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

ACTA WASAENSIA 18944 nf=zeros(1,2); %(1*2) vector of current fundamentalist populations45 dnf=zeros(1,2); %(1*2) increments in fundam. pop’s at microstep46 nfhist=zeros(T,2); %(T*2) history of fundamentalist populations4748 pmat=zeros(6,2); %(6*2) strategy transition prob’s in stocks49 dnmat=zeros(6,2); %(6*2) stockinvestors changing strategy50 %Entries in the matrices above:51 % c1->c2 c2->c152 % f1->f2 f2->f153 % c1->f1 f1->c154 % c2->f2 f2->c255 % c1->f2 f2->c156 % c2->f1 f1->c25758 pbmat = zeros(4,2); %(4*2) transitions between bonds and stocks59 dnbmat= zeros(4,2); %(4*2) traders switching betw. bonds/ stocks60 %Entries in the matrices above:61 % b ->c1 c1 -> b62 % b ->c2 c2 -> b63 % b ->f1 f1 -> b64 % b ->f2 f2 -> b656667 % Initialize random variables (Statistics Toolbox User Guide p. 2-11)6869 state = 137;70 rand(’state’, state);71 randn(’state’, state);727374 % Initialize strategy populations at equilibrium7576 nc0=fix(N*ones(1,2)/8); nc=nc0; %round towards lower integer77 nf0=ceil(N*ones(1,2)/8); nf=nf0; %round towards higher integer78 nb0=N-sum([nc0,nf0]); nb=nb0; %rest is bondinvestors798081 % Initialization of traders aggregate cash for tc=1, Pf0=exp(pf0)=18283 ccash = zeros(1,2); %(1*2) implies chartist start wealth = nc84 fcash = zeros(1,2); %(1*2) fundamentalist’s cash: no stocks at p=pf8586 cchist = zeros(T,2); %(T*1) history of chartist aggregate cash87 cfhist = zeros(T,2); %(T*1) history of fundamentalist aggr. cash888990 %Simulation loop with price and population recording at integer steps