Prediction of stock markets by the evolutionary mix-game model
AbstractThis paper presents the efforts of using the evolutionary mix-game model, which is a modified form of the agent-based mix-game model, to predict financial time series. Here, we have carried out three methods to improve the original mix-game model by adding the abilities of strategy evolution to agents, and then applying the new model referred to as the evolutionary mix-game model to forecast the Shanghai Stock Exchange Composite Index. The results show that these modifications can improve the accuracy of prediction greatly when proper parameters are chosen.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 387 (2008)
Issue (Month): 14 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Forecasting of stock markets; Mix-game model; Evolutionary mix-game model; Adaptability;
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