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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 4: Financial Markets and Risk Management
SOE 4.6: Vortrag
Montag, 16. März 2015, 12:00–12:15, MA 001
Dynamics of multi-asset artificial markets considering inter-market transactions of two types of traders: risk-seekers and risk avoiders — •Hidenori Mabe1, Yu Chen2, Fujio Toriumi1, and Hirotada Ohashi1 — 1Department of Systems Innovation, the University of Tokyo, Japan — 2Department of Human and Engineered Environmental Studies, the University of Tokyo, Japan
Most studies of artificial financial markets focused on dynamics of a single asset in a single market. However, there is no independent market in reality, and all markets all over the world are connected in some ways. Market participants move repeatedly their investment capitals from one asset to another crossing various markets. We construct a multi-asset artificial market model to investigate dynamics of interacting markets. The model is composed of several assets and two types of agents. One type corresponds to risk-avoiders who invest based on values of fundamentals, which depend on a time series of exchange rates. The other corresponds to risk-seekers who tend to invest in highly volatile assets. The resulting dynamics becomes complex because of the interactions between agents' behavior and price changes of assets. Some stylized facts such as fat-tail distributions and volatility clustering are observed. We investigate the spread of influences of price changes among assets. Price fluctuations of an asset caused by risk-seekers lead to those of others in which risk-avoiders mainly participate. Negative correlations between returns and volatility are observed and, we think, this represents a phenomenon called volatility anomaly, which is contrary to the conventional wisdom in financial engineering.