Intelligent Systems for Economics Digest (IE-Digest) ---------------------------------------------------- ______ Tuesday, October 20, 1992 Issue No. 1 ____ -- Send contributions to: IE-list@cs.ucl.ac.uk -- Send administrative requests to: IE-list-request@cs.ucl.ac.uk (For users in the UK, IE-list-request@uk.ac.ucl.cs IE-list@uk.ac.ucl.cs) -- The anonymous ftp archive: cs.ucl.ac.uk (128.16.5.31) the directory name is: ie Today's Topics: - Scale Invariance in Financial Markets - Credit Monetary System Simulations - MBR as a relevant technique - Chaos and Financial Markets ----------------------------------------------------------------------------- Date: Mon, 21 Sep 1992 15:46:12 +0200 From: Louis Laborelli Subject: Scale invariance in Financial markets . I would like to know if the idea of invariance modulo scale (temporal and others) is important in the Forecasting and modelling of Financial Markets. If this is true, what techniques are avalaible to cope with that ? Are wawelets specialists on line with experience on the subject ? Are more traditional linear techniques useful when there are temporal scale variations ? (ie Kalman Filtering...) Thanks for any information . Ps: I am a novice in financial forecasting, being a specialist of neural nets in vision. Louis Laborelli Universite de Nice Sophia Antipolis / phone: (33) 92 94 26 89 I3S LISAN - CNRS Batiment 4 \ telex: GRP 970006F 250 rue Albert Einstein / fax: (33) 92 94 28 98 Sophia Antipolis \ e-mail:laborel@zig.inria.fr 06560 Valbonne FRANCE / or laborell@mimosa.unice.fr --------------------------------------------------------------------------- Date: Sat, 26 Sep 92 14:00:59 +1000 From: rohan@au.edu.monash.cs.bruce (Rohan Baxter) Subject: Credit Monetary System Simulations Credit Monetary System Simulation We are investigating the behaviour of some models of endogenous money. The models of money used are based on the insight that money is essentially a credit instrument for low-cost transacting [1]. Monetary history seems to support this view, as we see the move from gold-backed money, to fiat currency and to a hybrid of fiat and bank money [2]. Homogenous electronic bank deposits and electronic currency (using smart cards) represent a possible future evolutionary step in our modern monetary systems [3]. Endogenous credit money models encompass this future system better than classical monetary models. Our simulations hope to gain insights into the dynamic behaviour of these models, the optimal institutional frameworks for their implementation, and decision criteria for credit money creation. Our simulation implementation faces issues such as how to model the behaviour of its economic agents, their markets and trading patterns. One approach we have been using is to use human players. The next more practical step for extensive modelling will be to substitute artificial agents. We would like to hear from others modelling artificial economies, their aims and approaches. We have an extensive bibtex bibliography and latex papers describing our project. [1] Heinsohn,G. and Steiger,O.(1989),``The Veil of Barter: The Solution to `The Task of Obtaining Representations of an Economy in which Money is Essential'.'', in Kregel,J.A.(ed),Inflation and Income Distribution in Capitalist Crisis,New York University Press,New York. [2] Goldschlager,L.M. and Baxter,R.(1992),`The Evolution of a Pure Credit Monetary System',21st Conference of Economists,Melbourne. [3] Goldschlager,L.M.(1991),`What is Money?',Technical Report 91/175, Department of Computer Science,Monash University. Rohan Baxter, rohan@molly.cs.monash.edu.au ph. (03) 565 5211 Department of Computer Science Monash University, Clayton, 3168, Australia. ------------------------------------------------------------------------ Date: Tue, 15 Sep 92 16:43:47 +0200 From: tusveld@nl.ict (Fred Tusveld) Subject: MBR as a relevant technique? I just read the announcement of this list. I wondered why more symbolic AI techniques aren't listed as relevant . More specifically, I know of some research trying to apply model-based reasoning and qualitative reasoning to financial and economical modeling. And another one I missed is reinforcement learning. Thanks in advance. Fred Tusveld ICT Automatisering Deventer BV - Aerospace Department tel. +31 5700 33888 fax. +31 5700 21362 Keulenstraat 7, P.O. Box 701, 7400 AS Deventer The Netherlands email : tusveld@ict.nl ----------------------------------------------------------------------------- Date: Tue, 15 Sep 92 22:22:15 PDT From: park@com.netcom (Bill Park) Here's a tidbit to start the list off, from the Tuesday, September 15, 1992 issue of the San Francisco Chronicle, page B1 (Business Section), Herb Greenberg's column "Business Insider." "Total chaos: Last Tuesday, Michael Sarfatti of Fractal markets in San Francisco faxed over some charts indicating that he called eight market turns correctly in the past three months, based on a complex mathematical theory known as chaos. 'It appears like it's about to happen again,' he wrote at the time. The 'it' he was talking about is the market's tendency to make a significant move within a few days after his computer flashes an alert. "Since then the market has jumped 118 points." [ The Dow Jones Industrial average is at 3,349 today. The DJ 65 stock average is at 1,173. ] ---------------------------------------------------------------------- *** End of IE-Digest ***