Adaptation in natural and artificial systems
Adaptation in natural and artificial systems
Artificial economic life: a simple model of a stockmarket
Proceedings of the NATO advanced research workshop and EGS topical workshop on Chaotic advection, tracer dynamics and turbulent dispersion
Genetic Algorithms in Search, Optimization and Machine Learning
Genetic Algorithms in Search, Optimization and Machine Learning
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Using virtual stock markets with artificial interacting software investors, aka agent-based models, we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the similarity between the actual data and that generated by the reconstructed virtual stock market, we obtain parameters and strategies, which reveal some of the inner workings of the target stock market. We validate our approach by out-of-sample predictions of directional moves of the Nasdaq Composite Index.