Abstract [eng] The objective of this work is to investigate experimentally the well-known
autoregressive models as simplest algorithms simulating prediction processes of the
stockholders using the historical stock rates only. The “virtual” stock exchange which applies
these algorithms can help in testing various assumptions of investor behavior. To represent
users that prefer linear utility functions, the autoregressive moving-average model (ARMA-
ABS (p, q)), minimizing the absolute values of prediction errors is regarded, in addition to the …