Dresden 2003 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 3: Postersitzung

AKSOE 3.3: Poster

Montag, 24. März 2003, 15:45–17:15, P1

Efficency and the Efficent Market Hypothesis in stock market models — •Roland Rothenstein and Klaus Pawelzik — University of Bremen, Institut for Theoretical Physics, Otto-Hahn-Alle 1, D-28334 Bremen

We investigate the conditions under which the notion of an efficient market (as stated by the efficient market hypothesis in economy) matches the capability of an agent based market model to estimate a ’true’ value (which is equivalent to the term of efficency studied by most physicists). For this purpose, we present a novel approach to create an informationally efficient market and study the connection between both interpretations of efficiency e.g. by investigating the ability of the model to estimate a fundamental value. Our results demonstrate, that an informationally efficient market does not automatically induce Gaussian fluctuations. We also show that in such an efficient market the performance of an agent does not depend on the complexity (of prediction mechanism) of an agent.