Application of multi-agent games to the prediction of financial time series

Neil F. Johnson, David Lamper, Paul Jefferies, Michael L. Hart and Sam Howison

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 1, 222-227

Abstract: We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time series. A third-party game is trained on a black-box time series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.

Date: 2001
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:1:p:222-227

DOI: 10.1016/S0378-4371(01)00299-0

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