    Published: 2002
    Publisher:  Martin-Luther-Universität Halle-Wittenberg, Wirtschaftswissenschaftliche Fakultät, Halle (Saale)

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    Staats- und Universitätsbibliothek Bremen
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 3860106635
    Series: Betriebswirtschaftliche Diskussionsbeiträge ; 45
    Subjects: Aktienmarkt; Experiment; Heuristik; Theorie; Prognosemarkt; Genetische Algorithmen
    Scope: 22, 6 S, graph. Darst, 30 cm
    Notes:

    Literaturverz. S. 20 - 22
  3. Genetic algorithms
    a tool for optimization in econometrics ; basic concept and an example for empirical applications
    Author: Czarnitzki, Dirk; Doherr, Thorsten
    Published: 2002
    Publisher:  ZEW, Mannheim

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    bc 1298-2002,41
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 02-41
    Subjects: Ökonometrie; Heuristik; Regressionsanalyse; Theorie; Genetische Algorithmen; censored least absolute deviation model
    Scope: 24 S, graph. Darst, a
    Notes:

    Internetausg.: ftp://ftp.zew.de/pub/zew-docs/dp/dp0241.pdf
  4. The Santa Fe artificial stock market re-examined - suggested corrections
    Author: Ehrentreich, Norman
    Published: 2002
    Publisher:  Martin-Luther-Univ. Halle-Wittenberg, Wirtschaftswiss. Fak., Halle (Saale)

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9783860106631; 3860106635
    DDC Categories: 330; 380; 650; 670
    Series: Betriebswirtschaftliche Diskussionsbeiträge ; Beitr. Nr. 45
    Subjects: Aktienmarkt; Experiment; Heuristik; Theorie; Prognosemarkt
    Other subjects: (stw)Aktienmarkt; (stw)Experiment; (stw)Heuristik; (stw)Theorie; (stw)Prognosemarkt; Genetische Algorithmen; Arbeitspapier; Graue Literatur; Buch
    Scope: 22 S., graph. Darst., 30 cm
    Notes:

    Literaturverz. S. 20 - 22
  5. Genetic learning as an explanation of stylized facts of foreign exchange markets
    Author: Lux, Thomas; Schornstein, Sascha
    Published: November 2002
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510-541) we investigate a dynamic version of... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 12 (2002,29)
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    Universitätsbibliothek Osnabrück
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    This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510-541) we investigate a dynamic version of the model in which agents' decision rules are updated using genetic algorithms. Our main interest is in whether the equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates (unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated data indicates that for particular parameterizations, the characteristics of the exchange rate dynamics are, in fact, very similar to those of empirical data. The similarity appears to be quite insensitive with respect to some of the ingredients of the GA algorithm (i.e. utilitybased versus rank-based or tournament selection, binary or real coding). However, appearance or not of realistic time series characteristics depends crucially on the mutation probability (which should be low) and the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its realistic appearance and instead exhibits regular periodic oscillations of the agents' choice variables. Dieses Papier betrachtet das Kareken-Wallace-Modell für die Wechselkursbildung in einer Welt mit 2 Ländern und sich überlappenden Generationen. In der Nachfolge des zukunftsweisenden Papiers von Arifovic (1996) untersuchen wir eine dynamische Version des Modells bei dem die Entscheidungsregeln mithilfe genetischer Algorithmen jeweils aktualisiert werden. Unser Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann, die wichtigsten stilisierten Fakten von flexiblen Wechselkursen zu erklären (Einheitswurzeln bei den Niveaus mit dicken Enden der Ertragsverteilung und Klumpenbildung bei den Volatilitäten). Unsere Analyse simulierter Daten weist darauf hin, dass für bestimmte Parametrisierungen der Charakter der Wechselkursdynamik tatsächlich dem von empirischen Daten sehr ähnlich ist. Die Ähnlichkeit scheint sehr wenig von speziellen Eigenschaften des gewählten GA-Algorithmus abzuhängen (z. B. nutzenbasiert versus rangbasiert, binäre oder reale Kodierung). Dagegen ist die Mutationswahrscheinlichkeit (die niedrig sein sollte) und die Anzahl der Agenten (die nicht größer als 1000 sein sollte) wichtig. Mit mehr Teilnehmern verliert die kollektive Lerndynamik ihr realistisches Aussehen und es kommt zu regelmäßigen periodischen Schwankungen bei den Variablen, die die Agenten auswählen.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/2926
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 02/29
    Subjects: Wechselkurs; Volatilität; Monetäre Wechselkurstheorie; Overlapping Generations; Zwei-Länder-Modell; Lernprozess; Heuristik; Zeitreihenanalyse; Theorie; Genetische Algorithmen
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  6. Genetic algorithms
    a tool for optimization in econometrics : basic concept and an example for empirical applications
    Author: Czarnitzki, Dirk; Doherr, Thorsten
    Published: July 2002
    Publisher:  ZEW, Mannheim

    This paper discusses a tool for optimization of econometric models based on genetic algorithms. First, we briefly describe the concept of this optimization technique. Then, we explain the design of a specifically developed algorithm and apply it to a... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 15 (2002,41)
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    This paper discusses a tool for optimization of econometric models based on genetic algorithms. First, we briefly describe the concept of this optimization technique. Then, we explain the design of a specifically developed algorithm and apply it to a difficult econometric problem, the semiparametric estimation of a censored regression model. We carry out some Monte Carlo simulations and compare the genetic algorithm with another technique, the iterative linear programming algorithm, to run the censored least absolute deviation estimator. It turns out that both algorithms lead to similar results in this case, but that the proposed method is computationally more stable than its competitor.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/24644
    Series: ZEW discussion paper ; no. 02-41
    Subjects: Ökonometrie; Heuristik; Regressionsanalyse; Theorie; Genetische Algorithmen; censored least absolute deviation model
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen