Chapter 18 Modeling the FX Market Traders ’ Behavior : An Agent - Based Approach
نویسنده
چکیده
In this chapter, the authors use an Agent-Based Modeling (ABM) approach to model trading behavior in the Foreign Exchange (FX) market. They establish statistical properties (stylized facts) of the traders’ trading behavior in the FX market using a high-frequency dataset of anonymised OANDA individual traders’ historical transactions on an account level spanning 2.25 years. Using the identified stylized facts of real FX market traders’ behavior, the authors evaluate the collective behavior of the trading agents in resembling the collective behavior of the FX market traders. The study identifies the conditions under which the stylized facts of trading agents’ collective behaviors resemble those for the real FX market traders’ collective behavior. The authors perform an exploration of the market’s features in order to identify the conditions under which the stylized facts emerge.
منابع مشابه
An Agent-Based Approach
In this chapter, the authors use an Agent-Based Modeling (ABM) approach to model trading behavior in the Foreign Exchange (FX) market. They establish statistical properties (stylized facts) of the traders’ trading behavior in the FX market using a high-frequency dataset of anonymised OANDA individual traders’ historical transactions on an account level spanning 2.25 years. Using the identified ...
متن کاملInevitability of Losing Most Traders in the Foreign Exchange Market: New Evidence
The foreign exchange market (FX market) accounts for 40% of the total volume of the worldâs e-commerce by its own. Based on statistics, sometimes up to 90 per cent of the traders lose their total capital in this market just within six months to one year and leave this market. The probability of loss in the FX market can be estimated by probability theory. The present paper intends to demonst...
متن کاملMarket Design Using Agent-Based Models
This chapter explores the state of the emerging practice of designing markets by the use of agent-based modeling, with special reference to electricity markets and computerized (on-line) markets, perhaps including real-life electronic agents as well as human traders. The paper first reviews the use of evolutionary and agent-based techniques of analyzing market behaviors and market mechanisms, a...
متن کاملModelling the High-Frequency FX Market: an Agent-Based Approach
In this paper, we use an agent-based approach to model the trading activity in the Foreign Exchange (FX) market which is the most liquid financial market in the world. We focus on performing a systematic exploration of the market’s constituent elements and their impact on the dynamics of the market behaviour. In particular, our study explores and identifies the essential elements under which th...
متن کاملStylized facts of trading activity in the high frequency FX market: An Empirical Study
In this paper, we focus on studying the statistical properties (stylized facts) of the trading activity in the Foreign Exchange (FX) market which is the most liquid financial market in the world. We use a unique high-frequency dataset of anonymised individual traders’ historical transactions on an account level provided by OANDA. To the best of our knowledge, this dataset can be considered to b...
متن کامل