Exchange Rate Volatility in the Artificial Foreign Exchange Market

@inproceedings{Arifovic2002ExchangeRV,
  title={Exchange Rate Volatility in the Artificial Foreign Exchange Market},
  author={Jasmina Arifovic},
  year={2002}
}
This paper studies co-evolution of different decision rules in an artificial 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… CONTINUE READING

Citations

Publications citing this paper.