| bibtype |
J -
Journal Article
|
| ARLID |
0411317 |
| utime |
20240103182318.0 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Dynamical agents' strategies and the fractal market hypothesis |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0290424 |
| ISSN |
1210-0455 |
| title
|
Prague Economic Papers |
| volume_id |
14 |
| volume |
2 (2005) |
| page_num |
172-179 |
| publisher |
| name |
Vysoká škola ekonomická v Praze |
|
|
| title
(cze) |
Dynamické strategie agentů a fraktální hypotéza trhu |
| keyword |
efficient market hypothesis |
| keyword |
fractal market hypothesis |
| keyword |
agent's investment horizons |
| 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. |
|
| author
|
| 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. |
|
| COSATI |
05D |
| cas_special |
| project |
| project_id |
454/2004/A EK/FSV |
| agency |
GA UK |
| country |
CZ |
|
| project |
| project_id |
GD402/03/H057 |
| ARLID |
cav_un_auth*0010985 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
The efficient market hypothesis (EMH) fails as a valid model of financial markets. The fractal market hypothesis (FMH) is a more general alternative way to the EMH. The FMH is formed on the following parameter space: agents' investment horizons. A financial market is more stable when a fractal character in the structures of agent's investment horizons is adopted. For computer simulation, the classical model is modified and demand and supply adjusted agents' investment horizons model is used. |
| abstract
(cze) |
Fraktální hypotéza trhu (FMH) je zobecněním klasické efektivní hypotézy trhu (EMH), která dnes již nedokáže zcela přesvědčivě vysvětlovat empirická pozorování. FMH rozlišuje investiční horizonty agentů. V případě fraktální struktury investičních horizontů agentů je finanční trh je stabilnější. Pro počítačové simulace byl použit modifikovaný model s heterogenímy agenty. |
| RIV |
AH |
| reportyear |
2006 |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0131400 |
| ID_orig |
UTIA-B 20050045 |
| arlyear |
2005 |
| mrcbU63 |
cav_un_epca*0290424 Prague Economic Papers 1210-0455 2336-730X Roč. 14 č. 2 2005 172 179 Vysoká škola ekonomická v Praze |
|