| bibtype |
J -
Journal Article
|
| ARLID |
0367045 |
| utime |
20240103195824.3 |
| mtime |
20120828235959.9 |
| WOS |
000318536000008 |
| DOI |
10.1016/j.irfa.2011.06.011 |
| title
(primary) (eng) |
How do skilled traders change the structure of the market |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0367044 |
| ISSN |
1057-5219 |
| title
|
International Review of Financial Analysis |
| volume_id |
23 |
| volume |
1 (2012) |
| page_num |
66-71 |
| publisher |
|
|
| keyword |
Heterogeneous agent model |
| keyword |
Market structure |
| keyword |
Skilled traders |
| keyword |
Hurst exponent |
| author
(primary) |
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| project |
| project_id |
GP402/08/P207 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0241655 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2013 |
| RIV |
AH |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0201836 |
| mrcbT16-q |
19 |
| mrcbT16-s |
0.497 |
| mrcbT16-y |
37.9 |
| mrcbT16-x |
1.05 |
| mrcbT16-4 |
Q2 |
| mrcbT16-E |
Q2 |
| arlyear |
2012 |
| mrcbU34 |
000318536000008 WOS |
| mrcbU63 |
cav_un_epca*0367044 International Review of Financial Analysis 1057-5219 1873-8079 Roč. 23 č. 1 2012 66 71 Elsevier |
|