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Multi-agent based analysis of financial data

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Listed:
  • Tom'av{s} Tok'ar
  • Denis Horv'ath
  • Michal Hnatich

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.

Suggested Citation

  • Tom'av{s} Tok'ar & Denis Horv'ath & Michal Hnatich, 2011. "Multi-agent based analysis of financial data," Papers 1110.2603, arXiv.org.
  • Handle: RePEc:arx:papers:1110.2603
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    File URL: http://arxiv.org/pdf/1110.2603
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