Hamburg 2001 – scientific programme

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DY: Dynamik und Statistische Physik

DY 46: Poster

DY 46.84: Poster

Thursday, March 29, 2001, 15:45–18:15, Foyer S\ 3

Computer simulations of a microscopic trader-based market model — •Wolfgang Paul and Christian Hammel — Institut für Physik, Johannes-Gutenberg-Universität, 55099 Mainz

Wir present simulations of a trader-based market model proposed by Bak et al. [P. Bak, M. Paczuski, M. Shubik, Physica A 246, 430 (1997)]. The traders either want to buy or sell one share in a stock and update their price ideas according to rules including imitation and volatility feedback. The stationary state of the model displays a log-normal distribution of the bid and ask prices relative to the market price. We show which parameters of the model determine this state and in which region of parameter space the model reproduces phenomenological real market behavior. Furthermore we discuss an extension of the model where each trader is assigned a random number of shares. The distribution of these random budgets follows the trading volume distribution observed for the DAX stock index in 1999.