Application of multi-agent games to the prediction of financial time-series

Abstract

We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.

Work presented at the NATO Workshop on Econophysics. Prague (Feb 2001). To appear in Physica A