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

90 ACTA WASAENSIATable 1. Parameter sets used by Lux & Marchesi (2000) and in the replicating simulationsofthissection.Parameter set I Parameter set II Parameter set III Parameter set IVN 500 500 500 500p f 10 10 10 10r 0.004 0.004 0.004 0.004v 1 3 4 0.5 2v 2 2 1 0.5 0.6β 6 4 2 4T c 10 7.5 10 5T f 5 5 10 5α 1 0.6 0.9 0.75 0.8α 2 0.2 0.25 0.25 0.2α 3 0.5 1 0.75 1s 0.75 0.75 0.8 0.75σ 0.05 0.1 0.1 0.05n − and n f in such a manner that the stability condition zrand(n,1)),which fills a n×1 column vector with p, compares it element wise to a n×1 columnvector filled with U[0, 1] distributed pseudo-random numbers, and sums up the number