| bibtype |
J -
Journal Article
|
| ARLID |
0087969 |
| utime |
20240103184622.8 |
| mtime |
20071025235959.9 |
| title
(primary) (eng) |
Fractal Properties of the Financial Market |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0297072 |
| ISSN |
0572-3043 |
| title
|
Acta Oeconomica Pragensia |
| volume |
4 (2007) |
| page_num |
49-55 |
|
| title
(cze) |
Fraktální vlastnosti finančních trhů |
| keyword |
Agents’ trading strategies |
| keyword |
Heterogeneous agents model with stochastic memory |
| keyword |
worst out algorithm |
| keyword |
Mood change |
| author
(primary) |
| 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. |
|
| cas_special |
| project |
| project_id |
GD402/03/H057 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0010985 |
|
| project |
| project_id |
GA402/06/1417 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0213949 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
The paper is concerned with an implementation of behavioral aspects of a heterogeneous agents model (HAM) with the worst out algorithm (WOA). The WOA replaces periodically the trading strategies that have the lowest performance level of all strategies presented on the market by the new ones. The model includes a possibility to change the mood of the investors on the market. This modification allows for changing phases of optimism and pessimism. This feature enables generation of more realistic financial time series. It is shown how a mood change on the financial market influence a persistence of financial time series. |
| abstract
(cze) |
Článek se zabývá implementací a dopady behaviorálního přístupu v modelu s heterogenními agenty za použití tzv. worst out algoritmu (WOA). Tento algoritmus nahrazuje strategie s nízkou výkonností strategiemi novými. Prezentovaný model s heterogenními agenty zahrnuje možnost měnit náladu investorů na finančním trhu. Této vlastnosti je využíváno pro generování simulací. V článku je ukázáno jak změny nálady na finančním trhu ovlivňují perzistenci generované cenové časové řady. |
| reportyear |
2008 |
| RIV |
BD |
| permalink |
http://hdl.handle.net/11104/0149670 |
| arlyear |
2007 |
| mrcbU63 |
cav_un_epca*0297072 Acta Oeconomica Pragensia 0572-3043 4 15 č. 4 2007 49 55 |
|