2011/10/12 by Tomáš Tokár, Tokár, Tomáš, Denis Horváth +4
Economics, Econometrics and Finance · Physics and Astronomy · #Adaptation and Self-Organizing Systems (nlin.AO) #Chaos control and synchronization #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Risk and Volatility Modeling #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #Trading and Market Microstructure (q-fin.TR) #nlin.AO #physics.data-an #q-fin.ST #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1110.2603
arxiv created 2011/10/12 · openalex publication_date 2011/10/12 · arxiv updated 2011/10/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the stochastic time-varying environments represented by the real currency-exchange time series. The time varying population and its statistical characteristics have been analyzed in the non-interacting and interacting cases. The outputs of our analysis are presented in the form of the mean life-times, mean utilities and corresponding distributions. They show that populations are susceptible to the strength and form of inter-agent interaction. We believe that our results will be useful for the development of the robust adaptive prediction systems.