Barunik J., Vacha L., Vosvrda M.: Smart Predictions in the Heterogeneous Agent Model
| Author(s): | doc. PhDr. Jozef Baruník Ph.D., Mgr. Lukáš Vácha Ph.D., prof. Ing. Miloslav Vošvrda CSc., |
|---|---|
| Type: | Articles in journals with impact factor |
| Year: | 2009 |
| Number: | 0 |
| ISSN / ISBN: | 1860-711X |
| Published in: | Journal of Economic Interaction and Coordination, vol. 4(2), pp. 163-172 PDF |
| Publishing place: | Springer |
| Keywords: | heterogeneous agent model, market structure, smart traders, Hurst exponent |
| JEL codes: | C15, D84, G14 |
| Suggested Citation: | Barunik J., Vacha L., Vosvrda M. (2009): Smart predictors in the heterogeneous agent model, Journal of Economic Interaction and Coordination, vol. 4(2), pp. 163-172, Springer |
| Grants: | 402/09/0965: New Approaches for monitoring and prediction of capital markets GAUK 46108: New Nonlinear Capital Markets Theories: Fractal, Bifurcational and Behavioral Approach IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development |
| Abstract: | We extend the original heterogeneous agent model by introducing the concept of smart traders. The idea of smart traders is based on the endeavor of market agents to estimate future price movements. The main result of the simulations is that the probability distribution functions of the price deviations change significantly with an increasing number of smart traders in the model. We also find that the Hurst exponent is significantly increasing with an increasing number of smart traders in the simulations. Hence the introduction of the smart traders concept into the model results in significantly higher persistence of the simulated price deviations. |
