%0 Journal Article
%T Application of multi-agent games to the prediction of financial time-series
%A N. F. Johnson
%A D. Lamper
%A P. Jefferies
%A M. L. Hart
%A S. Howison
%J Quantitative Finance
%D 2001
%I arXiv
%R 10.1016/S0378-4371(01)00299-0
%X 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.
%U http://arxiv.org/abs/cond-mat/0105303v1