title: |
Building a Simulation Model of Foreign Exchange Market: Reproduction of Yen Dollar Market |
|
publication: |
||
part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.319 (how to use a DOI) | |
author(s): |
Ayako Usami, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu |
|
corresponding author: |
||
publication date: |
October 2006 |
|
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: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
|
full text: |