Regensburg 2010 – scientific programme
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 6: Poster Session
SOE 6.6: Poster
Monday, March 22, 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)