20,186 research outputs found

    Genetic learning as an explanation of stylized facts of foreign exchange markets

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    This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 – 541) we investigate a dynamic version of the model in which agents? decision rules are updated using genetic algorithms. Our main interest is in whether the equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates (unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated data indicates that for particular parameterizations, the characteristics of the exchange rate dynamics are, in fact, very similar to those of empirical data. The similarity appears to be quite insensitive with respect to some of the ingredients of the GA algorithm (i.e. utility-based versus rank-based or tournament selection, binary or real coding). However, appearance or not of realistic time series characteristics depends crucially on the mutation probability (which should be low) and the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its realistic appearance and instead exhibits regular periodic oscillations of the agents? choice variables. --learning , genetic algorithms , exchange rate dynamics

    Genetic learning as an explanation of stylized facts of foreign exchange markets

    Get PDF
    This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510-541) we investigate a dynamic version of the model in which agents' decision rules are updated using genetic algorithms. Our main interest is in whether the equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates (unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated data indicates that for particular parameterizations, the characteristics of the exchange rate dynamics are, in fact, very similar to those of empirical data. The similarity appears to be quite insensitive with respect to some of the ingredients of the GA algorithm (i.e. utilitybased versus rank-based or tournament selection, binary or real coding). However, appearance or not of realistic time series characteristics depends crucially on the mutation probability (which should be low) and the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its realistic appearance and instead exhibits regular periodic oscillations of the agents' choice variables. -- Dieses Papier betrachtet das Kareken-Wallace-Modell für die Wechselkursbildung in einer Welt mit 2 Ländern und sich überlappenden Generationen. In der Nachfolge des zukunftsweisenden Papiers von Arifovic (1996) untersuchen wir eine dynamische Version des Modells bei dem die Entscheidungsregeln mithilfe genetischer Algorithmen jeweils aktualisiert werden. Unser Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann, die wichtigsten stilisierten Fakten von flexiblen Wechselkursen zu erklären (Einheitswurzeln bei den Niveaus mit dicken Enden der Ertragsverteilung und Klumpenbildung bei den Volatilitäten). Unsere Analyse simulierter Daten weist darauf hin, dass für bestimmte Parametrisierungen der Charakter der Wechselkursdynamik tatsächlich dem von empirischen Daten sehr ähnlich ist. Die Ähnlichkeit scheint sehr wenig von speziellen Eigenschaften des gewählten GA-Algorithmus abzuhängen (z. B. nutzenbasiert versus rangbasiert, binäre oder reale Kodierung). Dagegen ist die Mutationswahrscheinlichkeit (die niedrig sein sollte) und die Anzahl der Agenten (die nicht größer als 1000 sein sollte) wichtig. Mit mehr Teilnehmern verliert die kollektive Lerndynamik ihr realistisches Aussehen und es kommt zu regelmäßigen periodischen Schwankungen bei den Variablen, die die Agenten auswählen.Learning,Genetic algorithms,Exchange rate dynamics

    Metaheuristic design of feedforward neural networks: a review of two decades of research

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    Over the past two decades, the feedforward neural network (FNN) optimization has been a key interest among the researchers and practitioners of multiple disciplines. The FNN optimization is often viewed from the various perspectives: the optimization of weights, network architecture, activation nodes, learning parameters, learning environment, etc. Researchers adopted such different viewpoints mainly to improve the FNN's generalization ability. The gradient-descent algorithm such as backpropagation has been widely applied to optimize the FNNs. Its success is evident from the FNN's application to numerous real-world problems. However, due to the limitations of the gradient-based optimization methods, the metaheuristic algorithms including the evolutionary algorithms, swarm intelligence, etc., are still being widely explored by the researchers aiming to obtain generalized FNN for a given problem. This article attempts to summarize a broad spectrum of FNN optimization methodologies including conventional and metaheuristic approaches. This article also tries to connect various research directions emerged out of the FNN optimization practices, such as evolving neural network (NN), cooperative coevolution NN, complex-valued NN, deep learning, extreme learning machine, quantum NN, etc. Additionally, it provides interesting research challenges for future research to cope-up with the present information processing era

    State-of-the-art in aerodynamic shape optimisation methods

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    Aerodynamic optimisation has become an indispensable component for any aerodynamic design over the past 60 years, with applications to aircraft, cars, trains, bridges, wind turbines, internal pipe flows, and cavities, among others, and is thus relevant in many facets of technology. With advancements in computational power, automated design optimisation procedures have become more competent, however, there is an ambiguity and bias throughout the literature with regards to relative performance of optimisation architectures and employed algorithms. This paper provides a well-balanced critical review of the dominant optimisation approaches that have been integrated with aerodynamic theory for the purpose of shape optimisation. A total of 229 papers, published in more than 120 journals and conference proceedings, have been classified into 6 different optimisation algorithm approaches. The material cited includes some of the most well-established authors and publications in the field of aerodynamic optimisation. This paper aims to eliminate bias toward certain algorithms by analysing the limitations, drawbacks, and the benefits of the most utilised optimisation approaches. This review provides comprehensive but straightforward insight for non-specialists and reference detailing the current state for specialist practitioners

    Meta-heuristic algorithms in car engine design: a literature survey

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    Meta-heuristic algorithms are often inspired by natural phenomena, including the evolution of species in Darwinian natural selection theory, ant behaviors in biology, flock behaviors of some birds, and annealing in metallurgy. Due to their great potential in solving difficult optimization problems, meta-heuristic algorithms have found their way into automobile engine design. There are different optimization problems arising in different areas of car engine management including calibration, control system, fault diagnosis, and modeling. In this paper we review the state-of-the-art applications of different meta-heuristic algorithms in engine management systems. The review covers a wide range of research, including the application of meta-heuristic algorithms in engine calibration, optimizing engine control systems, engine fault diagnosis, and optimizing different parts of engines and modeling. The meta-heuristic algorithms reviewed in this paper include evolutionary algorithms, evolution strategy, evolutionary programming, genetic programming, differential evolution, estimation of distribution algorithm, ant colony optimization, particle swarm optimization, memetic algorithms, and artificial immune system

    Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması

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    Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized
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