Detail publikace

Wavelet Applications to Heterogeneous Agents Model

Autor: Mgr. Lukáš Vácha Ph.D.,
prof. Ing. Miloslav Vošvrda CSc.,
Typ: IES Working Papers
Rok: 2006
Číslo: 21
ISSN / ISBN:
Publikováno v: IES WP 2006/21
Místo vydání: Prague
Klíčová slova: agents’ trading strategies, heterogeneous agent model with stochastic memory, worst out algorithm, wavelet
JEL kódy: C061; G014; D084
Citace: Vácha, L., M., Vošvrda (2006). “ Wavelet Applications to Heterogeneous Agents Model ” IES Working Paper 21/2006, IES FSV. Charles University.
Abstrakt: A heterogeneous agent model with the WOA was considered for obtaining more realistic market conditions. The WOA replaces periodically the trading strategies that have the lowest performance level of all strategies presented on the market by the new ones. New strategies that enter on the market have the same stochastic structure as an initial set of strategies. This paper shows, by wavelets applications, strata influences of the trading strategies with the WOA.
Ke stažení: WP 2006_21 Vosvrda

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