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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 4: Financial Markets and Risk Management

SOE 4.1: Vortrag

Montag, 16. März 2015, 10:45–11:00, MA 001

Markets, herding and response to external information — •Adrián Carro, Raúl Toral, and Maxi San Miguel — Instituto de Física Interdisciplinar y Sistemas Complejos, IFISC (UIB-CSIC), Universitat de les Illes Balears, Palma de Mallorca, Spain

We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by an external dynamic signal of information. This signal can be interpreted as a time-varying advertising, public perception or rumor, in favor or against one of two possible trading behaviors, thus breaking the symmetry of the system and acting as a continuously varying exogenous shock. As an illustration, we use a well-known German Indicator of Economic Sentiment as information input and compare our results with Germany’s leading stock market index, the DAX, in order to calibrate some of the model parameters. We study the conditions for the ensemble of agents to more accurately follow the information input signal. The response of the system to the external information is maximal for an intermediate range of values of a market parameter, suggesting the existence of three different market regimes: amplification, precise assimilation and undervaluation of incoming information.