Abstract
In this paper, we propose a Bayesian probabilistic model to describe collective behavior generated by a finite number of agents competing for limited resources. In this model, the strategy for each agent is a binary choice in the Minority Game and it can be modeled by a Binomial distribution with a Beta prior. The strategy of an agent can be learned given a sequence of historical choices by using Bayesian inference. Aggregated micro-level choices constitute the observable time series data in macro-level, therefore, this can be regarded as a machine learning model for time series prediction. To verify the effectiveness of the new model, we conduct a series of experiments on artificial data and real-world stock price data. Experimental results demonstrate the new proposed model has a better performance comparing to a genetic algorithm based decomposition model.
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This work is funded by the National Science Foundation of China No. 61401012.
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Zhao, H., Qin, Z., Liu, W., Wan, T. (2017). A Bayesian Model of Game Decomposition. In: Benferhat, S., Tabia, K., Ali, M. (eds) Advances in Artificial Intelligence: From Theory to Practice. IEA/AIE 2017. Lecture Notes in Computer Science(), vol 10350. Springer, Cham. https://doi.org/10.1007/978-3-319-60042-0_9
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