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

192 ACTA WASAENSIA185 fcash = fcash+dnc.*price; %(1*2) aggr. fundament. cash186187188 end %end inner loop over micro time steps189190 % Update history of state variables at integer time steps191192 phist(t,:)=p; %(T*2) history of logarithmic trading prices193 Phist(t,:)=price; %(T*2) history of ordinary trading prices194 nchist(t,:)=nc; %(T*2) history of chartist populations195 nfhist(t,:)=nf; %(T*2) history of fundamentalist populations196197198 % Record history of cash199200 cchist(t,:) = ccash; %(scalar) chartists aggregate cash201 cfhist(t,:) = fcash; %(scalar) fundamentalists aggr. cash202203204 end %end outer loop over integer time steps205206207 % Calculation of Return Series208209 %Individual logreturns210 rhist = phist-[pf;phist(1:T-1,:)]; %(T*2) individual logreturns211 corr = corrcoef(rhist); %(2*2) cross-correlation matrix of returns212213 %Equal weighted index returns214 ret = exp(rhist); %(T*2) individual gross returns215 ewret = mean(ret,2)-1; %(T*1) equally weighted index net-returns216217 %Capitalization weighted index returns218 price = exp([pf; phist(1:T-1,:)]); %(T*2) lagged price history219 weight = price./repmat(sum(price,2),1,2); %(T*2) cap. weigths220 cwret = sum(weight.*ret,2)-1; %(T*1) cap-weighted index net-returns221222 %Index logreturns223 ewlret = log(1+ewret); %(T*1) logreturns of equally weigthed index224 cwlret = log(1+cwret); %(T*1) logreturns of cap-weighted index225 avlret = mean(rhist,2); %(T*1) average logreturns226227228 % Calculate history of traders holdings normalized at tc=1229230 hchist = nchist; %(T*2) chartist aggr. holdings history for tc=1231 hfhist = nfhist.*(repmat(pf,T,1)-phist)/l; %(T*2) fund. holdings