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

  • Published:2017-04-03 Issue:4 Volume:33 Page:771-825
  • ISSN:0824-7935
  • Container-title:Computational Intelligence
  • language:en
  • Short-container-title:Computational Intelligence

Author:

Aloud Monira1,Fasli Maria2,Tsang Edward23,Dupuis Alexander34,Olsen Richard34

Affiliation:

1. Department of Management Information Systems, College of Business Administration; King Saud University; Kingdom of Saudi Arabia

2. School of Computer Science and Electronic Engineering; University of Essex; United Kingdom

3. Centre for Computational Finance and Economic Agents (CCFEA); University of Essex; United Kingdom

4. Olsen Ltd.; Zürich Switzerland

Funder

Research Center of Humanities, Deanship of Scientific Research, King Saud University OANDA Corporation

Publisher

Wiley

Subject

Artificial Intelligence,Computational Mathematics

Reference44 articles.

1. Mechanisms of self-organization and finite size effects in a minimal agent based model;Alfi;Journal of Statistical Mechanics,2009

2. Minimal agent based model for financial markets I: origin and self-organization of stylized facts;Alfi;The European Physical Journal B,2009a

3. Minimal agent based model for financial markets II: statistical properties of the linear and multiplicative dynamics;Alfi;The European Physical Journal B,2009b

4. Exploring trading strategies and their effects in the FX market;Aloud;Computational Intelligence,2016

5. A directional-change events approach for studying financial time series;Aloud;Economics Papers,2011

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