Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

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

Authors
Ayako Usami 0, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu
Corresponding Author
Ayako Usami
0Faculty of Policy Management, Keio University
Available Online October 2006.
DOI
https://doi.org/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.
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.319How to use a DOI?
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  -