IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model

  • Serge Hayward

Price forecasting and trading strategies modelling are examined with major international stock indexes under different time horizons. Results demonstrate that an accurate prediction is equally important as a stable saving rate for long-term survivability. The best economic performances are achieved for a one-year investment horizon with longer training not necessarily leading to improved accuracy. Thin markets" dominance by a particular traders" type (e.g. short memory agents) results in a higher likelihood to learn with computational intelligence tools profitable strategies, used by dominant traders. An improvement in profitability is achieved for models optimized with genetic algorithm and fine-tuning of training/validation/testing distribution

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.

File URL: http://repec.org/sce2004/up.5449.1077915422.pdf
Download Restriction: no

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 241.

as
in new window

Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:sce:scecf4:241
Contact details of provider: Web page: http://comp-econ.org/
Email:


More information through EDIRC

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.:

as in new window
  1. Ya-Chi Huang & Shu-Heng Chen, 2003. "Simulating the Evolution of Portfolio Behavior in a Multiple-Asset Agent-Based Artificial Stock Market," Computing in Economics and Finance 2003 62, Society for Computational Economics.
  2. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
  3. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:241. 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: (Christopher F. Baum)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.