Using the theory of dynamic systems with random structure the representation of nonstationary continuous time, generally non-Gaussian, processes with distinguishable states is considered. Switching of the partial subsystems is intended to be a Poisson point process and so the model has the...

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...