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Wavelet Applications to Heterogeneous Agents Model

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Author Info
Lukáš Vácha (Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Prague, Czech Republic)
Miloslav Vošvrda () (Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Prague, Czech Republic)

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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.

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File URL: http://ies.fsv.cuni.cz/default/file/download/id/4119
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Publisher Info
Paper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2006/21.

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Length: 15 pages
Date of creation: Apr 2006
Date of revision: Apr 2006
Handle: RePEc:fau:wpaper:wp2006_21

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Related research
Keywords: agents’ trading strategies heterogeneous agent model with stochastic memory worst out algorithm wavelet

Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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This page was last updated on 2008-7-25.

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