Author(s) / Editor(s): 
Alejandro ReveizSebastián Rojas

The case for active management from the perspective of Complexity Theory

Marzo
2008

This paper approaches active management of baskets of currencies from the perspective of Complexity theory, where the market is analysed as a Complex Adaptive system. A basket of currencies is constructed using objective probabilities (propensities) and an artificial intelligence optimization technique that allows for implicit learning of correlations dynamics. Statistical tests of the diversification benefit are presented.

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