Application of multi-agent games to the prediction of financial time-series
Neil F. Johnson,
Michael L. Hart and
OFRC Working Papers Series from Oxford Financial Research Centre
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.
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2001mf04
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