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

188 ACTA WASAENSIAA6Matlab code for simulation of the allocation model inchapter 51 function [stock1,stock2,ewindex,cwindex] = Allocation(T)2 % ALLOCATION simulates Asset Allocation model3 % SYNTAX: [STOCK1,STOCK2,EWINDEX,CWINDEX] = ALLOCATION(T)4 % INPUT: T = scalar number of observations to simulate5 % OUTPUT: STOCK1 = (T*1) logreturns of stock 16 % STOCK2 = (T*1) logreturns of stock 27 % EWINDEX = (T*1) logreturns of equal weighted index8 % CWINDEX = (T*1) logreturns of cap. weighted index9 %10 % written by Bernd Pape, University of Vaasa, Finland111213 tic %start clock1415 % Technical Parameters1617 steps = 500; %nuber of microsteps per integer time step18 N = 500; %number of traders1920 % Model Parameters2122 pf=zeros(1,2); %(1*2) logarithmic fundamental prices23 v=0.001; %# stock/strategy revaluations per macro time step24 vb=0.04; %# asset allocation revaluations p. macro time step25 a=0.1; %strength of infection within stocks26 ab=0.4; %strength of infection between stocks / bonds27 l=0.5; %leverage parameter (tc/tf)28 s=0.8; %discount factor for fundamentalist profits293031 % Initialization of vector and matrix dimensions3233 p=pf; %(1*2) vector of current trading prices34 dp=zeros(1,2); %(1*2) price increments at micro time step35 phist=zeros(T,2); %(T*2) logprice history at integer steps36 Phist=zeros(T,2); %(T*2) trading price history at integer steps3738 c = zeros(1,2); %(1*2) current chartist utilities3940 nc=zeros(1,2); %(1*2) vector of current chartist populations41 dnc=zeros(1,2); %(1*2) increments in chart. pop’s at microstep42 nchist=zeros(T,2); %(T*2) history of chartist populations43