Deducing the multi-trader population driving a financial market

Nachi Gupta, Raphael Hauser, Neil Johnson

Research output: Contribution to journalConference articlepeer-review


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)
Article number603909
JournalProceedings of SPIE - The International Society for Optical Engineering
StatePublished - 2006
EventComplex Systems - Brisbane, Australia
Duration: Dec 12 2005Dec 14 2005


  • 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


Dive into the research topics of 'Deducing the multi-trader population driving a financial market'. Together they form a unique fingerprint.

Cite this