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

17 Pages Posted: 12 Feb 2012 Last revised: 22 Oct 2012

Carlos Pedro dos Santos Gonçalves

Instituto Superior de Ciências Sociais e Políticas, University of Lisbon

Date Written: February 10, 2012

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 available, see PDF for details.

Suggested Citation

Gonçalves, Carlos Pedro dos Santos, Financial Turbulence, Business Cycles and Intrinsic Time in an Artificial Economy (February 10, 2012). Algorithmic Finance (2012), 1:2, 141-156. Available at SSRN: https://ssrn.com/abstract=2002698 or http://dx.doi.org/10.2139/ssrn.2002698

Carlos Pedro Dos Santos Gonçalves (Contact Author)

Instituto Superior de Ciências Sociais e Políticas, University of Lisbon ( email )

Rua Almerindo Lessa
1300-663 Lisboa
Portugal

HOME PAGE: http://sites.google.com/site/carlospedrogoncalves/

Paper statistics

Downloads
130
Rank
177,503
Abstract Views
1,021