Regensburg 2010 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 6: Poster Session

SOE 6.6: Poster

Montag, 22. März 2010, 18:00–20:00, Poster C

Self-organized critical improvidence — •Tobias Tubbenhauer¹, Stefan Bornholdt¹, and Thomas Lux² — ¹Institut für Theoretische Physik, Universität Bremen, Otto-Hahn-Allee, 28359 Bremen — ²Institut für Volkswirtschaftslehre, Universität Kiel, Olshausenstraße 40, 24118 Kiel

Risk is an inherent property of stock markets [1,2]. Motivated by the dynamics of the recent financial crisis, we here study the balance between the willingness to take risks and the desire for security of investors in an agent-based artificial market. In the clash of these two conflicting interests we observe dynamical regimes that are reminiscent of the currently observed risk taking behavior of investors after the recent market crisis. We observe critical behavior in the dynamics of our toy market, indicating that the behavior of the agents quickly leads to new systemic risk, even shortly after a major crash.
[1] E. Samanidou, E. Zschischang, D. Stauffer, and T. Lux, Agent-based Models of Financial Markets, Rep. Prog. Phys. 70, 409 - 450 (2007)
[2] T. Lux, D. Colander, A. Haas, M. Goldberg, K. Juselius, A. Kirman, and B. Sloth, The Financial Crises and the Systemic Failure of Academic Economics, Critical Review 21, 249 - 267 (2009)