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Wavelet Applications to Heterogeneous Agents Model

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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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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  1. 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.
  2. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  3. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. 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.
  5. 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.
  6. 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.
  7. 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).
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