کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085019 | 1477930 | 2012 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How do skilled traders change the structure of the market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 23, June 2012, Pages 66-71
Journal: International Review of Financial Analysis - Volume 23, June 2012, Pages 66-71
نویسندگان
Lukas Vacha, Jozef Barunik, Miloslav Vosvrda,