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Application of the consensus method in a multiagent financial decision support system

Author

Listed:
  • Marcin Hernes

    (Wrocław University of Economics)

  • Jadwiga Sobieska-Karpińska

    (The Witelon State University of Applied Sciences in Legnica)

Abstract

Financial decisions are supported by different methods, based mainly on statistics, mathematics, behaviorism, artificial intelligence or experts’ opinion sentiment analysis. The main problem is that under conditions of risk and uncertainty predicting financial markets can be very difficult. This paper presents an approach to investment strategy design for a multiagent system which supports investment decisions on the stock market. Individual components and functionalities of the multiagent financial decision support system method have been briefly described. On the basis of decisions generated by agents, the Supervisor Agent uses a consensus method to generate a satisfactory rate of return and reduce the level of risk associated with investing in a financial instrument. Verification of the effectiveness of the strategy has been conducted using investments on the Warsaw Stock Exchange.

Suggested Citation

  • Marcin Hernes & Jadwiga Sobieska-Karpińska, 2016. "Application of the consensus method in a multiagent financial decision support system," Information Systems and e-Business Management, Springer, vol. 14(1), pages 167-185, February.
    • Handle: RePEc:spr:infsem:v:14:y:2016:i:1:d:10.1007_s10257-015-0280-9
    DOI: 10.1007/s10257-015-0280-9
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    References listed on IDEAS

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    3. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 37(1), pages 35-43.
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