Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market

Ayako Usami, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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.

Original languageEnglish
Title of host publicationProceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
Volume2006
DOIs
Publication statusPublished - 2006
Event9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan, Province of China
Duration: 2006 Oct 82006 Oct 11

Other

Other9th Joint Conference on Information Sciences, JCIS 2006
CountryTaiwan, Province of China
CityTaiwan, ROC
Period06/10/806/10/11

Fingerprint

Financial markets
Experiments

Keywords

  • Agent-based simulation
  • Artificial market
  • Econophysics
  • Foreign Exchange Market

ASJC Scopus subject areas

  • Engineering(all)

Cite this

Usami, A., Tsuya, R., Iba, T., & Takayasu, H. (2006). Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market. In Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006 (Vol. 2006). [CIEF-156] https://doi.org/10.2991/jcis.2006.319

Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market. / Usami, Ayako; Tsuya, Ryunosuke; Iba, Takashi; Takayasu, Hideki.

Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006. Vol. 2006 2006. CIEF-156.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Usami, A, Tsuya, R, Iba, T & Takayasu, H 2006, Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market. in Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006. vol. 2006, CIEF-156, 9th Joint Conference on Information Sciences, JCIS 2006, Taiwan, ROC, Taiwan, Province of China, 06/10/8. https://doi.org/10.2991/jcis.2006.319
Usami A, Tsuya R, Iba T, Takayasu H. Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market. In Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006. Vol. 2006. 2006. CIEF-156 https://doi.org/10.2991/jcis.2006.319
Usami, Ayako ; Tsuya, Ryunosuke ; Iba, Takashi ; Takayasu, Hideki. / Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market. Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006. Vol. 2006 2006.
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