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Dynamical agents' strategies and the fractal market hypothesis
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SYSNO ASEP 0411317 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Dynamical agents' strategies and the fractal market hypothesis Title Dynamické strategie agentů a fraktální hypotéza trhu Author(s) Vácha, Lukáš (UTIA-B) RID
Vošvrda, Miloslav (UTIA-B) RIDSource Title Prague Economic Papers. - : Vysoká škola ekonomická v Praze - ISSN 1210-0455
Roč. 14, č. 2 (2005), s. 172-179Number of pages 8 s. Language eng - English Country CZ - Czech Republic Keywords efficient market hypothesis ; fractal market hypothesis ; agent's investment horizons Subject RIV AH - Economics CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2006
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