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Evolution of an artificial market and its use to predict future stock prices

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Evolution of an artificial market and its use to predict future stock prices

Charbonneau, Louis (2008) Evolution of an artificial market and its use to predict future stock prices. Masters thesis, Concordia University.

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Abstract

We propose a model of a deterministic artificial stock market driven by a chromosome that encodes the different trading rules of its agents as individual genes. We first define a stylized version of a price-adjustment mechanism that is calibrated to real market data to interpret any random chromosome. Once the gene is activated, we use a steady-state genetic algorithm to invert the market, namely to infer which chromosome is activated in order to generate a given financial time-series without any a priori knowledge of its agent structure. This reconstructed active chromosome is then used to generate price forecasts. These forecasts are analyzed and compared to the standard ARIMA time-series forecasting method.

Divisions:Concordia University > Gina Cody School of Engineering and Computer Science > Computer Science and Software Engineering
Item Type:Thesis (Masters)
Authors:Charbonneau, Louis
Pagination:ix, 114 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:M. Comp. Sc.
Program:Computer Science and Software Engineering
Date:2008
Thesis Supervisor(s):Grogono, Peter and Kharma, Nawwaf
ID Code:976326
Deposited By: Concordia University Library
Deposited On:22 Jan 2013 16:23
Last Modified:18 Jan 2018 17:42
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