Modeling the High-Frequency FX Market: An Agent-Based Approach

Created by W.Langdon from gp-bibliography.bib Revision:1.7615

@Article{aloud:2017:coin,

• author = "Monira Aloud and Maria Fasli and Edward Tsang and Alexander Dupuis and Richard Olsen",
• title = "Modeling the High-Frequency {FX} Market: An Agent-Based Approach",
• journal = "Computational Intelligence",
• year = "2017",
• volume = "33",
• number = "4",
• pages = "771--825",
• month = nov,
• keywords = "genetic algorithms, genetic programming, agent-based modeling, agent-based simulation, electronic markets, FX markets, stylized facts.",
• ISSN = "1467-8640",
• URL = "http://repository.essex.ac.uk/18823/",
• DOI = "doi:10.1111/coin.12114",
• size = "51 pages",
• abstract = "The development of computational intelligence-based strategies for electronic markets has been the focus of intense research. To be able to design efficient and effective automated trading strategies, one first needs to understand the workings of the market, the strategies that traders use, and their interactions as well as the patterns emerging as a result of these interactions. In this article, we develop an agent-based model of the foreign exchange (FX) market, which is the market for the buying and selling of currencies. Our agent-based model of the FX market comprises heterogeneous trading agents that employ a strategy that identifies and responds to periodic patterns in the price time series. We use the agent-based model of the FX market to undertake a systematic exploration of its constituent elements and their impact on the stylised facts (statistical patterns) of transactions data. This enables us to identify a set of sufficient conditions that result in the emergence of the stylized facts similarly to the real market data, and formulate a model that closely approximates the stylized facts. We use a unique high-frequency data set of historical transactions data that enables us to run multiple simulation runs and validate our approach and draw comparisons and conclusions for each market setting.",

}

Genetic Programming entries for Monira Aloud Maria Fasli Edward P K Tsang Alexander Dupuis Richard Olsen

Citations