Prague Economic Papers 2007, 16(1):38-54 | DOI: 10.18267/j.pep.296

Wavelet Decomposition of the Financial Market

Lukáš Vácha, Miloslav Vošvrda
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic and Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague (vosvrda@utia.cas.cz)

A heterogeneous agents model with the Worst Out Algorithm (WOA) 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.

Klíčová slova: heterogeneous agents model with stochastic memory, worst out algorithm, wavelet, agents' trading strategies
JEL classification: C61, D81, G12, G14

Zveřejněno: 1. leden 2007  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Vácha, L., & Vošvrda, M. (2007). Wavelet Decomposition of the Financial Market. Prague Economic Papers, 16(1), 38-54. doi: 10.18267/j.pep.296
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Abramovich F., Bailey T. C., Sapatinas T. (1999), "Wavelet Analysis and its Statistical Applications." J. R. Statist. Soc. D, 48.
    2. Brock, W. A., Hommes, C. H. (1997), "A Rational Route to Randomness." Econometrica. Přejít k původnímu zdroji...
    3. Brock, W. A., Hommes, C. H. (1998), "Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model." Journal of Economic Dynamics and Control, 22. Přejít k původnímu zdroji...
    4. Brock, W. A. (2001), "Growth Theory, Nonlinear Dynamics and Economic Modeling." Edward Elgar.
    5. Chiarella, C. (1992), "The Dynamics of Speculative Behaviour." Annals of Operational Research, 37. Přejít k původnímu zdroji...
    6. Chiarella, C., He, X. (2000), "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. Quantitative Finance Research Group." University of Technology Sydney, Research Paper No. 35.
    7. Gaunersdorfer, A. (2000), "Endogenous Fluctuations in a Simple Asset Pricing Model with Heterogeneous Agents." Journal of Economic Dynamics and Control, 24. Přejít k původnímu zdroji...
    8. Gençay, R., Selçuk, F., Whitcher, B. (2002), "An Introduction to Wavelets and Other Filtering Methods in Finance and Economics." Academic Press. Přejít k původnímu zdroji...
    9. Haltiwanger, J., Waldman, M. (1985), "Rational Expectations and the Limits of Rationality: an Analysis of Heterogeneity." American Economic Review, 75.
    10. Hommes, C. H. (2006), "Heterogeneous Agent Models in Economics and Finance," in Tesfatsion, L., Judd, K. L. (eds.), Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics. Elsevier Science B.V. Přejít k původnímu zdroji...
    11. Los, C. A. (2003), "Financial Market Risk: Measurement and Analysis." Routledge International Studies in Money and Banking. London, UK : Taylor and Francis Books Ltd.
    12. Lucas, R. E. (1978), "Asset Prices in an Exchange Economy." Econometrica, 46. Přejít k původnímu zdroji...
    13. Lorenz, H.-W. (1993), "Nonlinear Dynamical Economics and Chaotic Motion." Berlin : Springer Verlag. Přejít k původnímu zdroji...
    14. Lux, T. (1997), "Economics Dynamics. Phase Diagrams and their Economic Application." Cambridge : Cambridge University Press.
    15. Mallat, S. (1998), "A Wavelet Tour of Signal Processing." Academic Press. Přejít k původnímu zdroji...
    16. Percival, D. B., Walden, A. T. (2000), "Wavelet Methods for Time series Analysis." Cambridge : Cambridge University Press. Přejít k původnímu zdroji...
    17. Peters, E. (1994), "Fractal Market Analysis, Applying Chaos Theory to Investment and Economics." Springer.
    18. Vácha, L., VoSvrda, M. (2005), "Dynamical Agents' Strategies and the Fractal Market Hypothesis." Prague Economic Papers, 14(2), pp. 172-179. ISSN 1210-0455. Přejít k původnímu zdroji...
    19. Vošvrda, M. (2001), "Bifurcation Routes in Financial Markets." 19th International Conference Mathematical Methods in Economics 2001, Hradec Králové.
    20. Vošvrda, M., Vácha L. (2002 a), "Heterogeneous Agent Model with Memory and Asset Price Behaviour." Proceedings of the 20th International Conference Mathematical Methods in Economics 2002, Ostrava, pp. 273-282.
    21. Vošvrda, M., Vácha L. (2002 b), "Heterogeneous Agent Model and Numerical Analysis of Learning." Bulletin of the Czech Econometric Society, No. 17, pp. 15-22. ISSN 1212-074X.
    22. Vošvrda, M., Vácha L. (2003), "Heterogeneous Agent Model with Memory and Asset Price Behaviour." Prague Economic Papers, (12)2, pp. 155-168, ISSN 1210-0455. Přejít k původnímu zdroji...

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah