Abstract
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.
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References
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Johnson, N.F., Lamper, D., Jefferies, P., Hart, M.L. (2004). Toward an Understanding of Financial Markets using Multi-agent Games. In: Wille, L.T. (eds) New Directions in Statistical Physics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-08968-2_7
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DOI: https://doi.org/10.1007/978-3-662-08968-2_7
Publisher Name: Springer, Berlin, Heidelberg
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