Heterogeneous Agent Model And Numerical Analysis Of Learning

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.