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

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

2001-05-15

arxiv.org/abs/cond-mat/0105303v1

Physics

Condensed Matter

Disordered Systems and Neural Networks

Work presented at the NATO Workshop on Econophysics. Prague (Feb 2001). To appear in Physica A

Scientific paper

10.1016/S0378-4371(01)00299-0

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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