Dresden 2006 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.12: Poster

Wednesday, March 29, 2006, 16:00–18:00, P2

Feedback between market return and excess demand of heterogeneous interacting traders — •Fernando Pigeard de Almeida Prado — f,p

We introduce an agent-based model for the price dynamics of financial assets.

In this model each trader evaluates the fundamental value of the asset differently from each other. Each trader is also influenced by the opinion of some local trusted peers.

For uniformly distributed evaluations of the fundamental value of the asset we find a dynamical critical point of the price evolution which is determined by the competition of social susceptibility and the trader’s heterogeneity. Below the critical point we compute exactly the approach to equilibrium of the market return in terms of an average over realizations of the stochastic dynamics.

Non-rigorous treatment of the critical point suggests the occurrence of price oscillations with a frequency determined the ratio of return rate and social heterogeneity.

For a more sharply peaked heterogeneity distribution we prove that the invariant measure of the decision process is an Ising measure on the network. Here equilibrium criticality is determined by the network structure and the strength of social susceptibility.