Smart predictors in the heterogeneous agent model

被引：0
作者：
Jozef Barunik
Lukas Vacha
Miloslav Vosvrda
机构：
[1] Institute of Information Theory and Automation of the ASCR,
[2] Institute of Economic Studies,undefined
[3] Charles University in Prague,undefined
来源：
Journal of Economic Interaction and Coordination | 2009年 / 4卷
关键词：
Heterogeneous agent model; Market structure; Smart traders; Hurst exponent; C15; D84; G14;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We extend the original heterogeneous agent model by introducing the concept of smart traders. The idea of smart traders is based on the endeavor of market agents to estimate future price movements. The main result of the simulations is that the probability distribution functions of the price deviations change significantly with an increasing number of smart traders in the model. We also find that the Hurst exponent is significantly increasing with an increasing number of smart traders in the simulations. Hence the introduction of the smart traders concept into the model results in significantly higher persistence of the simulated price deviations.
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页码：163 / 172
页数：9
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