Multi-agent based analysis of financial data

Autor:	Tokár, Tomáš, Horváth, Denis, Hnatich, Michal
Rok vydání:	2011
Předmět:	Quantitative Finance - Statistical Finance Nonlinear Sciences - Adaptation and Self-Organizing Systems Physics - Data Analysis Statistics and Probability Quantitative Finance - Trading and Market Microstructure
Druh dokumentu:	Working Paper
Popis:	In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the stochastic time-varying environments represented by the real currency-exchange time series. The time varying population and its statistical characteristics have been analyzed in the non-interacting and interacting cases. The outputs of our analysis are presented in the form of the mean life-times, mean utilities and corresponding distributions. They show that populations are susceptible to the strength and form of inter-agent interaction. We believe that our results will be useful for the development of the robust adaptive prediction systems.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1110.2603 Zobrazit plný text záznamu View this record from Arxiv