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

Ayako Usami; Ryunosuke Tsuya; Takashi Iba; Hideki Takayasu

doi:10.2991/jcis.2006.319

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

Ayako Usami, Ryunosuke Tsuya, Takashi Iba, Hideki Takayasu

Faculty of Policy Management

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

1 Citation (Scopus)

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 language	English
Title of host publication	Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOIs	https://doi.org/10.2991/jcis.2006.319
Publication status	Published - 2006
Event	9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan, Province of China Duration: 2006 Oct 8 → 2006 Oct 11

Publication series

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

Other

Other	9th Joint Conference on Information Sciences, JCIS 2006
Country/Territory	Taiwan, Province of China
City	Taiwan, ROC
Period	06/10/8 → 06/10/11

Keywords

Agent-based simulation
Artificial market
Econophysics
Foreign Exchange Market

ASJC Scopus subject areas

Engineering(all)

Access to Document

10.2991/jcis.2006.319

Cite this

Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market. / Usami, Ayako; Tsuya, Ryunosuke; Iba, Takashi et al.
Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006. 2006. CIEF-156 (Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006; Vol. 2006).

Research output: Chapter in Book/Report/Conference proceeding › Conference 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., CIEF-156, Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006, vol. 2006, 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

@inproceedings{76e5794ea119490f9a9cfa0cfb2fea2e,

title = "Building a simulation model of Foreign Exchange Market - Reproduction of Yen Dollar market",

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.",

keywords = "Agent-based simulation, Artificial market, Econophysics, Foreign Exchange Market",

author = "Ayako Usami and Ryunosuke Tsuya and Takashi Iba and Hideki Takayasu",

year = "2006",

doi = "10.2991/jcis.2006.319",

language = "English",

isbn = "9078677015",

series = "Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006",

booktitle = "Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006",

note = "9th Joint Conference on Information Sciences, JCIS 2006 ; Conference date: 08-10-2006 Through 11-10-2006",

}

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 -

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

Abstract

Publication series

Other

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this