About: Wavelet Decomposition of the Financial Market

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Model heterogenních agentů s algoritmem %22nejhorší z kola ven%22 byl uvažován pro získání reálných tržních podmínek. Periodicky se nahrazují tržní strategie, a to tak, že výkonově nejhorší strategie opouští trh a nahrazuje ji jiná běžná strategie. Nové strategie, které vstupují na trh mají obdobnou pravděpodobnostní strukturu jako jejich předchůdci. Tento článek aplikuje vlnovou analýzu pro novou reprezentaci kapitálového trhu. (cs) 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. 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. (en)
Title	Wavelet Decomposition of the Financial Market Vlnová dekompozice finančního trhu (cs) Wavelet Decomposition of the Financial Market (en)
skos:prefLabel	Wavelet Decomposition of the Financial Market Vlnová dekompozice finančního trhu (cs) Wavelet Decomposition of the Financial Market (en)
skos:notation	RIV/67985556:_____/07:00079209!RIV07-AV0-67985556
http://linked.open.../vavai/riv/strany	38;54
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/04/1026), P(GA402/06/1417), Z(AV0Z10750506), Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2007
http://linked.open...aciTvurceVysledku	Vošvrda, Miloslav Vácha, Lukáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	461124
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/07:00079209
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	agents' trading strategies; heterogeneous agents model with stochastic memory; worst out algorithm; wavelet (en)
http://linked.open.../riv/klicoveSlovo	wavelet heterogeneous agents model with stochastic memory agents' trading strategies worst out algorithm
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[0F1525313C9F]
http://linked.open...i/riv/nazevZdroje	Prague Economic Papers
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Aggregation principles in economic-mathematical models Mathematical modeling of the microstructure of the financial markets with the non-synchronous trading
http://linked.open...UplatneniVysledku	2007
http://linked.open...v/svazekPeriodika	16
http://linked.open...iv/tvurceVysledku	Vošvrda, Miloslav Vácha, Lukáš
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech Development of the Czech Society in the EU: challenges and risks
issn	1210-0455
number of pages	17 (xsd:int)

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