DocumentCode
702439
Title
A prediction-based behavioral model for financial markets
Author
Gerencser, Laszlo ; Matyas, Zalan
Author_Institution
Computer and Automation Institute of the Hungarian Academy of Sciences, 13-17 Kende u., Budapest 1111, Hungary
fYear
2003
fDate
1-4 Sept. 2003
Firstpage
2973
Lastpage
2977
Abstract
A feedback model for financial markets is proposed, in which the control action is an agent´s decision based on his beliefs of the price dynamics and his behavior reflecting his attitude, such as risk aversion or risk preference. An adaptation mechanism is described and the condition for equilibrium is formulated as a, typically non-linear, fixed point problem for operators. A data driven stochastic approximation procedure is given for the online tuning of the predictor to achieve equilibrium. Simulation results are also presented.
Keywords
Economics; Least squares approximations; Linear systems; Mathematical model; Predictive models; Stochastic processes; adaptive prediction; feedback systems; financial modeling; stochastic approximation;
fLanguage
English
Publisher
ieee
Conference_Titel
European Control Conference (ECC), 2003
Conference_Location
Cambridge, UK
Print_ISBN
978-3-9524173-7-9
Type
conf
Filename
7086493
Link To Document