Toward an Understanding of Financial Markets using Multi-agent Games
We report on our use of multi-agent games to understand financial market behavior. In addition to discussing the background to the multi-agent games themselves, we report a technique which may prove useful for forecasting future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. Such predictions have potential use as the basis for improved risk management and portfolio optimization strategies.
KeywordsDepression Covariance Autocorrelation Volatility Hedging
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