Robust methods for tracking intelligent agents playing in an artificial financial market

Nachi Gupta, Raphael Hauser, Neil F Johnson

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

1 Citation (Scopus)

Abstract

When analyzing financial time-series for predictability, the norm has been to find trends and patterns directly in the series despite the inherent dynamical system apparent at the individual agent level. This underlying buy and sell model provides more information than the time-series alone. We provide a methodology for finding pockets of predictability in a financial time-series using a multiagent market model and an empirical study to illustrate convergence of these methods.

Original languageEnglish (US)
Title of host publicationProceedings of the International Conference on Autonomous Agents
Pages1106-1108
Number of pages3
DOIs
StatePublished - 2007
Externally publishedYes
Event6th International Joint Conference on Autonomous Agents and Multiagent Systems, AAMAS'07 - Honolulu, HI, United States
Duration: May 14 2008May 18 2008

Other

Other6th International Joint Conference on Autonomous Agents and Multiagent Systems, AAMAS'07
CountryUnited States
CityHonolulu, HI
Period5/14/085/18/08

Fingerprint

Financial Time Series
Intelligent agents
Intelligent Agents
Robust Methods
Predictability
Financial Markets
Time series
Multi-agent Model
Market Model
Empirical Study
Dynamical system
Norm
Series
Methodology
Dynamical systems
Financial markets
Model
Trends

Keywords

  • Econophysics
  • Inequality constrained Kalman filtering
  • Multi-agent games

ASJC Scopus subject areas

  • Software
  • Artificial Intelligence
  • Computer Networks and Communications
  • Theoretical Computer Science

Cite this

Gupta, N., Hauser, R., & Johnson, N. F. (2007). Robust methods for tracking intelligent agents playing in an artificial financial market. In Proceedings of the International Conference on Autonomous Agents (pp. 1106-1108). [176] https://doi.org/10.1145/1329125.1329338

Robust methods for tracking intelligent agents playing in an artificial financial market. / Gupta, Nachi; Hauser, Raphael; Johnson, Neil F.

Proceedings of the International Conference on Autonomous Agents. 2007. p. 1106-1108 176.

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

Gupta, N, Hauser, R & Johnson, NF 2007, Robust methods for tracking intelligent agents playing in an artificial financial market. in Proceedings of the International Conference on Autonomous Agents., 176, pp. 1106-1108, 6th International Joint Conference on Autonomous Agents and Multiagent Systems, AAMAS'07, Honolulu, HI, United States, 5/14/08. https://doi.org/10.1145/1329125.1329338
Gupta N, Hauser R, Johnson NF. Robust methods for tracking intelligent agents playing in an artificial financial market. In Proceedings of the International Conference on Autonomous Agents. 2007. p. 1106-1108. 176 https://doi.org/10.1145/1329125.1329338
Gupta, Nachi ; Hauser, Raphael ; Johnson, Neil F. / Robust methods for tracking intelligent agents playing in an artificial financial market. Proceedings of the International Conference on Autonomous Agents. 2007. pp. 1106-1108
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