The Mathematical Institute, University of Oxford, Eprints Archive

Deducing the Multi-Trader Population Driving a Financial Market

Gupta, Nachi and Hauser, Raphael and Johnson, Neil F. (2006) Deducing the Multi-Trader Population Driving a Financial Market. Technical Report. Unspecified. (Submitted)

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Abstract

We previously laid out a framework for predicting financial movements and pockets of predictability by deducing the heterogeneity in the multi-agent population in temrs of trader types playing in an artificial financial market model [7]. This work explores extensions to this basic framework. We allow for more intelligent agents with a richer strategy set, and we no longer constrain the estimate for the heterogeneity over the agents to a probability space. We then introduce a scheme which accounts for models with a wide variety of agent types. We also discuss a mechanism for bias removal on the estimates of the relevant parameters.

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1114
Deposited By:Lotti Ekert
Deposited On:11 May 2011 10:57
Last Modified:11 May 2011 10:57

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