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

190 ACTA WASAENSIA9192 for t = 1:T %Start outer loop over integer time steps9394 for st = 1:steps %start inner loop over micro time steps9596 % Calculate traders utilities9798 c(1) = (nc(1)+nf(1)-nc(2)-nf(2))/N;99 c(2) = -c(1); %(1*2) chartist utilities100 f = s*abs(pf-p); %(1*2) fundamentalist utilities101102103 % Fill probability matrix for transitions within stocks104105 pmat(1,1) = c(2) - c(1); % c1 -> c2106 pmat(2,1) = f(2) - f(1); % f1 -> f2107 pmat(3,1) = f(1) - c(1); % c1 -> f1108 pmat(4,1) = f(2) - c(2); % c2 -> f2109 pmat(5,1) = f(2) - c(1); % c1 -> f2110 pmat(6,1) = f(1) - c(2); % c2 -> f1111 pmat(:,2) = -pmat(:,1); % reverse direction of col. 1112113 pmat = (v/steps)*exp(a*pmat); %(6*2) transition prob’s114115116 % Fill prob-matrix for transitions between stocks / bonds117118 ne = N - nb; %# equity investors119 pbe = exp(ab*(ne-nb)/N); %p_BE: from bond to equity120 pbmat(1:2,1) = nc’*(pbe/ne); % b -> c1; b -> c2121 pbmat(3:4,1) = nf’*(pbe/ne); % b -> f1; b -> f2122 pbmat(:,2) = repmat(1/pbe,4,1); % c1, c2, f1, f2 -> b123124 pbmat = (vb/steps)*pbmat; %(4*2) transition prob’s125126127 % (6*2) draws of traders leaving their strategy w’in stocks128129 dnmat(1,1) = fastbin(nc(1), pmat(1,1)); % c1 -> c2130 dnmat(1,2) = fastbin(nc(2), pmat(1,2)); % c2 -> c1131 dnmat(2,1) = fastbin(nf(1), pmat(2,1)); % f1 -> f2132 dnmat(2,2) = fastbin(nf(2), pmat(2,2)); % f2 -> f1133 dnmat(3,1) = fastbin(nc(1), pmat(3,1)); % c1 -> f1134 dnmat(3,2) = fastbin(nf(1), pmat(3,2)); % f1 -> c1135 dnmat(4,1) = fastbin(nc(2), pmat(4,1)); % c2 -> f2136 dnmat(4,2) = fastbin(nf(2), pmat(4,2)); % f2 -> c2137 dnmat(5,1) = fastbin(nc(1), pmat(5,1)); % c1 -> f2