System and method for the analysis and prediction of economic markets
View Patent ↗A system and method are provided which dynamically adapts to a changing economic environment by selecting or synthesizing an economic model from a set of economic models based on the selected model's ability to make accurate predictions about an actual economic market. The method and system each forms a space of different economic models, forms a behavioral landscape by extracting observables from executions of the economic models, and performs model selection and composite model synthesis through optimization over the behavioral landscape.
1. A method for optimizing a set of portfolios of assets comprising the steps of:
providing a computer having a computer-readable media and an electrical output device, wherein the computer-readable media has an application stored thereon;
storing data pertaining to the portfolio of assets on the computer-readable media;
identifying a set of economic models;
executing the set of economic models;
determining a fitness landscape representation with respect to the set of portfolios of assets by extracting a set of observables from said execution of the set of economic models;
optimizing the set of portfolios by determining at least one optimal searching distance in the fitness landscape representation;
searching for ones of the set of portfolios of assets at the at least one optimal searching distance, wherein portfolios at the optimal searching distance comprise optimal ones of the set of portfolios of assets; and
presenting results from said searching step for the optimal ones of the portfolios of assets on the electrical output device.
2. A method as in claim 1 wherein each portfolio in the set of portfolios of assets comprises a vector corresponding to the assets of each corresponding portfolio wherein each element of the vector identifies a number of units of each of the corresponding assets in each portfolio of the set of portfolios.
3. A method as in claim 2 further comprising:
identifying a first portfolio of the portfolio of assets and a second portfolio of the portfolio of assets;
determining a difference between the vector of the first portfolio and the vector of second portfolio; and
wherein the at least one searching distance between the first portfolio of the set of portfolios of assets and the second portfolio of the set of portfolios of assets is defined as the difference between the vector of the first portfolio and the vector of the second portfolio.
4. A method as in claim 1 wherein the fitness of the landscape representation comprises a value of risk.
5. A method as in claim 1 wherein said determining a fitness landscape representation step comprises inferring the fitness landscape representation from historical data.
6. Computer executable software code stored on a computer readable medium, the code for optimizing a set of portfolios of assets, the code comprising:
code to execute a set of economic models;
code to determine a fitness landscape representation with respect to the set of portfolios of assets by extracting a set of observables from the execution of the set of economic models;
code to optimize the set of portfolios by determining at least one optimal searching distance in said fitness landscape representation;
code to search for ones of said set of portfolios of assets at said at least one optimal searching distance, wherein portfolios of assets at the optimal searching distance range comprise optimal ones of said set of portfolios of assets; and
code to present results from the searching for said optimal ones of said set of portfolios of assets on an electrical output device.
7. A programmed computer system for optimizing a set of portfolios of assets comprising at least one memory having at least one region storing computer executable program code and at least one processor for executing the program code stored in said memory, wherein the program code comprises:
code to execute a set of economic models;
code to determine a fitness landscape representation with respect to the set of portfolios of assets by extracting a set of observables from said execution of the set of economic models;
code to optimize the set of portfolios by determining at least one optimal searching distance in said fitness landscape representation;
code to search for ones of said set of portfolios of assets at said at least one optimal searching distance, wherein portfolios of assets at the optimal searching distance range comprise optimal ones of said set of portfolios of assets; and
code to present results from the searching for said optimal ones of said set of portfolios of assets on an electrical output device.