基于遗传算法的多人与少数人博弈金融市场逆向工程
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
摘要：
使用虚拟股票市场与人工互动的软件投资者，又名基于代理的模型（ABMs），我们提出了一种方法来逆向工程现实世界的金融时间序列。我们将金融市场建模为由大量相互作用的有限理性主体组成。通过优化实际数据与重建的虚拟股票市场产生的数据之间的相似性，我们得到的参数和策略，揭示了一些内部运作的目标股票市场。我们验证了我们的方法的样本外预测纳斯达克综合指数的方向移动。
英文摘要：
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), 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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
