5 January 2006 Deducing the multi-trader population driving a financial market
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We have previously laid out a basic framework for predicting financial movements and pockets of predictability by tracking the distribution of a multi-trader population playing on an artificial financial market model. This work explores extensions to this basic framework. We allow for more intelligent agents with a richer strategy set, and we no longer constrain the distribution over these agents to a probability space. We then introduce a fusion scheme which accounts for multiple runs of randomly chosen sets of possible agent types. We also discuss a mechanism for bias removal on the estimates.
© (2006) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
Nachi Gupta, Nachi Gupta, Raphael Hauser, Raphael Hauser, Neil Johnson, Neil Johnson, } "Deducing the multi-trader population driving a financial market", Proc. SPIE 6039, Complex Systems, 603909 (5 January 2006); doi: 10.1117/12.638334; https://doi.org/10.1117/12.638334


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