Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 8: Poster Session

AKSOE 8.8: Poster

Montag, 7. März 2005, 14:00–15:30, Poster TU E

Analysis of the performance of microscopic models of stock markets. — •Roberto Monetti, Wolfram Bunk, Ferdinand Jamitzky, Christoph Raeth, and Gregor Morfill — CIPS, Max-Planck-Institut für extraterrestrische Physik, Giessenbachstr 1, 85748 Garching, Germany

Recently, several microscopic models have been proposed to reproduce certain aspects of the stock markets dynamics. They are motivated by a quest for a possible universal dynamics underlying different markets. Here, we discuss the ability of two recently proposed models (Phys. Rev. Lett. 89, 158701, 2002; Phys. Rev. E 69, 046112 2004) to mimic non-linear properties as expressed by the Fourier Phase Maps. Using the Fourier phases { φ_k^→ } and a phase shift Δ^→, we represent the phase information on a 2D space via the phase maps M= { (φ_k^→, φ_{k^→ + Δ^→}) }. The information rendered on this space is analyzed using the spectrum of weighting scaling indices to detect phase coupling at any scale Δ^→. Our analysis reveals that the logarithmic stock returns of the Dow Jones displays a novel characteristic scale of non-linearities. Our method is then used as a “test bed” for model generated time series which should reproduce this property. The results may help to improve microscopic models of the dynamics of the stock market.