Multi-agent based analysis of financial data
Abstract
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.
Keywords
Cite
@article{arxiv.1110.2603,
title = {Multi-agent based analysis of financial data},
author = {Tomáš Tokár and Denis Horváth and Michal Hnatich},
journal= {arXiv preprint arXiv:1110.2603},
year = {2011}
}