Title :
Predictability of Shanghai Stock Market by Agent-based Mix-game Model
Author_Institution :
Dept. of Phys., Beijing Univ. of Aeronaut. & Astronautics
Abstract :
This paper reports the effort of using agent-based mix-game model to predict financial time series. It introduces simple generic algorithm into the prediction methodology and gives an example of its application to forecasting Shanghai Index. The results show that this prediction methodology is effective and agent-based mix-game model is a potential good model to predict time series of financial markets
Keywords :
game theory; multi-agent systems; stock markets; time series; Shanghai stock market; agent-based mix-game model; financial time series; generic algorithm; prediction methodology; Collaboration; Economic forecasting; Laboratories; Physics; Prediction algorithms; Predictive models; Stock markets;
Conference_Titel :
Neural Networks and Brain, 2005. ICNN&B '05. International Conference on
Conference_Location :
Beijing
Print_ISBN :
0-7803-9422-4
DOI :
10.1109/ICNNB.2005.1614947
