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

ACTA WASAENSIA 191138 dnmat(5,2) = fastbin(nf(2), pmat(5,2)); % f2 -> c1139 dnmat(6,1) = fastbin(nc(2), pmat(6,1)); % c2 -> f1140 dnmat(6,2) = fastbin(nf(1), pmat(6,2)); % f1 -> c2141142143 % (4*2) draws of traders switching between stocks / bonds144145 dnbmat(1,1) = fastbin(nb, pbmat(1,1)); % b -> c1146 dnbmat(2,1) = fastbin(nb, pbmat(2,1)); % b -> c2147 dnbmat(3,1) = fastbin(nb, pbmat(3,1)); % b -> f1148 dnbmat(4,1) = fastbin(nb, pbmat(4,1)); % b -> f2149150 dnbmat(1,2) = fastbin(nc(1), pbmat(1,2)); %c1 -> b151 dnbmat(2,2) = fastbin(nc(2), pbmat(2,2)); %c2 -> b152 dnbmat(3,2) = fastbin(nf(1), pbmat(3,2)); %f1 -> b153 dnbmat(4,2) = fastbin(nf(2), pbmat(4,2)); %f2 -> b154155156 % Calculation of stock population increments157158 dnc(1)= dnmat(1,2) + dnmat(3,2) + dnmat(5,2) + dnbmat(1,1) - ...159 dnmat(1,1) - dnmat(3,1) - dnmat(5,1) - dnbmat(1,2);160 dnc(2)= dnmat(1,1) + dnmat(4,2) + dnmat(6,2) + dnbmat(2,1) - ...161 dnmat(1,2) - dnmat(4,1) - dnmat(6,1) - dnbmat(2,2);162 dnf(1)= dnmat(2,2) + dnmat(3,1) + dnmat(6,1) + dnbmat(3,1) - ...163 dnmat(2,1) - dnmat(3,2) - dnmat(6,2) - dnbmat(3,2);164 dnf(2)= dnmat(2,1) + dnmat(4,1) + dnmat(5,1) + dnbmat(4,1) - ...165 dnmat(2,2) - dnmat(4,2) - dnmat(5,2) - dnbmat(4,2);166167168 % Update of trader populations169170 nc = nc + dnc; %(1*2) updated chartist populations171 nf = nf + dnf; %(1*2) updated fundamentalist populations172 nb = N - sum([nc nf]); %(scalar) upd. bond population173174175 % Update of (1*2) trading prices176177 dp = (l*dnc + (pf-p).*dnf)./nf; %(1*2) price increments178 p = p + dp; %(1*2) updated trading prices179180181 % Update of traders cash182183 price = exp(p); %(1*2) ordinary trading price184 ccash = ccash-dnc.*price; %(1*2) aggr. chartists cash