Exchange Rate Volatility in the Artiicial Foreign Exchange Market
نویسندگان
چکیده
This paper studies co-evolution of di erent decision rules in an arti cial foreign exchange market. The behavior of the exchange rate depends on the type of decision rules that agents use. Evolution of the moving average and least squares forecasting techniques results in a speculative attack on one of the currencies and that currency's eventual collapse. Addition of the rules that evolve the portfolio fractions directly brings in persistent volatility of the exchange rate that resembles the actual exchange rates time series.
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