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Modeling the FX Market Traders' Behavior: An Agent-Based Approach

Modeling the FX Market Traders' Behavior: An Agent-Based Approach

Monira Aloud, Edward Tsang, Richard Olsen
Copyright: © 2015 |Pages: 35
ISBN13: 9781466662681|ISBN10: 1466662689|EISBN13: 9781466662698
DOI: 10.4018/978-1-4666-6268-1.ch018
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MLA

Aloud, Monira, et al. "Modeling the FX Market Traders' Behavior: An Agent-Based Approach." Banking, Finance, and Accounting: Concepts, Methodologies, Tools, and Applications, edited by Information Resources Management Association, IGI Global, 2015, pp. 350-384. https://doi.org/10.4018/978-1-4666-6268-1.ch018

APA

Aloud, M., Tsang, E., & Olsen, R. (2015). Modeling the FX Market Traders' Behavior: An Agent-Based Approach. In I. Management Association (Ed.), Banking, Finance, and Accounting: Concepts, Methodologies, Tools, and Applications (pp. 350-384). IGI Global. https://doi.org/10.4018/978-1-4666-6268-1.ch018

Chicago

Aloud, Monira, Edward Tsang, and Richard Olsen. "Modeling the FX Market Traders' Behavior: An Agent-Based Approach." In Banking, Finance, and Accounting: Concepts, Methodologies, Tools, and Applications, edited by Information Resources Management Association, 350-384. Hershey, PA: IGI Global, 2015. https://doi.org/10.4018/978-1-4666-6268-1.ch018

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Abstract

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.

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