Berlin 2015 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 8: Poster

SOE 8.22: Poster

Montag, 16. März 2015, 18:00–20:00, Poster E

Long memory in a minimal trading model. — •Philipp Heyken, Felix Patzelt, and Klaus Pawelzik — Institute for Theoretical Physics, University of Bremen, Germany

In economics, markets are commonly assumed to absorb available information such that only previously unknown information states lead to price changes. How such 'learning' might be realized in real markets, however, is unknown. It was shown in a minimal multi-agent model, that the redistribution of assets can serve as a learning mechanism [1].

In particular, we find that information states which are presented frequently lead to decreasing price-change magnitudes over time. Detailed analysis shows how information is stored via imprints in the asset distribution. The memory capacity depends on the size of the system and is characterized by a phase transition. Beyond the critical point the system stores information states incrementally without any forgetting. At the critical point of the system size, forgetting exhibits power-law-behavior over time such that once presented information states still leave permanent traces.

[1] F. Patzelt and K. Pawelzik: An Inherent Instability of Efficient Markets, Scientific Reports 3, 2784 (2013)