المستودع الأكاديمي جامعة المدينة

Genetic learning as an explanation of stylized facts of foreign exchange markets

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dc.creator Lux, Thomas
dc.creator Schornstein, Sascha
dc.date 2003
dc.date.accessioned 2013-10-16T06:55:40Z
dc.date.available 2013-10-16T06:55:40Z
dc.date.issued 2013-10-16
dc.identifier Economics working paper Institut für Volkswirtschaftslehre, Kiel 2003,12
dc.identifier urn:nbn:de:101:1-200911021965
dc.identifier http://hdl.handle.net/10419/3030
dc.identifier ppn:368180301
dc.identifier ppn:368180301
dc.identifier RePEc:zbw:cauewp:1122
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/3030
dc.description 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? choice variables.
dc.language eng
dc.publisher Institut für Volkswirtschaftslehre, Kiel
dc.relation Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2003,12
dc.relation Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2003,12
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject D83
dc.subject F31
dc.subject D84
dc.subject ddc:330
dc.subject learning , genetic algorithms , exchange rate dynamics
dc.subject Wechselkurs
dc.subject Volatilität
dc.subject Monetäre Wechselkurstheorie
dc.subject Overlapping Generations
dc.subject Zwei-Länder-Modell
dc.subject Lernprozess
dc.subject Heuristisches Verfahren
dc.subject Zeitreihenanalyse
dc.subject Theorie
dc.title Genetic learning as an explanation of stylized facts of foreign exchange markets
dc.type doc-type:workingPaper


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