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

N. F. Johnson, D. Lamper, P. Jefferies, M. L. Hart and S. Howison

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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: 2001-05
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Citations: View citations in EconPapers (14)

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