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How do skilled traders change the structure of the market
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SYSNO ASEP 0367045 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title How do skilled traders change the structure of the market Author(s) Vácha, Lukáš (UTIA-B) RID
Baruník, Jozef (UTIA-B) RID, ORCID
Vošvrda, Miloslav (UTIA-B) RIDNumber of authors 3 Source Title International Review of Financial Analysis. - : Elsevier - ISSN 1057-5219
Roč. 23, č. 1 (2012), s. 66-71Number of pages 6 s. Language eng - English Country NL - Netherlands Keywords Heterogeneous agent model ; Market structure ; Skilled traders ; Hurst exponent Subject RIV AH - Economics R&D Projects GAP402/10/0956 GA ČR - Czech Science Foundation (CSF) GP402/08/P207 GA ČR - Czech Science Foundation (CSF) GA402/09/0965 GA ČR - Czech Science Foundation (CSF) Institutional support UTIA-B - RVO:67985556 CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000318536000008 DOI 10.1016/j.irfa.2011.06.011 Annotation We extend the original heterogeneous agent model of Brock and Hommes (1998) by introducing the concept of skilled traders. The idea of skilled traders is based on the endeavor of market agents to estimate future price movements. We distinguish between the three groups of skilled traders according to their trading strategies. The first group consists of skilled traders who estimate the trend parameter and have randomly generated bias. The second group has fixed bias to zero, and the third group, most advanced one, is able to estimate the bias parameter. The most interesting result from simulations is that for all model settings the stock market changes its structure at some point with growing number of skilled traders. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2013
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