Statistical properties of genetic learning in a model of exchange rate

Simple item page
dc.citation.epage1005en_US
dc.citation.issueNumber5-7en_US
dc.citation.spage981en_US
dc.citation.volumeNumber24en_US
dc.contributor.authorArifovic, J.en_US
dc.contributor.authorGençay, R.en_US
dc.date.accessioned2015-07-28T11:56:28Z
dc.date.available2015-07-28T11:56:28Z
dc.date.issued2000en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractWe study statistical properties of the time series of the exchange rate data generated in the environment where agents update their savings and portfolio decisions using the genetic algorithm. The genetic algorithm adaptation takes place within an overlapping generations model with two currencies and the free-trade, flexible exchange rate system. The theoretical model implies a constant exchange rate under the perfect foresight assumption. Under the genetic algorithm learning, the model's equilibrium dynamics is not constant but exhibits bounded oscillations. The time series analysis of the data indicates that the dynamics of the exchange rate returns is chaotic. Out-of-equilibrium inequality of rates of return on two currencies prompts the genetic algorithm agents to take advantage of the arbitrage opportunities by increasing the amount of the currency with higher rate of return in their portfolios. This profit seeking results in chaotic patterns of the exchange rate series. (C) 2000 Elsevier Science B.V. All rights reserved.en_US
dc.description.provenanceMade available in DSpace on 2015-07-28T11:56:28Z (GMT). No. of bitstreams: 1 10.1016-S0165-1889(99)00033-0.pdf: 215927 bytes, checksum: 3a6d85c49fe910523af7948b313843cf (MD5)en
dc.identifier.doi10.1016/S0165-1889(99)00033-0en_US
dc.identifier.issn0165-1889
dc.identifier.urihttp://hdl.handle.net/11693/10985
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/S0165-1889(99)00033-0en_US
dc.source.titleJournal of Economic Dynamics and Controlen_US
dc.subjectAlgorithmen_US
dc.subjectEconomiesen_US
dc.subjectStabilityen_US
dc.subjectAgentsen_US
dc.titleStatistical properties of genetic learning in a model of exchange rateen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
10.1016-S0165-1889(99)00033-0.pdf
Size:
210.87 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Department of Economics