Regensburg 2004 – wissenschaftliches Programm
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 10: Mikro-ökonomische Modelle und Multi-Agenten-Systeme
AKSOE 10.2: Vortrag
Donnerstag, 11. März 2004, 15:00–15:30, H8
Finite Size Effects in Herding Models — •Friedrich Wagner1, Simone Alfarano2, and Thomas Lux2 — 1Institut für theoretische Physik, Universität Kiel — 2Institut für Volkswirtschaft, Universität Kiel
Agent models to describe stock indices are usually applied at fixed number N of agents, as f.e. the Lux-Marchesi model (LMM) [1]. As shown in [2] LMM exhibits only gaussean fluctuations and no herding if N → ∞. As a paradigma for herding we treat the ant model of [3]. In this model the herding parameters in the transition probability for one agent to change his oppinion have to scale with N and do not depend only on the concentration as in LMM. If this N-dependence is omitted as one could do for fixed N, also this model becomes trivial for N → ∞. This motivates our believe that the independence on N of the herding term in LMM is responsible for the triviality at large number of agents.
[1] T.Lux, M.Marchesi, Nature 397(1999)498
E.Egenter, T.Lux, D.Stauffer Physica A 268(1999)250
A.Kirman Quant. Journ. Econ. 108(1993) 137