BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

130 ACTA WASAENSIA0.4Logreturns Asset 10.20−0.2−0.40 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2x 10 4Chartist and Fundamentalist Holdings in Asset 1 for t c=12001000−1000 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2x 10 4Logreturns Asset 20.40.20−0.2−0.4−0.60 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2x 10 4Chartist and Fundamentalist Holdings in Asset 2 for t c=12001000−100−2000 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2x 10 4Figure 15. Logreturns and traders inventories in stock 1 (upper two panels) and stock2 (lower two panels) for t c = 1. The dark solid lines denote chartist holdings,and the light dotted lines fundamentalist holdings in the respectivestock.