Publication at Faculty of Mathematics and Physics, Faculty of Social Sciences |
2007
Abstract
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.