EconPapers    
Economics at your fingertips  
 

Artificial Markets under a Complexity Perspective

Alejandro Reveiz ()

BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA

Abstract: The focus of this study is to build, from the `bottom-up´, a market with artificiallyintelligent adaptive agents based on the institutional arrangement of the ColombianForeign Exchange Market (1994-1999) in order to determine simple agents´ design,rules and interactions that are sufficient to create interesting behaviours at themacroscopic level - emerging patterns that replicate the properties of the time seriesfrom the case study.Tools from artificial intelligence research, such as genetic algorithms and fuzzy logic,are the basis of the agents´ mental models, which in turn are used for forecasting,quoting and learning purposes in a double auction market. Sets of fuzzy logic rules yieldadequate, approximately continuous risk and utility preferences without the need to fixtheir mathematical form ex-ante.Statistical properties of financial time series are generated by the artificial market, aswell as some additional non-linearity linked to the existence of a crawling band.Moreover, the behaviour of the simulated exchange rate is consistent with currencyband theory.Agent´s learning favours forecasting rules based on regulatory signals against rulesbased on fundamental information. Also, intra-day volatility is strongly linked to therate of arrival and size of real sector trades. Intra-day volatility is also a function of thefrequency of learning and search specialisation. It is found that when a moderately lowfrequency of learning is used, volatility increases.

Keywords: adaptive agents; artificial markets; constrained generating procedures; fuzzy logic and genetic algorithms. (search for similar items in EconPapers)
JEL-codes: G1 G12 G39 (search for similar items in EconPapers)
Pages: 40
Date: 2008-04-17
New Economics Papers: this item is included in nep-cbe and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.banrep.gov.co/docum/ftp/borra510.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.banrep.gov.co/docum/ftp/borra510.pdf [301 Moved Permanently]--> https://www.banrep.gov.co/docum/ftp/borra510.pdf)

Related works:
Working Paper: Artificial Markets under a Complexity Perspective (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000094:004616

Access Statistics for this paper

More papers in BORRADORES DE ECONOMIA from BANCO DE LA REPÚBLICA
Bibliographic data for series maintained by Clorith Angélica Bahos Olivera ().

 
Page updated 2022-07-28
Handle: RePEc:col:000094:004616