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Proceedings Paper

Deducing the multi-trader population driving a financial market
Author(s): Nachi Gupta; Raphael Hauser; Neil Johnson
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Paper Abstract

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.

Paper Details

Date Published: 5 January 2006
PDF: 12 pages
Proc. SPIE 6039, Complex Systems, 603909 (5 January 2006); doi: 10.1117/12.638334
Show Author Affiliations
Nachi Gupta, Oxford Univ. (United Kingdom)
Raphael Hauser, Oxford Univ. (United Kingdom)
Neil Johnson, Oxford Univ. (United Kingdom)


Published in SPIE Proceedings Vol. 6039:
Complex Systems
Axel Bender, Editor(s)

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