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Reference: Nachi Gupta, Raphael Hauser and Neil F. Johnson, (2006). Deducing the Multi-Trader Population Driving a Financial Market. Unspecified.Citable link to this page:

 

Deducing the Multi-Trader Population Driving a Financial Market

Abstract: We previously laid out a framework for predicting financial movements and pockets of predictability by deducing the heterogeneity in the multi-agent population in temrs of trader types playing in an artificial financial market model [7]. This work explores extensions to this basic framework. We allow for more intelligent agents with a richer strategy set, and we no longer constrain the estimate for the heterogeneity over the agents to a probability space. We then introduce a scheme which accounts for models with a wide variety of agent types. We also discuss a mechanism for bias removal on the estimates of the relevant parameters.

Bibliographic Details

Issue Date: 2006-05Identifiers

Urn: uuid:2fa4979d-0ca0-4b29-b86b-d9f0ab4cc857 Item Description

Type: Technical Report;

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Author: Nachi Gupta - - - Raphael Hauser - - - Neil F. Johnson - - - - Bibliographic Details Issue Date: 2006-05 - Identifiers Urn: uuid:

Source: https://ora.ox.ac.uk/objects/uuid:2fa4979d-0ca0-4b29-b86b-d9f0ab4cc857



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