Mathematical and Statistical Methods for Actuarial Sciences and Finance

(Nora) #1
Financial time series and neural networks in a minority game context 157

(^94005101520253035404550)
950
960
970
980
990
1000
1010
M
Predictions
η=10
Total observations=1824
Fig. 1.Number of corrected predictions as a function ofMin the case of U.S. Treasury Bond.
The maximum is reached forM= 32
(^61005101520253035404550)
620
630
640
650
660
670
680
690
M
Predictions
η=0.03
Total observations 1271
Fig. 2.Number of corrected predictions as a function ofMin the case of S&P500. The maximum
is reached forM= 3

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