Deducing the multi-trader population driving a financial market

Nachi Gupta, Raphael Hauser, Neil F Johnson

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We previously laid out a framework for predicting financial movements and pockets of predictability by deducing the heterogeneity in the multi-agent population in terms of trader types playing in an artificial financial market model.1 This work explores extensions to this basic framework. We allow for more intelligent agents with a richer strategy set, and we no longer constrain the estimate for the heterogeneity over the agents to a probability space. We then introduce a scheme which accounts for models with a wide variety of agent types. We also discuss a mechanism for bias removal on the estimates of the relevant parameters.

Original languageEnglish (US)
Title of host publicationProceedings of SPIE - The International Society for Optical Engineering
EditorsA. Bender
Volume6039
DOIs
StatePublished - 2006
Externally publishedYes
EventComplex Systems - Brisbane, Australia
Duration: Dec 12 2005Dec 14 2005

Other

OtherComplex Systems
CountryAustralia
CityBrisbane
Period12/12/0512/14/05

Fingerprint

Intelligent agents
estimates
Financial markets

Keywords

  • Econophysics
  • Inequality Constrained Iterative Optimization
  • Multi-Agent Financial Market Models

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Condensed Matter Physics

Cite this

Gupta, N., Hauser, R., & Johnson, N. F. (2006). Deducing the multi-trader population driving a financial market. In A. Bender (Ed.), Proceedings of SPIE - The International Society for Optical Engineering (Vol. 6039). [603909] https://doi.org/10.1117/12.638334

Deducing the multi-trader population driving a financial market. / Gupta, Nachi; Hauser, Raphael; Johnson, Neil F.

Proceedings of SPIE - The International Society for Optical Engineering. ed. / A. Bender. Vol. 6039 2006. 603909.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Gupta, N, Hauser, R & Johnson, NF 2006, Deducing the multi-trader population driving a financial market. in A Bender (ed.), Proceedings of SPIE - The International Society for Optical Engineering. vol. 6039, 603909, Complex Systems, Brisbane, Australia, 12/12/05. https://doi.org/10.1117/12.638334
Gupta N, Hauser R, Johnson NF. Deducing the multi-trader population driving a financial market. In Bender A, editor, Proceedings of SPIE - The International Society for Optical Engineering. Vol. 6039. 2006. 603909 https://doi.org/10.1117/12.638334
Gupta, Nachi ; Hauser, Raphael ; Johnson, Neil F. / Deducing the multi-trader population driving a financial market. Proceedings of SPIE - The International Society for Optical Engineering. editor / A. Bender. Vol. 6039 2006.
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