Multi-agent FX-Market Modeling Based on Cognitive Systems

  • Authors:
  • Hans-Georg Zimmermann;Ralph Neuneier;Ralph Grothmann

  • Affiliations:
  • -;-;-

  • Venue:
  • ICANN '01 Proceedings of the International Conference on Artificial Neural Networks
  • Year:
  • 2001

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Abstract

We present an approach ofm ulti-agent market modeling on the basis of cognitive systems with three functionality features. These features are perception, internal processing and acting. A cognitive system is structurally represented by an error correction neural network. On the mirco-level we describe agents decisions behavior by combining cognitive systems with a framework of multi-agent market modeling. By aggregating agents decisions we are able to capture the underlying market dynamics on the macro-level. As an application, we apply our approach to the DEM / USD FX-Market. Fitting real-world data, our approach is superior to more conventional forecasting techniques.