English, Article edition: WAVELET DECOMPOSITION OF THE FINANCIAL MARKET Lukáš Vácha; Miloslav Vošvrda

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Bookmark: http://trove.nla.gov.au/version/197731
Physical Description
  • article
Language
  • English

Edition details

Title
  • WAVELET DECOMPOSITION OF THE FINANCIAL MARKET
Author
  • Lukáš Vácha
  • Miloslav Vošvrda
Physical Description
  • article
Notes
  • 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.
  • worst out algorithm, wavelet, heterogeneous agents model with stochastic memory, agents' trading strategies
  • RePEc:prg:jnlpep:v:2007:y:2007:i:1:id:296:p:38-54
Language
  • English
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