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

174 ACTA WASAENSIA181 nmout = max([nmout-ones(1,2);zeros(1,2)]);182 end183 while nf-sum(nfout) 1 %if more chartists than allowed197 np = fix(np/zrel); %reduce number of optimists198 nm = fix(nm/zrel); %reduce number of pessimists199 nc = np + nm; %update number of chartists200 nf = N - nf; %update number of fundamentalists201 end202203 % Calculation of excess demand (Lux p.684)204 EDc = (np-nm)*tc; %excess demand by chartists205 EDf = nf*tf*(pf-p); %excess demand by fundamentalists206 ED = EDc + EDf; %overall excess demand207208 % Calculation of new aggregate holdings209 chold = chold + EDc; %new aggregate chartist holdings210 fhold = fhold + EDf; %new aggregate fundamentalist holdings211212 % Update of the trading price p213 ppadj = beta*(ED+sigma*randn)*100/steps;%price adjust. probab.214 p=p+sign(ppadj)*(abs(ppadj)>rand)/100; %adjustment unit 1 cent215216 % Update of aggregate traders cash217 ccash = ccash - EDc*p; %new chartists aggregate chash218 fcash = fcash - EDf*p; %new fundamentalists aggr. cash219220 % Update of pdot and precent221 pdot = steps*(p-precent(1))/plag; %=dp/dt, dt=plag/steps222 precent(1:plag-1)=precent(2:plag); %move recent price history223 precent(plag) = p; %insert current price224225 % Update of the remaning state variables x and z226 x = (np-nm)/nc; %opinion index227 z = nc/N; %chartist index