Publication detail

Wavelet Applications to Heterogeneous Agents Model

Author(s): Mgr. Lukáš Vácha Ph.D.,
prof. Ing. Miloslav Vošvrda CSc.,
Type: IES Working Papers
Year: 2006
Number: 21
Published in: IES WP 2006/21
Publishing place: Prague
Keywords: agents’ trading strategies, heterogeneous agent model with stochastic memory, worst out algorithm, wavelet
JEL codes: C061; G014; D084
Suggested Citation: Vácha, L., M., Vošvrda (2006). “ Wavelet Applications to Heterogeneous Agents Model ” IES Working Paper 21/2006, IES FSV. Charles University.
Abstract: 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.
Downloadable: WP 2006_21 Vosvrda




Patria Finance
Česká Spořitelna