Wavelet Decomposition of the Financial Market
A heterogeneous agents model with the worst out algorithm 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.
Volume (Year): 2007 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: nam. W. Churchilla 4, 130 67 Praha 3|
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC
|Order Information:|| Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic|
Web: http://www.vse.cz/pep/ Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brock, W.A. & Hommes, C.H., 1996.
"Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model,"
9621, Wisconsin Madison - Social Systems.
- 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.
- Miloslav Vošvrda & Lukáš Vácha, 2002. "Heterogeneous Agent Model And Numerical Analysis Of Learning," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(17).
- Chiarella, Carl & He, Xue-Zhong, 2003.
"Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker,"
Cambridge University Press, vol. 7(04), pages 503-536, September.
- 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.
- 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.
- John Haltiwanger & Michael Waldman, 1983. "Rational Expectations and the Limits of Rationality: An Analysis of Heterogeneity," UCLA Economics Working Papers 303, UCLA Department of Economics.
- 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.
- Miloslav Vošvrda & Lukáš Vácha, 2003. "Heterogeneous agent model with memory and asset price behaviour," Prague Economic Papers, University of Economics, Prague, vol. 2003(2).
- Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
- Lukáš Vácha & Miloslav S. Vošvrda, 2005. "Dynamical Agents' Strategies and the Fractal Market Hypothesis," Prague Economic Papers, University of Economics, Prague, vol. 2005(2), pages 163-170.
When requesting a correction, please mention this item's handle: RePEc:prg:jnlpep:v:2007:y:2007:i:1:id:296:p:38-54. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Frantisek Sokolovsky)
If references are entirely missing, you can add them using this form.