Berlin 2015 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 8: Poster

SOE 8.29: Poster

Monday, March 16, 2015, 18:00–20:00, Poster E

Study of the Ecology of Multi-Assets Stock Market: An Agent-Based Model Approach — •YowKeong Lew and Yu Chen — Graduate School of Frontier Sciences, The University of Tokyo, 5-1-5 Kashiwanoha, Kashiwa City, Chiba Province, Japan

We use an agent-based model for multi-assets stock market to study the ecology of random and mean-variance traders, in particular on the mechanism of price formation and the origin of cross-correlations between the assets. Furthermore, we will evaluate the market impact of mean variance optimized trading on the volatility and cross-correlation structure of the multi-asset stock market. As a preliminary result, the constructed model is able to reproduce related important stylized-facts of univariate and multivariate price processes. We show that mean-variance optimized trading make the market more efficient in terms of cross-correlation but, on the other hand, more volatile.