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.

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Year of publication:	2001
Authors:	Johnson, Neil F. ; Lamper, David ; Jefferies, Paul ; Hart, Michael L. ; Howison, Sam
Institutions:	Finance Research Centre, Oxford University

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Extent:	application/pdf
Series:	OFRC Working Papers Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005729989