Stock market simulation and inference technique

M.J. Collie, D.L. Dowe, L.J. Fitzgibbon
2005 Fifth International Conference on Hybrid Intelligent Systems (HIS'05)  
We present an agent-based stock market simulation in which traders utilise a hybrid mixture of common information criteria based inference procedures, including minimum message length (MML) inference. Traders in our model compete with each other using a range of different inference techniques to infer the parameters and appropriate order of simple autoregressive (AR) models of stock price evolution. We show that such traders are initially profitable while a significant population of random
more » ... tion of random traders exist, and that MML inference traders outperform other inference traders in the presence of a noisy AR signal.
doi:10.1109/ichis.2005.99 dblp:conf/his/CollieDF05 fatcat:qh2e7suv7fbftd6tnrrno6vnba