COSMOS trader – Chaotic Neuro-oscillatory multiagent financial prediction and trading system

• Main Author: Raymond S.T. Lee
• Format: Article
• Language: English
• Published: KeAi Communications Co., Ltd. 2019-06-01
• Series: Journal of Finance and Data Science
• Online Access: http://www.sciencedirect.com/science/article/pii/S2405918818300990

Over the years, financial engineering ranging from the study of financial signals to the modelling of financial prediction is one of the most stimulating topics for both academia and financial community. Not only because of its importance in terms of financial and commercial values, but more it vitally poses a real challenge to worldwide researchers and quants owing to its highly chaotic and almost unpredictable nature.This paper devises an innovative Chaotic Oscillatory Multi-agent-based Neuro-computing System (a.k.a. COSMOS) for worldwide financial prediction and intelligent trading. With the adoption of author's theoretical works on Lee-oscillator with profound transient-chaotic property, COSMOS effectively integrates chaotic neural oscillator technology into: 1) COSMOS Forecaster - Chaotic FFBP-based Time-series Supervised-learning agent for worldwide financial forecast and; 2) COSMOS Trader - Chaotic RBF-based Actor-Critic Reinforcement-learning agents for the optimization of trading strategies. COSMOS not only provides a fast reinforcement learning and forecast solution, more prominently it successfully resolves the massive data over-training and deadlock problems which usually imposed by traditional recurrent neural networks and RBF networks using classical sigmoid or gaussian-based activation functions.From the implementation perspective, COSMOS is integrated with 2048-trading day time-series financial data and 39 major financial signals as input signals for the real-time prediction and intelligent agent trading of 129 worldwide financial products which consists of: 9 major cryptocurrencies, 84 forex, 19 major commodities and 17 worldwide financial indices. In terms of system performance, past 500-day average daily forecast performance of COSMOS attained less 1% forecast percentage errors and with promising results of 8–13% monthly average returns. Keywords: Financial prediction system, Intelligent agent-based trading system, Chaotic neural networks, Actor-critic reinforcement-learning, Intelligent agents