An Artificial Market Model of a Foreign Exchange Market.pdf
This book was written by: by Kiyoshi Izumi (1998).
Taken from Introduction: In May 1995 the yen-dollar exchange rate dropped dramatically and broke the level of 80 yen for the first time. In May 1997 the yen-dollar rate reversed to 126 yen. During the only two years the yen-dollar rate increased over 50%. Exchange rates sometimes show such unexpectable moves. Some dealers and analysts say, “Only markets know.”
Recently the large economical changes have called our attention to the psychological or behavioral features in economic phenomena. One typical example is the above mentioned large fluctuation of exchange rates. A large fluctuation (a rate bubble) is said to be mainly caused by bandwagon expectations [68]. This fact shows that an exchange market has some features of multiagent systems. Autonomous Agents, each dealer makes a decision based on his own trading rules and information. Interaction, each dealer learns market situation interacting with each other. Emergence, there are emergent phenomena such as rate bubbles at the upper (market) level, which are not directly designed at the lower (agent) level.
Contents:
- Introduction
- Theoretical Background
- Overview
- Macro Level Studies
- Micro Level Studies
- Multiagent models: Integration of Micro and Macro
- Framework of the Artificial Market Approach
- Outline of Procedure
- Advantages of the Approach
- Hypotheses about Dealers’ Behavior
- Observation at the Micro Level
- Interviews: Trace of Temporal Change
- Questionnaires: Snapshots of Distributed Patterns
- Discussion: Ecology of Dealers’ Beliefs
- Construction of a Multiagent Model
- Framework of the Model
- Algorithm
- Simulation and Evaluation of the Model
- Overview
- Comparison with Other Models
- Rate Bubbles
- Phase Transition of Forecasts Variety
- Emergent Phenomena in Markets
- Comparison of the simulation results with the field data
- Discussion
- Conclusions
- Simple Genetic Algorithm
- Questionnaires
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