Publication detail

Heterogeneous Agent Model with Memory and Asset Price Behaviour

Author(s): Mgr. Lukáš Vácha Ph.D., Vosvrda, M
Type: Article in collection
Year: 2002
Number:
ISSN / ISBN: 80-248-0153-1
Published in: 20th International Conference Mathematical Methods in Economics 2002, Ostrava
Publishing place: Ostrava
Keywords:
JEL codes:
Suggested Citation:
Abstract: The efficient markets hypothesis provides a theoretical basis on which technical trading rules (TTRs) are rejected as a viable trading strategy. TTR, providing a signal to the user when to buy or sell asset based on such price patterns, should not be useful for generating excess returns. Technical traders tend to put little faith in strict efficient markets hypothesis. This approach relies on heterogeneity in the agent information and subsequent decisions either as fundamentalists or as technical traders. Switching between the technical trader’s and fundamentalist’s strategy is a basis of the cycle behaviour. This event is analysed by the Brock and Hommes (BH) model. Moreover, the memory case is added to this model because BH model was the memory less model. This branch is consisted of a behaviour analysis among fundamentalists and technical traders. Here is a basis for endogenous source of the real business cycle.

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