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

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

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.

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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)

Lusophone University of Humanities and Technologies ( email )

Campo Grande 376, 1749-024 Lisbon, Portugal
Lisbon
Portugal

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