Deducing the multi-trader population driving a financial market

Nachi Gupta; Raphael Hauser; Neil Johnson

doi:10.1117/12.638334

5 January 2006 Deducing the multi-trader population driving a financial market

Nachi Gupta, Raphael Hauser, Neil Johnson

Proceedings Volume 6039, Complex Systems; 603909 (2006) https://doi.org/10.1117/12.638334
Event: Microelectronics, MEMS, and Nanotechnology, 2005, Brisbane, Australia

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.

Citation Download Citation

Nachi Gupta, Raphael Hauser, and Neil Johnson "Deducing the multi-trader population driving a financial market", Proc. SPIE 6039, Complex Systems, 603909 (5 January 2006); https://doi.org/10.1117/12.638334

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KEYWORDS

Filtering (signal processing)

Binary data

Chemical elements

Data modeling

Error analysis

Matrices

Time metrology

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