Evolutionary collective behavior decomposition model for time series data mining

Abstract

In this research, we propose a novel framework referred to as collective game behavior decomposition where complex collective behavior is assumed to be generated by aggregation of several groups of agents following different strategies and complexity emerges from collaboration and competition of individuals. The strategy of an agent is modeled by certain simple game theory models with limited information. Genetic algorithms are used to obtain the optimal collective behavior decomposition based on history data. The trained model can be used for collective behavior prediction. For modeling individual behavior, two simple games, the minority game and mixed game are investigated in experiments on the real-world stock prices and foreign-exchange rate. Experimental results are presented to show the effectiveness of the new proposed model.