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 language | English (US) |
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Article number | 603909 |
Journal | Proceedings of SPIE - The International Society for Optical Engineering |
Volume | 6039 |
DOIs | |
State | Published - 2006 |
Event | Complex Systems - Brisbane, Australia Duration: Dec 12 2005 → Dec 14 2005 |
Keywords
- Econophysics
- Inequality Constrained Iterative Optimization
- Multi-Agent Financial Market Models
ASJC Scopus subject areas
- Electronic, Optical and Magnetic Materials
- Condensed Matter Physics
- Computer Science Applications
- Applied Mathematics
- Electrical and Electronic Engineering