Počet záznamů: 1

How do skilled traders change the structure of the market

  1. 1.
    0367045 - UTIA-B 2013 RIV NL eng J - Článek v odborném periodiku
    Vácha, Lukáš - Baruník, Jozef - Vošvrda, Miloslav
    How do skilled traders change the structure of the market.
    International Review of Financial Analysis. Roč. 23, č. 1 (2012), s. 66-71 ISSN 1057-5219
    Grant CEP: GA ČR GAP402/10/0956; GA ČR GP402/08/P207; GA ČR GA402/09/0965
    Výzkumný záměr: CEZ:AV0Z10750506
    Institucionální podpora: RVO:67985556
    Klíčová slova: Heterogeneous agent model * Market structure * Skilled traders * Hurst exponent
    Kód oboru RIV: AH - Ekonomie
    http://library.utia.cas.cz/separaty/2012/E/vacha-how do skilled traders change the structure of the market.pdf http://library.utia.cas.cz/separaty/2012/E/vacha-how do skilled traders change the structure of the market.pdf

    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.
    Trvalý link: http://hdl.handle.net/11104/0201836