Moods Modelling on the Financial Markets

Heterogeneous agents model with the stochastic forecasts formation is considered. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. Chartists determine whether current conditions call for the acquisition of fundamental information in a forward looking manner rather than relying on the past performance. It was shown that implementation of the agents memory can significantly change the preferences of trader strategies. The Worst Out Algorithm (WOA) is used with considered heterogeneous agents model to simulate more realistic financial market conditions. The WOA replaces periodically the trading strategy that has the lowest performance level of all strategies presented on the financial market by the new one. The memory length of the new strategy that enters on the financial market has the same stochastic structure as the initial strategies. This paper shows an influence of the mood change on the financial market structure. This feature is simulated by changing of the forecast structure trend.