Wavelet Applications to Heterogeneous Agents Model
AbstractA 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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Bibliographic InfoPaper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2006/21.
Length: 15 pages
Date of creation: Apr 2006
Date of revision: Apr 2006
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; 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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