Dresden 2006 – scientific programme

Parts | Days | Selection | Search | Downloads | Help

AKSOE: Physik sozio-ökonomischer Systeme

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

AKSOE 10.3: Poster

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

Variations of the Bak Asset Market Model — •Boris Brodda, Johannes J. Schneider, Sebastian Golke, Tobias Preis, and Wolfgang Paul — Institute of Physics, Johannes Gutenberg University of Mainz, Staudinger Weg 7, 55099 Mainz, Germany

In the Bak stock market model, several agents buy and sell shares at a virtual stock market. In this model, which can be generalized also to other kinds of assets, the agents update their individual conceptions of the price for buying and selling an asset, respectively, according to the current market price, a drift probability, and an imitative behavior [1].

We introduce several variations of this Bak model by adding new approaches for volatility feedbacks. One approach already mentioned in [1] consists of adapting the individual conceptions according to the price change during some time interval. Another approach focuses on the agents’ strategies, which contain profit taking, stop loss orders, and momentum analysis.

In our investigations, we concentrate on some stylized facts of the asset returns, which can e.g. be determined from the autocorrelation function of returns and absolute returns.

[1] P. Bak, M. Paczuski, and M. Shubik, Physica A 246, 430, 1997.