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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Year of publication:	2006-04
Authors:	Vošvrda, Miloslav ; Vácha, Lukáš
Institutions:	Institut ekonomických studií, Univerzita Karlova v Praze
Subject:	agents’ trading strategies \| heterogeneous agent model with stochastic memory \| worst out algorithm \| wavelet

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Extent:	application/pdf
Series:	Working Papers IES.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2006/21 15 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G14 - Information and Market Efficiency; Event Studies ; D84 - Expectations; Speculations
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005067754