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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 10: Finanzm
ärkte und Risikomanagement III
AKSOE 10.3: Talk
Thursday, March 27, 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.