Building a Simulation Model of Foreign Exchange Market: Reproduction of Yen Dollar Market
Authors
Ayako Usami1, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu
1Faculty of Policy Management, Keio University
Corresponding Author
Ayako Usami
Available Online October 2006.
- 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/).
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 - 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 -