Publication at Faculty of Mathematics and Physics, Faculty of Social Sciences |
2009
Abstract
We extend the original heterogeneous agent model by introducing the concept of smart traders. The idea of smart traders is based on the endeavor of market agents to estimate future price movements.
The main result of the simulations is that the probability distribution functions of the price deviations change significantly with an increasing number of smart traders in the model. We also find that the Hurst exponent is significantly increasing with an increasing number of smart traders in the simulations.
Hence the introduction of the smart traders concept into the model results in significantly higher persistence of the simulated price deviations.