Berlin 2005 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 8: Poster Session

AKSOE 8.12: Poster

Monday, March 7, 2005, 14:00–15:30, Poster TU E

When Fundamentalists Benfit From Chartists — •Roland Rothenstein and Klaus Pawelzik — Universität Bremen, Institut für Theoretische Physik, Otto-Hahn-Allee 1, 28359 Bremen

Agent based stock market models serve to test long standing hypothesis in economics. Here we investigated if agents representing fundamental traders do indeed take advantage from the presence of speculators. We use a paradigmatic stock market model in which the fundamentalists are modeled by stochastic orders whose mean is predictable while agents representing chartists base their orders on predictions of returns. Our simulations reveal that the fundamentalists generally attain a larger mean turnover of stocks and money when a large population of chartists with random prediction parameters participates in trading. Interestingly, the system self-organizes into a stationary state where the remaining price fluctuations are unpredictable and have a power-law distribution such that the mean profit rate for the speculators seem to vanish. Our results confirm that speculative markets can provide an efficient feedback control to a dynamical system from which in the long run only the fundamentalists take advantage.