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Heterogeneous Agent Model And Numerical Analysis Of Learning

  • Miloslav Vošvrda
  • Lukáš Vácha

The 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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File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/112
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Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

Volume (Year): 9 (2002)
Issue (Month): 17 ()
Pages:

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Handle: RePEc:czx:journl:v:9:y:2002:i:17:id:112
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  1. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. 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.
  3. Barucci, Emilio, 2000. "Exponentially fading memory learning in forward-looking economic models," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1027-1046, June.
  4. William A. Brock, 2001. "Growth Theory, Nonlinear Dynamics and Economic Modelling," Books, Edward Elgar Publishing, number 1491 edited by W. D. Dechert.
  5. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  6. 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 326-40, June.
  7. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
  8. Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Zeeman, E. C., 1974. "On the unstable behaviour of stock exchanges," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 39-49, March.
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