Wavelet Decomposition of the Financial Market

Lukas Vacha and Miloslav Vošvrda

Prague Economic Papers, 2007, vol. 2007, issue 1, 38-54

Abstract: A heterogeneous agents model with the Worst Out Algorithm (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: heterogeneous agents model with stochastic memory; worst out algorithm; wavelet; agents' trading strategies (search for similar items in EconPapers)
JEL-codes: C61 D81 G12 G14 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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DOI: 10.18267/j.pep.296

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