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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 22: Economic Models

SOE 22.7: Vortrag

Donnerstag, 19. März 2015, 16:30–16:45, MA 001

Price dynamics: zero-intelligence and strategic traders. — •Wei-Te Yu and Hsuan-Yi Chen — Department of Physics, National Central University, Jhongli 32001, Taiwan

Understanding price dynamics is one of the important things in studying financial markets. We propose an agent-based model with an order book to study how the price changes evolve. In our model, the agents have infinite money to put buying orders. Shares held by the agents are put on the selling order according to specific strategies which depends on price history. First, agent with zero intelligence, i.e., buying and selling orders are put randomly, are used in the simulations. Then the results of zero-intelligence-agent simulations are compared to markets with technical trading strategies. This allows us to distinguish features of price dynamics that could be attributed to the price-history-dependent trading strategies.