| bibtype |
J -
Journal Article
|
| ARLID |
0079209 |
| utime |
20240103183919.9 |
| mtime |
20070221235959.9 |
| title
(primary) (eng) |
Wavelet Decomposition of the Financial Market |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0290424 |
| ISSN |
1210-0455 |
| title
|
Prague Economic Papers |
| volume_id |
16 |
| volume |
1 (2007) |
| page_num |
38-54 |
| publisher |
| name |
Vysoká škola ekonomická v Praze |
|
|
| title
(cze) |
Vlnová dekompozice finančního trhu |
| keyword |
agents' trading strategies |
| keyword |
heterogeneous agents model with stochastic memory |
| keyword |
worst out algorithm |
| keyword |
wavelet |
| author
(primary) |
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
12B |
| cas_special |
| project |
| project_id |
GA402/04/1026 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001809 |
|
| project |
| project_id |
GA402/06/1417 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0213949 |
|
| project |
| project_id |
454/2004/A-EK FSV |
| agency |
GA UK |
| country |
CZ |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
A heterogeneous agents model with the worst out algorithm 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. |
| abstract
(cze) |
Model heterogenních agentů s algoritmem "nejhorší z kola ven" byl uvažován pro získání reálných tržních podmínek. Periodicky se nahrazují tržní strategie, a to tak, že výkonově nejhorší strategie opouští trh a nahrazuje ji jiná běžná strategie. Nové strategie, které vstupují na trh mají obdobnou pravděpodobnostní strukturu jako jejich předchůdci. Tento článek aplikuje vlnovou analýzu pro novou reprezentaci kapitálového trhu. |
| reportyear |
2007 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0144049 |
| arlyear |
2007 |
| mrcbU63 |
cav_un_epca*0290424 Prague Economic Papers 1210-0455 2336-730X Roč. 16 č. 1 2007 38 54 Vysoká škola ekonomická v Praze |
|