Wavelet Applications to Heterogeneous Agents Model

Lukas Vacha and Miloslav Vošvrda

No 2006/21, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: 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.

Keywords: agents’ trading strategies; heterogeneous agent model with stochastic memory; worst out algorithm; wavelet (search for similar items in EconPapers)
JEL-codes: C61 D84 G14 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2006-04, Revised 2006-04
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ies.fsv.cuni.cz/default/file/download/id/4119 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://ies.fsv.cuni.cz/default/file/download/id/4119 [301 Moved Permanently]--> https://ies.fsv.cuni.cz/default/file/download/id/4119)

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:fau:wpaper:wp2006_21

Access Statistics for this paper

More papers in Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().