Download e-book for iPad: An Artificial Market Model of a Foreign Exchange Market by Izumi K.

By Izumi K.

During this examine, we proposed a brand new method of foreign currencies industry reviews, a man-made marketplace technique. the substitute marketplace procedure built-in fieldwork stories and multiagent types with the intention to clarify the micro and macro relation in markets.

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Hence, the model provides linkage between the simple rules of agents at the micro level and the complex pattern of rate dynamics at the macro level. 3. Analysis of emergent phenomena : in order to evaluate the model, the simulation results of the model are analyzed. We conduct simulation using actual data of economic fundamentals in the real world. Based on the simulation results, we verify whether the model can explain emergent phenomena of the actual market in the following points: whether the rate dynamics produced by the model fit with that in the real world, whether the dealers’ behavior patterns observed in the model fit with those in the field data, and whether the dealers’ behavior patterns can explain the rate dynamics.

Chart III Jul-Dec → → 1. Order 2. Chart 1995 IV Jan-Feb V Mar-Apr 1. Politics 2. Mark 2. Announcement 1. Politics 1. Order 1. Intervention VI May-Jul → → 1. Chart 2. Order VII Aug-Dec 1. Intervention 2. Politics The forecast factors are ranked in order of importance. Because the boldfaced factors are common to both dealers, they are considered as market consensus of each period. 2: Results of interview with dealer Y. 37 factor was regarded as important only in the period II, VI, and VII by the dealer X and the period I by the dealer Y, although there are always the large trade surplus of Japan throughout these two years.

Because the boldfaced factors are common to both dealers, they are considered as market consensus of each period. 1: Results of interview with dealer X. 1994 I Jan-May Actual Forecast Factors ranking II Jun → 1. Rate level 1. Trade 1. Order 3. Chart III Jul-Dec → → 1. Order 2. Chart 1995 IV Jan-Feb V Mar-Apr 1. Politics 2. Mark 2. Announcement 1. Politics 1. Order 1. Intervention VI May-Jul → → 1. Chart 2. Order VII Aug-Dec 1. Intervention 2. Politics The forecast factors are ranked in order of importance.

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An Artificial Market Model of a Foreign Exchange Market by Izumi K.


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