Up: 1:2

Financial Turbulence, Business Cycles and Intrinsic Time in an Artificial Economy

Carlos Pedro Gonçalves

Algorithmic Finance (2011), 1:2, 141-156
DOI: 10.3233/AF-2011-011

Published: Abstract, PDF.
Archived: SSRN.

Abstract

The coevolving coupled dynamics of financial markets and real economies is addressed through an integrated model of an artificial economy in which a population of competing companies have their shares traded in a financial market dominated by value investors and arbitrageurs that evaluate the companies’ performance and adapt to market conditions. The coevolution between economy and financial market is operationalized through a quantum game that has by classical limit a coupled map lattice model with economic and financial chaotic dynamics. The connection between the business cycle, financial intrinsic time and scaling patterns of financial turbulence is addressed.

Enhanced Content

Simulation model is available.
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Explanatory video is also available:

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Philip Maymin

University of Bridgeport

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Jayaram Muthuswamy

Kent State University

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Kenneth J. Arrow

Stanford University

Herman Chernoff

Harvard University

David S. Johnson

AT&T Labs Research

Leonid Levin

Boston University

Myron Scholes

Stanford University

Michael Sipser

Massachusetts Institute of Technology

Richard Thaler

University of Chicago

Stephen Wolfram

Wolfram Research

Editorial Board

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Peter Bossaerts

California Institute of Technology

Emanuel Derman

Columbia University

Ming-Yang Kao

Northwestern University

Pete Kyle

University of Maryland

David Leinweber

Lawrence Berkeley National Laboratory

Richard J. Lipton

Georgia Tech

Avi Silberschatz

Yale University

Robert Webb

University of Virginia

Affiliate Editors

Giovanni Barone-Adesi

University of Lugano

Bruce Lehmann

University of California, San Diego

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Online ISSN: 2157-6203
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