Financial time series forecasting using agent based models in equity and FX markets
Published: Sep 1, 2014
Abstract
We investigate the application of machine learning Agent Based Modelling (ABM) techniques to model and forecast various financial markets including Foreign Exchange and Equities, especially models that could reproduce the time-series properties of the financial variables. We model the economy by considering non-equilibrium economics. We adopt the features that are required for modelling non-equilibrium economics using ABMs and replicate the...
Paper Details
Title
Financial time series forecasting using agent based models in equity and FX markets
Published Date
Sep 1, 2014
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