Building a Simulation Model of Foreign Exchange Market: Reproduction of Yen Dollar Market
Ayako Usami 0, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu
0Faculty of Policy Management, Keio University
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.319How to use a DOI?
- Foreign Exchange Market, Artificial Market, Agent-Based Simulation, Econophysics
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - 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 - https://doi.org/10.2991/jcis.2006.319 ID - Usami2006/10 ER -