Application of multi-agent games to the prediction of financial time-series

We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.Comment: Work presented at the NATO Workshop on Econophysics. Prague (Feb 2001). To appear in Physica

Dynamics of the Time Horizon Minority Game

We present exact analytic results for a new version of the Minority Game (MG) in which strategy performance is recorded over a finite time horizon. The dynamics of this Time Horizon Minority Game (THMG) exhibit many distinct features from the MG and depend strongly on whether the participants are fed real, or random, history strings. The THMG equations are equivalent to a Markov Chain, and yield exact analytic results for the volatility given a specific realization for the quenched strategy disorder.Comment: Latex file, 11 pages, 6 figure

From market games to real-world markets

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market clearing mechanisms and show that an out-of-equilibrium clearing process leads to dynamics that closely resemble real financial movements. We then show that replacing the `synthetic' price history used by these simulations with data taken from real financial time-series leads to the remarkable result that the agents can collectively learn to identify moments in the market where profit is attainable. We then employ the formalism of Bouchaud and Sornette in conjunction with agent based models to show that in general risk cannot be eliminated from trading with these models. We also show that, in the presence of transaction costs, the risk of option writing is greatly increased. This risk, and the costs, can however be reduced through the use of a delta-hedging strategy with modified, time-dependent volatility structure.Comment: Presented at APFA2 (Liege) July 2000. Proceedings: Eur. Phys. J. B Latex file + 10 .ps figs. [email protected]

Coronal and chromospheric physics

Achievements and completed results are discussed for investigations covering solar activity during the solar maximum mission and the solar maximum year; other studies of solar activity and variability; infrared and submillimeter photometry; solar-related atomic physics; coronal and transition region studies; prominence research; chromospheric research in quiet and active regions; solar dynamics; eclipse studies; and polarimetry and magnetic field measurements. Contributions were also made in defining the photometric filterograph instrument for the solar optical telescope, designing the combined filter spectrograph, and in expressing the scientific aims and implementation of the solar corona diagnostic mission

Thermal distortion analysis of the space station solar dynamic concentrator

A method was developed to evaluate the thermal distortion of the Space Station Solar Dynamic Concentrator and the effects of thermal distortion on concentrator optical performance. The analytical method includes generating temperature distributions with TRASYS and SINDA models, interfacing the SINDA results with the SINDA-NASTRAN Interface Program (SNIP), calculating thermal distortion with a NASTRAN/PATRAN finite element model, and providing flux distribution maps within the receiver with the ray tracing OFFSET program. Temperature distributions, thermally induced slope errors, and flux distribution maps within the receiver are discussed. Results during a typical orbit indicate that temperatures of the hexagonal panels and triangular facets range between -18 and 99 C (-1 to 210 F), facet rotations are less than 0.2 mrad, and a change in facet radius due to thermal flattening is less than 5 percent. The predicted power loss with thermal distortion effects was less than 0.3 percent. The thermal distortion of the Solar Dynamic concentrator has negligible effect on the flux distribution within the receiver cavity