Multiagent Modeling of Multiple FX-Markets By Neural Networks  

Oleh:

Grothmann, R. ; Neuneier, R. ; Zimmermann, H.G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: IEEE Transactions on Neural Networks vol. 12 no. 4 (2001), page 735-743.
Topik: NEURAL NETWORKS; multiagent; modeling; multiple. FX - markets; neural networks

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II36.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

We introduce an explanatory multi - agent approach of multiple FX - market modeling based on neural networks. We consider the explicit and implicit dynamics of the market price. This paper extends previous work of modeling a single FX - market to an integrated approach, which allows one to treat several FX - markets simultaneously. Our approach is based on feedforward neural networks. Neural networks allow the fitting of high - dimensional nonlinear models, which is often utilized in econometrics. Merging the economic theory of multi - agents with neural networks, our model concerns semantic specifications instead of being limited to ad hoc functional relationships. As an advantage, our multi - agent model allows one to fit the behaviour of real - world financial data. We exemplify the USD / DEM and YEN / DEM FX - Market simultaneously. Fitting real - world data, our approach is superior to more conventional forecasting techniques.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali