Prediction of stock markets by the evolutionary mix-game model
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 387 (2008)
Issue (Month): 14 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
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: (Zhang, Lei)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 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.