المنشورات
فصل كتاب
2012
Modelling the FX market traders' behaviour: an agent-based approach
Aloud, Monira . 2012
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.
اسم الناشر
IGI Global
مدينة النشر
Hershey, Pennsylvania
الصفحات
202-228
مزيد من المنشورات
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