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

ACTA WASAENSIA 17140 beta = 6; %reaction speed of the auctioneer in integer time steps41 tc = 10/N; %trading volume of average chartist42 tf = 5/N; %trading volume of avg. fund. on 1 currency unit mispricing43 a1 = 0.6; %importance of opinion index x for chartist expectation44 a2 = 0.2; %importance of price change pdot for chartist expectation45 a3 = 0.5; %importance of profit differentials for c/f switches46 s = 0.75; %discount factor47 sigma = 0.05; %imprecision in excess demand perception484950 % % Parameter set II:51 %52 % v1 = 4; %integer time frequency of optimist/pessimist revaluation53 % v2= 1; %integer time frequency of chartist/fundament. revaluation54 % beta = 4; %reaction speed of the auctioneer in integer time steps55 % tc = 7.5/N; %trading volume of average chartist56 % tf = 5/N; %trading volume of avg. fund. on 1 currency unit mispricing57 % a1 = 0.9; %importance of opinion index x for chartist expectation58 % a2 = 0.25; %importance of price change pdot for chartist expectation59 % a3 = 1; %importance of profit differentials for c/f switches60 % s = 0.75; %discount factor61 % sigma = 0.1; %imprecision in excess demand perception626364 % % Parameter set III:65 %66 % v1 = 0.5; %integer time frequency of optimist/pessimist revaluation67 % v2= 0.5; %integer time frequency of chartist/fundament. revaluation68 % beta = 2; %reaction speed of the auctioneer in integer time steps69 % tc = 10/N; %trading volume of average chartist70 % tf = 10/N; %trading volume of avg. fund. on 1 currency unit mispricing71 % a1 = 0.75; %importance of opinion index x for chartist expectation72 % a2 = 0.25; %importance of price change pdot for chartist expectation73 % a3 = 0.75; %importance of profit differentials for c/f switches74 % s = 0.8; %discount factor75 % sigma = 0.1; %imprecision in excess demand perception767778 % % Parameter set IV:79 %80 % v1 = 2; %integer time frequency of optimist/pessimist revaluation81 % v2= 0.6; %integer time frequency of chartist/fundament. revaluation82 % beta = 4; %reaction speed of the auctioneer in integer time steps83 % tc = 5/N; %trading volume of average chartist84 % tf = 5/N; %trading volume of avg. fund. on 1 currency unit mispricing85 % a1 = 0.8; %importance of opinion index x for chartist expectation86 % a2 = 0.2; %importance of price change pdot for chartist expectation