Publication detail

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.

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