Soft Modelling of Financial Time Series

R. Soto C. and G. Núñez E. (Mexico)

Keywords

Abstract

Financial systems are examples of the so-called ill-defined dynamical systems. However, the modelling and predic tion of such systems is extremely difficult as a consequence of high levels of noise, non-stationary behaviour and non linearity. In this paper, a methodology for simulation of ill defined systems, named as ill-Sigma (ill ), is used for predicting a time series database from the foreign exchange market1 . The ill methodology is implemented by a multiagent system, whose individuals have been provided with qualitative reasoning mechanisms.

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