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

170 ACTA WASAENSIAAAppendixA1Matlab code for replication of the simulation study byLux & Marchesi1 function returns = LM2000(T)2 % LM2000 replicates Lux/Marchesi (2000) IJTAF 3(4), 675-7023 % SYNTAX: RETURNS = LM2000(T)4 % INPUT: T = scalar number of return observations to simulate5 % OUTPUT: RETURNS = (T*1) simulated logreturns6 %7 % NOTE: Choice of parameter set by uncommenting (that is,8 % removing the leading % in front of) the relevant9 % block titled ’Parameter set I’ to ’Parameter set IV’.10 %11 % written by Bernd Pape, University of Vaasa, Finland1213 tic; %start clock1415 % initialize random variables (Statistics Toolbox User Guide p. 2-11)16 state = 137;17 rand(’state’, state);18 randn(’state’, state);192021 % Technical parameters2223 steps = 500; %number of microsteps per integer time step24 plag = 100; %number of microsteps in determination of pdot252627 % Constant model parameters:2829 N = 500; %number of agents30 nmin = 4; %minimum number of agents in each strategy31 pf = 10; %fundamental price32 r = 0.004; %nominal dividends of the asset33 R = 0.0004; %ecomonies’ average rate of return343536 % Parameter set I:3738 v1 = 3; %integer time frequency of optimist/pessimist revaluation39 v2= 2; %integer time frequency of chartist/fundament. revaluation