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

172 ACTA WASAENSIA87 % a3 = 1; %importance of profit differentials for c/f switches88 % s = 0.75; %discount factor89 % sigma = 0.05; %imprecision in excess demand perception90919293 % Initialization of aggregated trading volume9495 Tc = N*tc; %aggregated chartists trading volume96 Tf = N*tf; %aggreg. fundamentalists trading volume per unit mispricing979899 % Initialization of vector and matrix dimensions100101 precent = repmat(pf,plag,1); %(plag*1) vector of recent prices102 phist = zeros(T,1); %(T*1) vector of price history at integer time steps103 xhist = zeros(T,1); %(T*1) vector of opinion index history104 zhist = zeros(T,1); %(T*1) history of fraction of chartists105106 hchist = zeros(T,1); %(T*1) history of chartist holdings107 hfhist = zeros(T,1); %(T*1) history of fundamentalist holdings108 cchist = zeros(T,1); %(T*1) history of chartist cash109 cfhist = zeros(T,1); %(T*1) history of fundamentalist cash110111112 expU = zeros(3,2); %(3*2) potential exponentials and their inverses113114115 % Upper threshold for fraction of chartists for stationary dynamics116 % from solving quadratic equation (condition 1, page 686) for z117118 a = 2*beta*Tc*(a2-a3/pf); %quadratic term in z119 b = 2*v1*(a1-1)+beta*(2*a3*Tc/pf+Tf); %linear term in z120 zmax = sqrt((b/(2*a))^2+beta*Tf/a)-b/(2*a); %upper crossing with 0121122123 % Randomly initialize population of trading strategies124 % with at least nmin agents in every stratgy125126 % number of chartists is random number between 0 and zmax*N,127 % but not less than 2*nmin and not more than N-nmin128 nc = min([max([fix(rand*zmax*N) 2*nmin]) N-nmin]);129 nf = N-nc; %number of fundamentalists130 % number of optimists is random number between 0 and nc,131 % but not less than nmin and not more than nc-nmin132 np = min([max([round(rand*nc) nmin]) nc-nmin]);133 nm = nc-np; %number of pessimistic chartists