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arXiv · 1110.2603

Multi-agent based analysis of financial data

Tomáš Tokár·Denis Horváth·Michal Hnatich
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Abstract

In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the stochastic time-varying environments represented by the real currency-exchange time series. The time varying population and its statistical characteristics have been analyzed in the non-interacting and interacting cases. The outputs of our analysis are presented in the form of the mean life-times, mean utilities and corresponding distributions. They show that populations are susceptible to the strength and form of inter-agent interaction. We believe that our results will be useful for the development of the robust adaptive prediction systems.

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Tomáš Tokár, Denis Horváth, Michal Hnatich. 2011-10-12. Multi-agent based analysis of financial data. https://arxiv.org/abs/1110.2603

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