Dresden 2003 – wissenschaftliches Programm

Bereiche | Tage | Auswahl | Suche | Downloads | Hilfe

AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Finanzm
ärkte und Risikomanagement III

AKSOE 10.3: Vortrag

Donnerstag, 27. März 2003, 15:00–15:30, BAR/205

Price formation under local market knowledge — •Miguel A. Santos, Kono Masahiro, Frank Schweitzer, and Heinz Mühlenbein — Fraunhofer Institute for Autonomous Intelligent Systems, Schloss Birlinghoven, 53754 Sankt Augustin, Germany

Recently, a modified version of the Sznajd model was proposed as a simple mechanism of price formation in financial markets. In contrast to usual Ising-like spin models, its local dynamics corresponds to a spread of opinions among traders. In common to usual models, one single rationalist with a global market knowledge is able to sustain the market in a state outside the regime of fundamentalism, where all traders want to sell or all want to buy. In this work, we consider how this picture changes when several rationalist traders interact having only a local market knowledge.