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• W2998940593 abstract "Abstract 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." @default.
• W2998940593 created "2020-01-23" @default.
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• W2998940593 date "2020-01-06" @default.
• W2998940593 modified "2023-10-17" @default.
• W2998940593 title "Simulating and modelling the DAX index and the USO Etf financial time series by using a simple agent‐based learning architecture" @default.
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• W2998940593 doi "https://doi.org/10.1111/exsy.12516" @default.
• W2998940593 hasPublicationYear "2020" @default.
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