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Wavelet Applications to Heterogeneous Agents Model

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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.

Suggested Citation

  • 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.
    • Handle: RePEc:fau:wpaper:wp2006_21
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    References listed on IDEAS

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    1. Haltiwanger, John & Waldman, Michael, 1985. "Rational Expectations and the Limits of Rationality: An Analysis of Heterogeneity," American Economic Review, American Economic Association, vol. 75(3), pages 326-340, June.
    2. Lukáš Vácha & Miloslav S. Vošvrda, 2005. "Dynamical Agents' Strategies and the Fractal Market Hypothesis," Prague Economic Papers, Prague University of Economics and Business, vol. 2005(2), pages 163-170.
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    6. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    7. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    8. William A. Brock & Cars H. Hommes, 2001. "A Rational Route to Randomness," Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 16, pages 402-438, Edward Elgar Publishing.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    agents’ trading strategies; heterogeneous agent model with stochastic memory; worst out algorithm; wavelet;
    All these keywords.

    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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