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## Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets (2002)

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Venue: | Journal of Mathematical Economics |

Citations: | 29 - 6 self |

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Citation Context ...ion of the choice variables. In our case, a real-coded chromosome would, therefore, consist of a pair {ci(t), fi(t)}. Mutatis mutandis, similar genetic operations can be defined for this variant (cf. =-=Herrera et al., 1998-=-, for an overview on real-coded GAs). First, reproduction occurs in the same way as with binary GAs. As for cross-over, a number of alternative mechanisms have been proposed in the literature. Here, w... |

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Citation Context ...shares in different assets are equal to the expected relative pay-offs of these assets. Under uncertain subjective beliefs about pay-offs, Bayesian learners dominate other types of adaptive behavior (=-=Blume and Easley, 1992-=-). While Blume and Easley had shown the dominance of the ‘betting your belief’ strategy in the case of Arrow securities, Hens and Schenk-Hoppé (2003) have been able to generalize this result for arbit... |

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Citation Context ...experimentation with different strategies. It seems worthwhile to note that results of GA dynamics and experimental results from analogous economic setting have been found to be surprisingly similar (=-=Arifovic, 1996-=-). This suggests that GAs do capture some salient features of learning in humans. i 8sin an interval between two randomly chosen bits) and uniform cross-over (the two offsprings are random recombinati... |

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Citation Context ...ative efficiency of foreign exchange markets, which simply means one interprets the foreign exchange market as an informationally efficient market in the sense of the Efficient Market Hypothesis (cf. =-=Bilson, 1981-=-). While from this perspective the unit-root property may not be viewed as a conundrum, other well-known features have defied straightforward explanations until recently. The most pervasive ones are t... |

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Citation Context ...optimization problem from an existing ‘population’ of randomly initiated candidate solutions. Typically, the proposed solutions have been encoded in strings (chromosomes) using a binary alphabet (see =-=Dawid, 1999-=- for a general introduction). This is also the structure of the GAs applied in Arifovic and Gencay (2000). Each individual’s decisions are encoded in a binary string of length l=30, whose first twenty... |

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Citation Context ...ng earlier findings. Namely, a number of studies have revealed that existing multi-agent models of financial markets loose their realistic time series properties when increasing the number of agents (=-=Egenter et al., 1999-=-; Yeh, 2001, Challet and Marsili, 2002). Since published work on 3sartificial markets with GA learning has used only a very limited number of agents, typically below 100, it seems worthwhile to explor... |

20 | Statistical properties of genetic learning in a model of exchange rate - Arifovic, Gencay |

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Finite-Size Effects in Monte Carlo
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Citation Context ...ng earlier findings. Namely, a number of studies have revealed thatsexisting multi-agent models of financial markets loose their realistic time series properties whensincreasing the number of agents (=-=Egenter et al., 1999-=-; Yeh, 2001, Challet and Marsili, 2002). Sincespublished work on artificial markets with GA learning has used only a very limited number of agents,stypically below 100, it seems worthwhile to explore ... |

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