Teil eines Buches,
Models of Financial Markets with Extensive Participation Incentives
Abstract Book of the XXIII IUPAP International Conference on Statistical Physics, Genova, Italy, (9-13 July 2007)
Zusammenfassung
Many agent-based models of financial markets studied by physicists are based on the Minority Game. However, since the winners in the games belong to the minority group, the participation of the players may not be sustainable were they given the option to withdraw from the market. Here, we consider models in which all parties involved find incentives to participate. For the players, market behaviour typical of those in real financial markets, such as trendsetting and arbitraging, emerge naturally from the adaptive dynamics of the agents' strategies. We also find the conditions under which the wealth of the player community is a positive sum. The market-makers share the wealth by imposing spreads in the bid and ask prices in an evolutionary market. The new players have incentives to participate, since they learn to play with better initial strategies from observing the market. We test the applicability of the model on real Hang Seng Index over 20 years. Comparisons with other models show that our model has a superior performance when applied to real financial markets.
