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Simulating and modelling the DAX index and the USO Etf financial time series by using a simple agent‐based learning architecture
Author(s) -
Neri Filippo,
GarcíaMagariño Iván
Publication year - 2020
Publication title -
expert systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 38
eISSN - 1468-0394
pISSN - 0266-4720
DOI - 10.1111/exsy.12516
Subject(s) - computer science , index (typography) , stock exchange , stock market index , representation (politics) , series (stratigraphy) , simulated annealing , financial market , time series , simple (philosophy) , econometrics , finance , machine learning , artificial intelligence , stock market , economics , paleontology , philosophy , epistemology , politics , world wide web , political science , law , biology , horse
This work presents an extensive case study on modelling the DAX (Deutscher Aktienindex) index and United States Oil Fund (USO) exchange‐traded fund (Etf) time series with the financial agent‐based system learning financial agent‐based simulator (L‐FABS) that exploits simulated annealing as a learning method. The USO Etf time series is highly correlated with oil price behaviour, and the DAX index is based on the weighted and accumulated behaviour of the share prices of some of the largest companies traded on the Frankfurt Stock Exchange. These two time series are driven by completely different economic factors and thus provide two diverse empirical settings to evaluate the effectiveness of our methodology. Our experimentation shows that a relatively simple computational representation of real financial markets is effective in capturing the overall behaviour of the time series with varying approximation levels while the prediction target is moved into the future. The reported experimental investigation of L‐FABS shows that it is robust notwithstanding the learning method used and the data sets exploited. L‐FABS indeed produced a relatively low approximation error in several settings even when evaluated with respect to other modelling approaches, for example, 0.88% and 1.61% errors on average for 1 day ahead experiments in, respectively, DAX index and USO Etf.