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Prediction of Financial Markets Using Agent-Based Modeling with Optimization Driven by Statistical Evaluation of Historical Data

  • Jana Kočišová
  • Denis Horváth
  • Tomáš Kasanický
  • Ján BušaJr.
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7125)

Abstract

This paper introduces agent-based model for simple prediction of financial markets, where each agent predicts development of selected subset of assets pairs in time by separately examining the similarities between ask and bid assets histories. Agent’s fitness is proportional to the wealth accumulated by exercising long and short trading positions, with regards to predicted development of assets. Although the model is iterative and operates on equidistant price data, agents are encouraged to optimize their trading frequency to maximize simulated wealth (fitness). The model evolves by enforcing competitive behavior through optimization processes.

Keywords

agent-based prediction of financial markets extremal dynamics 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Jana Kočišová
    • 1
    • 2
  • Denis Horváth
    • 3
  • Tomáš Kasanický
    • 2
    • 4
  • Ján BušaJr.
    • 2
    • 5
  1. 1.Pavol Jozef Šafárik University in KošiceKošiceSlovakia
  2. 2.FURT Solutions, s.r.o.KošiceSlovakia
  3. 3.SORS ResearchKošiceSlovakia
  4. 4.Institute of InformaticsSlovak Academy of SciencesBratislavaSlovakia
  5. 5.Technical University of KošiceKošiceSlovakia

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