Acta Oeconomica Pragensia 2007, 15(4):49-55 | DOI: 10.18267/j.aop.74

Fractal Properties of the Financial Market

Lukáš Vácha
Mgr. Lukáš Vácha - research fellow; Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nábřeží 6, 111 01 Prague 1, Czech Republic, vachal@utia.cas.cz

The paper is concerned with an implementation of behavioral aspects of a heterogeneous agents model (HAM) with the worst out algorithm (WOA). The WOA replaces periodically the trading strategies that have the lowest performance level of all strategies presented on the market by the new ones. The model includes a possibility to change the mood of the investors on the market. This modification allows for changing phases of optimism and pessimism. This feature enables generation of more realistic financial time series. It is shown how a mood change on the financial market influence a persistence of financial time series.

Keywords: agents' trading strategies, heterogeneous agents model with stochastic memory, worst out algorithm, mood change
JEL classification: C61, D81, G12, G14

Published: August 1, 2007  Show citation

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Vácha, L. (2007). Fractal Properties of the Financial Market. Acta Oeconomica Pragensia, 15(4), 49-55. doi: 10.18267/j.aop.74
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