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Wavelet Decomposition of the Financial Market

SYSNO ASEP	0079209
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Wavelet Decomposition of the Financial Market
Title	Vlnová dekompozice finančního trhu
Author(s)	Vošvrda, Miloslav (UTIA-B)_RID Vácha, Lukáš (UTIA-B)_RID
Source Title	Prague Economic Papers. - : Vysoká škola ekonomická v Praze - ISSN 1210-0455 Roč. 16, č. 1 (2007), s. 38-54
Number of pages	17 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	agents' trading strategies ; heterogeneous agents model with stochastic memory ; worst out algorithm ; wavelet
Subject RIV	AH - Economics
R&D Projects	GA402/04/1026 GA ČR - Czech Science Foundation (CSF)
	GA402/06/1417 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2007

Number of the records: 1