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

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 - Mar 31 2006
Event	Complex Systems - Brisbane, Australia Duration: Dec 12 2005 → Dec 14 2005

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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

Cite this

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

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10.1117/12.638334