Deducing the multi-trader population driving a financial market

Nachi Gupta; Raphael Hauser; Neil Johnson

doi:10.1117/12.638334

Deducing the multi-trader population driving a financial market

Nachi Gupta, Raphael Hauser, Neil Johnson

Physics

Research output: Contribution to journal › Conference article › peer-review

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)
Article number	603909
Journal	Proceedings of SPIE - The International Society for Optical Engineering
Volume	6039
DOIs	https://doi.org/10.1117/12.638334
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

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10.1117/12.638334

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