How do skilled traders change the structure of the market

Lukas Vacha, Jozef Baruník and Miloslav Vošvrda

International Review of Financial Analysis, 2012, vol. 23, issue C, 66-71

Abstract: We extend the original heterogeneous agent model of Brock and Hommes (1998) by introducing the concept of skilled traders. The idea of skilled traders is based on the endeavor of market agents to estimate future price movements. We distinguish between the three groups of skilled traders according to their trading strategies. The first group consists of skilled traders who estimate the trend parameter and have randomly generated bias. The second group has fixed bias to zero, and the third group, most advanced one, is able to estimate the bias parameter. The most interesting result from simulations is that for all model settings the stock market changes its structure at some point with growing number of skilled traders.

Keywords: Heterogeneous agent model; Market structure; Skilled traders; Hurst exponent (search for similar items in EconPapers)
JEL-codes: C15 D84 G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105752191100072X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:23:y:2012:i:c:p:66-71

DOI: 10.1016/j.irfa.2011.06.011

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().