Dresden 2017 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 8: Economic Models I

SOE 8.1: Vortrag

Dienstag, 21. März 2017, 10:15–10:30, GÖR 226

A time-homogeneous system of money and antimoney in an agent-based multi good economy — •Julian Stein, Simon Lanzmich, and Dieter Braun — Systems Biophysics LMU

Financial crises appear through human history. One source of financial instability might be the creation of money, as the credit mechanism leads to non-local transfer of purchasing power [1]. Motivated by an analogy to particle physics, locality and time-homogeneity can be imposed on monetary systems. As a result, full reserve banking is implemented by a two-currency system of non-bank (money) and bank assets (antimoney) [2]. Payments are made by passing on money or receiving antimoney. A free floating exchange rate between non-bank assets and bank assets is established. Interestingly, credit creation is replaced in this monetary memory by a liquidity transfer that simultaneously transfers money and antimoney at a negotiated exchange rate. We want to study whether the problem of credit crunches is mitigated once a full time symmetry of the monetary system is maintained.

To compare the prevailing monetary system to the money-antimoney system, simulations in an agent-based random economy are performed. In the economy, households and firms apply different stochastic trading strategies to exchange goods (and liquidity) via a limit order book mechanism. The system's dynamics are studied with respect to price evolution and the agents' phase space distributions of the utility and monetary wealth, similar to recent studies [3,4].

[1] New J Phys 16, 033024 (2014), [2] Physica A 290, 491 (2001), [3] Rev ModPhys 81, 1703 (2009), [4] QFin 11.7, 991-1041 (2011)