Time series analysis for minority game simulations of financial markets
نویسندگان
چکیده
منابع مشابه
Time series analysis for minority game simulations of financial markets
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusion...
متن کاملMachine learning algorithms for time series in financial markets
This research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this pa...
متن کاملa time-series analysis of the demand for life insurance in iran
با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
Compositional segmentation of time series in the financial markets
We introduce an entropic segmentation algorithm and apply it to decompose the financial sequences into compositionally homogeneous domains. To probe more about the nature of the financial time series, we investigate the statistical properties of the segment from the view of segmentation position and segment length first. We reveal some important and interesting conclusions and information hidde...
متن کاملNatural time analysis in financial markets
In this paper we introduce natural time analysis in financial markets. Due to the remarkable results of this analysis on earthquake prediction and the similarities of earthquake data to financial time series, its application in price prediction and algorithmic trading seems to be a natural choice. This is tested through a trading strategy with very encouraging results.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2003
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(02)01733-8