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

Ayako Usami, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu

研究成果: Conference contribution

抄録

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.

本文言語English
ホスト出版物のタイトルProceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOI
出版ステータスPublished - 2006
イベント9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan, Province of China
継続期間: 2006 10月 82006 10月 11

出版物シリーズ

名前Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
2006

Other

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

ASJC Scopus subject areas

  • 工学(全般)

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