Vacha L. Barunik J. Vosvrda M.: How do skilled traders change the structure of the market
| Autor: | doc. PhDr. Jozef Baruník Ph.D., Mgr. Lukáš Vácha Ph.D., prof. Ing. Miloslav Vošvrda CSc., |
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| Typ: | Články v impaktovaných časopisech |
| Rok: | 2012 |
| Číslo: | 0 |
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| Publikováno v: | International Review of Financial Analysis 23, pp. 66-71 PDF |
| Místo vydání: | |
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| Citace: | Vacha L. Barunik J. Vosvrda M. (2012): How do skilled traders change the structure of the market, International Review of Financial Analysis 23, pp. 66-71 |
| Granty: | 402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj |
| Abstrakt: | We extend the original heterogeneous agent model of Brock and Hommes (1998) by introducing the concept of skilled traders. The idea of skilled traders is based on the endeavor of market agents to estimate future price movements. We distinguish between the three groups of skilled traders according to their trading strategies. The first group consists of skilled traders who estimate the trend parameter and have randomly generated bias. The second group has fixed bias to zero, and the third group, most advanced one, is able to estimate the bias parameter. The most interesting result from simulations is that for all model settings the stock market changes its structure at some point with growing number of skilled traders. |
