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Application of multi-agent games to the prediction of financial time-series

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Author Info
N. F. Johnson
D. Lamper
P. Jefferies
M. L. Hart
S. Howison
Abstract

We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.

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File URL: http://arxiv.org/abs/cond-mat/0105303
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0105303.

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Date of creation: May 2001
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Handle: RePEc:arx:papers:cond-mat/0105303

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  1. Derveeuw, Julien, 2005. "Market dynamics and agents behaviors: a computational approach," MPRA Paper 4916, University Library of Munich, Germany. [Downloadable!]
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