Heterogeneous Agent Model And Numerical Analysis Of Learning
AbstractThe Efficient Markets Hypothesis provides a theoretical basis for trading rules. Technical trading rules provide a signal of when to buy or sell an asset based on such price patterns to the user. Technical traders tend to put little faith in strict efficient markets. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. The traders determine whether current conditions call for the acquisition of fundamental information in a forward looking manner rather than relying on past performance. This approach relies on heterogeneity in the agent information and subsequent decisions either as fundamentalists or as chartists. Changing of the chartist's profitability and fundamentalist's positions is the basis of cycles behaviour. It was shown that a level of profitability for particular agent patterns is very sensitive on the structure of memory weights and the memory lengths. It was shown that different values of these memory coefficients can significantly change the preferences of trader strategies. This paper shows an influence of the learning agents process on a level of agent pattern profitability.
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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 9 (2002)
Issue (Month): 17 ()
efficient markets hypothesis; technical trading rules; heterogeneous agent model with memory and learning; asset price behaviour;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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- Lukáš Vácha & Miloslav Vošvrda, 2007. "Wavelet Decomposition of the Financial Market," Prague Economic Papers, University of Economics, Prague, vol. 2007(1), pages 38-54.
- Lukáš Vácha & Miloslav Vošvrda, 2006. "Wavelet Applications to Heterogeneous Agents Model," Working Papers IES 2006/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
- Lukáš Vácha & Jozef Barunik & Miloslav Vošvrda, 2009. "Smart Agents and Sentiment in the Heterogeneous Agent Model," Prague Economic Papers, University of Economics, Prague, vol. 2009(3), pages 209-219.
- Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2009. "Smart predictors in the heterogeneous agent model," Journal of Economic Interaction and Coordination, Springer, vol. 4(2), pages 163-172, November.
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