Modeling the High-Frequency FX Market: An Agent-Based Approach
Created by W.Langdon from
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- @Article{aloud:2017:coin,
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author = "Monira Aloud and Maria Fasli and Edward Tsang and
Alexander Dupuis and Richard Olsen",
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title = "Modeling the High-Frequency {FX} Market: An
Agent-Based Approach",
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journal = "Computational Intelligence",
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year = "2017",
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volume = "33",
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number = "4",
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pages = "771--825",
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month = nov,
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keywords = "genetic algorithms, genetic programming, agent-based
modeling, agent-based simulation, electronic markets,
FX markets, stylized facts.",
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ISSN = "1467-8640",
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URL = "http://repository.essex.ac.uk/18823/",
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DOI = "doi:10.1111/coin.12114",
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size = "51 pages",
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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