Prediction Scheme Of Stock Price Using Multi-agent System
Author(s)
E Kita & Y Katsuno
Abstract
This paper describes the prediction scheme of stock price by using multi-agent systems. Agents predict the stock price according to their strategies which is defined from technical and fundamental parameters such as some index related to the stock price, the currency exchange rate of the Japanese Yen (JPY) against the US Dollar and so on. Agents are randomly generated to construct population and then, their strategies are improved by genetic algorithm. Finally, the strategy is employed for predicting the real stock price.
1 Introduction
In real stock market, a lot of market players such as scalpers, day traders, institutions and hedgers compete to exchange risk and return in ways that meet their objectives. Prediction of stock price is very important not only for the players but also for public citizen and governments.
The prediction schemes of the stock price are briefly classified into the technical and the fundamental analysis schemes. In the technical analysis scheme, stock price is predicted from the past fluctuation of the price by using stock price chart and statistical schemes and computers. The basic idea of the technical analysis scheme that the price can be predicted from the past fluctuation of price was firstly inspired by Dau and then, Hamilton compiled related ideas into one book [l, 2, 3]. On the other hands, the stock
Keywords
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