IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v387y2008i14p3594-3604.html
   My bibliography  Save this article

Prediction of stock markets by the evolutionary mix-game model

Author

Listed:
  • Chen, Fang
  • Gou, Chengling
  • Guo, Xiaoqian
  • Gao, Jieping

Abstract

This 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.

Suggested Citation

  • Chen, Fang & Gou, Chengling & Guo, Xiaoqian & Gao, Jieping, 2008. "Prediction of stock markets by the evolutionary mix-game model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3594-3604.
  • Handle: RePEc:eee:phsmap:v:387:y:2008:i:14:p:3594-3604
    DOI: 10.1016/j.physa.2008.02.023
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S037843710800188X
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.
    2. Paul Jefferies & Michael Hart & Neil Johnson & P.M. Hui, 2001. "From market games to real-world markets," OFRC Working Papers Series 2001mf02, Oxford Financial Research Centre.
    3. Johnson, Neil F. & Lamper, David & Jefferies, Paul & Hart, Michael L. & Howison, Sam, 2001. "Application of multi-agent games to the prediction of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 222-227.
    4. Marsili, Matteo, 2001. "Market mechanism and expectations in minority and majority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 93-103.
    5. Zhou, Wei-Xing & Sornette, Didier, 2004. "Antibubble and prediction of China's stock market and real-estate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
    6. Neil F. Johnson & David Lamper & Paul Jefferies & Michael L. Hart & Sam Howison, 2001. "Application of multi-agent games to the prediction of financial time-series," OFRC Working Papers Series 2001mf04, Oxford Financial Research Centre.
    7. N. F. Johnson & D. Lamper & P. Jefferies & M. L. Hart & S. Howison, 2001. "Application of multi-agent games to the prediction of financial time-series," Papers cond-mat/0105303, arXiv.org.
    8. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
    9. Gou, Chengling, 2006. "Deduction of initial strategy distributions of agents in mix-game models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 633-640.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J. Wiesinger & D. Sornette & J. Satinover, 2013. "Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 41(4), pages 475-492, April.
    2. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2008. "Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model," CESifo Working Paper Series 2444, CESifo Group Munich.
    3. Karol Wawrzyniak & Wojciech Wi'slicki, 2013. "Grand canonical minority game as a sign predictor," Papers 1309.3399, arXiv.org.
    4. Bartoš, Erik & Pinčák, Richard, 2017. "Identification of market trends with string and D2-brane maps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 57-70.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:387:y:2008:i:14:p:3594-3604. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.