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Multi-agent based analysis of financial data

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  • Tom\'a\v{s} Tok\'ar
  • Denis Horv\'ath
  • Michal Hnatich
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    Abstract

    In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the stochastic time-varying environments represented by the real currency-exchange time series. The time varying population and its statistical characteristics have been analyzed in the non-interacting and interacting cases. The outputs of our analysis are presented in the form of the mean life-times, mean utilities and corresponding distributions. They show that populations are susceptible to the strength and form of inter-agent interaction. We believe that our results will be useful for the development of the robust adaptive prediction systems.

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    File URL: http://arxiv.org/pdf/1110.2603
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1110.2603.

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    Date of creation: Oct 2011
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    Handle: RePEc:arx:papers:1110.2603

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    Web page: http://arxiv.org/

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