Prediction of stock markets by the evolutionary mix-game model

Fang Chen, Chengling Gou, Xiaoqian Guo and Jieping Gao

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 14, 3594-3604

Abstract: This paper presents the efforts of using the evolutionary mix-game model, which is a modified form of the agent-based mix-game model, to predict financial time series. Here, we have carried out three methods to improve the original mix-game model by adding the abilities of strategy evolution to agents, and then applying the new model referred to as the evolutionary mix-game model to forecast the Shanghai Stock Exchange Composite Index. The results show that these modifications can improve the accuracy of prediction greatly when proper parameters are chosen.

Keywords: Forecasting of stock markets; Mix-game model; Evolutionary mix-game model; Adaptability (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:14:p:3594-3604

DOI: 10.1016/j.physa.2008.02.023

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