Building a Simulation Model of Foreign Exchange Market: Reproduction of Yen Dollar Market

DOI

10.2991/jcis.2006.319How to use a DOI?

Keywords

Foreign Exchange Market, Artificial Market, Agent-Based Simulation, Econophysics

Abstract

The purpose of this study is to make a basic Foreign Exchange Market Model. It is important to make a simple basic model at first to understand the complex emergence of exchange rate which is caused by various factors. The model is a multiagent-based model, consisting of dealer and speculator. Both agents’ action relies on market trend and their personality, either trend follower/ Contrarian. In this paper, the simulation experiments are done by changing the ratio of Trend Follower and Contrarian. As a result, the complex fluctuation of exchange rate can be observed. The validity of this model is evaluated by the effect between the size of fluctuation and probability.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Ayako Usami
AU  - Ryunosuke Tsuya
AU  - Takashi Iba
AU  - Hideki Takayasu
PY  - 2006/10
DA  - 2006/10
TI  - Building a Simulation Model of Foreign Exchange Market: Reproduction of Yen Dollar Market
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.319
DO  - 10.2991/jcis.2006.319
ID  - Usami2006/10
ER  -