Smart Agents and Sentiment in the Heterogeneous Agent Model

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SYSNO ASEP	0325504
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Smart Agents and Sentiment in the Heterogeneous Agent Model
Title	Pohotoví agenti a sentiment v modelu heterogennich agentů
Author(s)	Vácha, Lukáš (UTIA-B)_RID Baruník, Jozef (UTIA-B)_{RID, ORCID} Vošvrda, Miloslav (UTIA-B)_RID
Source Title	Prague Economic Papers. - : Vysoká škola ekonomická v Praze - ISSN 1210-0455 Roč. 18, č. 3 (2009), s. 209-219
Number of pages	11 s.
Publication form	www - www
Language	eng - English
Country	CZ - Czech Republic
Keywords	heterogeneous agent model ; market structure ; smart traders ; Hurst exponent
Subject RIV	AH - Economics
R&D Projects	LC06075 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
	GP402/08/P207 GA ČR - Czech Science Foundation (CSF)
	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	In this paper we extend the original heterogeneous agent model by introducing smart traders and changes in agents' sentiment. The main result of the simulations is that the probability distribution functions of the price deviations change significantly when smart traders are added to the model, and they also change significintly when changes in sentiment are introduced.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2010

Number of the records: 1