TY - GEN
T1 - Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market
AU - Usami, Ayako
AU - Tsuya, Ryunosuke
AU - Iba, Takashi
AU - Takayasu, Hideki
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
KW - Agent-based simulation
KW - Artificial market
KW - Econophysics
KW - Foreign Exchange Market
UR - http://www.scopus.com/inward/record.url?scp=33847708289&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33847708289&partnerID=8YFLogxK
U2 - 10.2991/jcis.2006.319
DO - 10.2991/jcis.2006.319
M3 - Conference contribution
AN - SCOPUS:33847708289
SN - 9078677015
SN - 9789078677017
T3 - Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
BT - Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
T2 - 9th Joint Conference on Information Sciences, JCIS 2006
Y2 - 8 October 2006 through 11 October 2006
ER -