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

ACTA WASAENSIA 175228229 end % end of inner loop over micro time steps230231 % Upadate history of state variables at integer time steps232 phist(t) = p; %(T*1) trading price history233 xhist(t) = x; %(T*1) opinion index history234 zhist(t) = z; %(T*1) chartist index history235236 % Upate history of traders’ holdings and cash237 hchist(t) = chold; %(T*1) chartist holdings history238 hfhist(t) = fhold; %(T*1) fundamentalist holdings history239 cchist(t) = ccash; %(T*1) chartist cash history240 cfhist(t) = fcash; %(T*1) fundamentalist cash history241242243 end % end of outer loop over integer time steps244245246 % Claculate logreturns247248 lnp = log([pf; phist]); %((T+1)*1) vector of logarithmic prices249 rhist = lnp(2:T+1)-lnp(1:T); %(T*1) vector of logreturns250251252 % Calculate history of traders wealth253254 cwealth = hchist.*phist + cchist; %(T*1) chartist wealth255 fwealth = hfhist.*phist + cfhist; %(T*1) fundamentalist wealth256257258 % Plot history of Lux’ state variables259260 figure;261 subplot(4,1,1), plot(phist), title(’Trading Price’);262 subplot(4,1,2), plot(rhist), title(’Logreturns’);263 subplot(4,1,3), plot(zhist); title(’Chartist Index’);264 subplot(4,1,4), plot(xhist); title(’Opinion Index’);265266267 % Plot history of traders holdings and wealth268269 figure;270 subplot(2,1,1), plot([hchist,hfhist]), title(’Traders holdings’);271 subplot(2,1,2), plot([cwealth,fwealth]), title(’Traders wealth’);272273274 % Plot history of marketmaker holdings and wealth