Regensburg 2007 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 4: Poster Session (posters are expected to be displayed the full day (9:00-18:00)

AKSOE 4.5: Poster

Montag, 26. März 2007, 16:30–18:00, Poster D

Analysis of a multi-agent-based order book model describing a financial market — •Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes Josef Schneider — Institute of Physics, Johannes Gutenberg University of Mainz, Staudinger Weg 7, 55099 Mainz, Germany

We recently introduced a realistic order book model [1] which is able to generate the stylized facts of financial markets. Now we analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical hypothesis that a nontrivial Hurst exponent implies not necessarily long-term correlations. An additional coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution.

[1] T. Preis, S. Golke, W. Paul, and J. J. Schneider, Multi-agent–based Order Book Model of financial markets, Europhys. Lett. 75, 510, 2006.