Title :
A prediction-based behavioral model for financial markets
Author :
Gerencser, Laszlo ; Matyas, Zalan
Author_Institution :
Computer and Automation Institute of the Hungarian Academy of Sciences, 13-17 Kende u., Budapest 1111, Hungary
Abstract :
A feedback model for financial markets is proposed, in which the control action is an agent´s decision based on his beliefs of the price dynamics and his behavior reflecting his attitude, such as risk aversion or risk preference. An adaptation mechanism is described and the condition for equilibrium is formulated as a, typically non-linear, fixed point problem for operators. A data driven stochastic approximation procedure is given for the online tuning of the predictor to achieve equilibrium. Simulation results are also presented.
Keywords :
Economics; Least squares approximations; Linear systems; Mathematical model; Predictive models; Stochastic processes; adaptive prediction; feedback systems; financial modeling; stochastic approximation;
Conference_Titel :
European Control Conference (ECC), 2003
Conference_Location :
Cambridge, UK
Print_ISBN :
978-3-9524173-7-9
