Regensburg 2002 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 12: Postersitzung

AKSOE 12.4: Poster

Montag, 11. März 2002, 16:00–18:00, D

The role of the book in (artificial) financial markets — •Lorenzo Matassini — Noethnitzer Str. 38, 01187 Dresden

We propose a model of the stockmarket where N independent traders can place orders to trade a stock. The main ingredient of the model is represented by the book, the list where all the orders are stored. We show that the stylized facts of financial markets arise as a consequence of the collective behavior of agents.

According to us the usual distinction between fundamentalists and noise traders is not necessary. All the agents simply want to maximize the profit and minimize the risk. The decision to sell is taken according to the trading rectangle rule. Since only when you sell you cash the money you have won or you realize your loss, it is much more important to identify the right moment to leave the market rather then the proper moment to buy.

We provide a mechanism to produce news and advertisements, whose purpose is to let all the agents know some information about the overall behavior of the market. The model leads to a kind of self-organized criticality which is responsible of the alternation between laminar and turbulent trading. The best utilization of resources occurs at a critical point characterized by the transition between the excess-demand and the excess-supply phases.