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Application of multi-agent games to the prediction of financial time series

We report on a technique based on multi-agent games which has potential use in the prediction of 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. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.
Year of publication:
2001
Authors: Johnson, Neil F. ; Lamper, David ; Jefferies, Paul ; Hart, Michael L. ; Howison, Sam
Published in:
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 299.2001, 1, p. 222-227
Publisher: Elsevier
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10010591328
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