publication
Book Chapter
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.
Publisher Name
IGI Global
Publishing City
Hershey, Pennsylvania
Pages
202-228
more of publication
The development of computational intelligence‐based strategies for electronic markets has been the focus of intense research.
2017
This paper presents an autonomous effective trading system devoted to the support of decision-making processes in the financial market domain. Genetic programming (GP) has been used effectively as…
2017