. "Grantov\u00E9ho projekt je zam\u011B\u0159en na konstrukci a verifikaci model s heterogenn\u00EDmi agenty ve financ\u00EDch.\u00A0Navrhovan\u00FD model pou\u017E\u00EDv\u00E1 jako z\u00E1klad model Hommese a Brocka z roku 1988. Nov\u00FD model bude obsahovat mo\u017Enost m\u011Bnit n\u00E1ladu investor\u016F na trhu, co\u017E umo\u017En\u00ED simulovat st\u0159\u00EDd\u00E1n\u00ED \u00A0f\u00E1z\u00ED optimismu a pesimismu na finan\u010Dn\u00EDm trhu. Tato vlastnost n\u00E1m dovoluje simulaci re\u00E1ln\u00E9ho finan\u010Dn\u00EDho trhu. Simulovan\u00E1 data budou pot\u00E9 porovn\u00E1ny s daty re\u00E1ln\u00FDmi, nap\u0159. s indexy akciov\u00FDch trh\u016F. V\u00FDsledky budou d\u00E1le analyzov\u00E1ny pomoc\u00ED wavelet\u016F.\u00A0Wavelety jsou relativn\u011B nov\u00FD a velmi perspektivn\u00ED n\u00E1stroj pro anal\u00FDzu finan\u010Dn\u00EDch trh\u016F. Tyto metody n\u00E1m\u00A0pom\u00E1haj\u00ED detekovat aktivitu investor\u016F na r\u016Fzn\u00FDch \u0161k\u00E1l\u00E1ch a tak\u00E9 jejich p\u0159esnou lokalizaci. Projekt m\u00E1 za c\u00EDl vysv\u011Btlit n\u011Bkter\u00E9 specifick\u00E9 vlastnosti finan\u010Dn\u00EDch trh\u016F pomoc\u00ED navrhovan\u00E9ho modelu s heterogenn\u00EDmi agenty." . "2008-01-01+01:00"^^ . . "0"^^ . . "1"^^ . . . "Analysis of the Heterogeneous Agents Models in Finance"@en . . . . "0"^^ . "The goal of the grant project was construction a heterogeneous agent models on financial markets. The first model includes a possibility to change the mood of the investors on the market. A change in sentiment is defined as a shift in beliefs about the future trend value. Our results show that the introduction of changing sentiment in the proposed form does not change the persisten"@en . . . . . . "2010-04-16+02:00"^^ . "GP402/08/P207" . " heterogeneous agents model with stochastic memory" . . "agents' trading strategies" . "13"^^ . . . . "http://www.isvav.cz/projectDetail.do?rowId=GP402/08/P207"^^ . "13"^^ . "Projekt byl zam\u011B\u0159en na v\u00FDzkum model\u016F s heterogenn\u00EDmy agenty na fina\u010Dn\u00EDch trz\u00EDch. Jedn\u00EDm z hlavn\u00EDch p\u0159\u00EDnos\u016F projektu je konstrukce skupiny model\u016F s heterogenn\u00EDmy agenty, kter\u00E9 replikuj\u00ED charakteristiky \u010Dasov\u00FDch \u0159ad re\u00E1ln\u00FDch trh\u016F. Poda\u0159ilo se vytvo\u0159it nov\u00FD druh modelu, kde je mo\u017En\u00E9 simulovat zm\u011Bny n\u00E1lady investor\u016F, tj. sentimentu na trhu. Zm\u011Bna sentimentu je definov\u00E1na jako posun o\u010De"@cs . "Anal\u00FDza model\u016F s heterogenn\u00EDmi agenty ve financ\u00EDch" . "2015-03-20+01:00"^^ . "2010-12-31+01:00"^^ . "agents' trading strategies; heterogeneous agents model with stochastic memory; worst out algorithm"@en . . "The goal of the grant project is the construction and verification of a heterogeneous agent model which will be an extension of the model developed by Brock and Hommes. The new model will include a possibility to change the mood of the investors on the market. This modification will allow changing phases of optimism and pessimism and will enable generation of more realistic financial time series. The outputs of our model will be compared to real market data such as market indices. For an analysis of the results, we intend to use wavelets, which is a relatively new tool for analyzing financial time series. The wavelet analysis is, in some sense, complementary to the existing analyzing techniques, such as the correlation and the spectral analysis, andappears to be a very convenient tool for activity detection on various scales of the price time series. The ambition of the project is to explain some stylized facts in finance with the heterogeneous agent model."@en .