Modeling the FX Market Traders' Behavior

2014 ◽  
pp. 350-384
Author(s):  
Monira Aloud ◽  
Edward Tsang ◽  
Richard Olsen
Keyword(s):  
Collective Behavior ◽  
Agent Based Modeling ◽  
Statistical Properties ◽  
Trading Behavior ◽  
Stylized Facts ◽  
Collective Behaviors ◽  
Agent Based ◽  
Trading Agents ◽  
Individual Traders ◽  
Fx Market

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.

Modeling the FX Market Traders’ Behavior

2013 ◽  
pp. 303-338 ◽  
Author(s):  
Monira Aloud ◽  
Edward Tsang ◽  
Richard Olsen
Keyword(s):  
Collective Behavior ◽  
Agent Based Modeling ◽  
Statistical Properties ◽  
Trading Behavior ◽  
Stylized Facts ◽  
Collective Behaviors ◽  
Agent Based ◽  
Trading Agents ◽  
Individual Traders ◽  
Fx Market

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.

scholarly journals Influence of Narratives of Vision and Identity on Collective Behavior Change

2019 ◽  
Vol 11 (20) ◽  
pp. 5680 ◽  
Author(s):  
Chabay ◽  
Koch ◽  
Martinez ◽  
Scholz
Keyword(s):  
Social Movements ◽  
Behavior Change ◽  
Collective Behavior ◽  
Agent Based Modeling ◽  
Social Identities ◽  
Collective Behaviors ◽  
Agent Based ◽  
Potential Development ◽  
The Caribbean ◽  
Sustainable Futures

Profound societal transformations are needed to move society from unsustainability to greater sustainability under continually changing social and environmental conditions. A key challenge is to understand the influences on and the dynamics of collective behavior change toward sustainability. In this paper we describe our approach to (1) understanding how affective narrative expressions influence transitions to more sustainable collective behaviors and (2) how that understanding, as well as the potential for using narrative expressions in modeling of social movements, can become a basis for improving community responses to change in a rapidly changing world. Our focus is on narratives that express visions of desirable futures and narratives that reflect individual and social identities, on the cultures and contexts in which they are embedded, exchanged, and modified, and through which they influence the dynamics of social movements toward sustainability. Using an analytical categorization of narrative expressions of case studies in the Caribbean, Micronesia, and Africa, we describe insights derived from the narratives of vision and social identities in diverse communities. Finally, we suggest that narrative expressions may provide a basis for agent-based modeling to expand thinking about potential development pathways of social movements for sustainable futures.

TRADER SPECIES WITH DIFFERENT DECISION STRATEGIES AND PRICE DYNAMICS IN FINANCIAL MARKETS: AN AGENT-BASED MODELING PERSPECTIVE

2010 ◽  
Vol 09 (02) ◽  
pp. 327-344 ◽  
Author(s):  
WEI ZHANG ◽  
GEN LI ◽  
XIONG XIONG ◽  
YONG JIE ZHANG
Keyword(s):  
Financial Markets ◽  
Asset Price ◽  
Agent Based Modeling ◽  
Price Dynamics ◽  
Trading Behavior ◽  
Agent Based ◽  
Price Process ◽  
Trading Decisions ◽  
The Individual ◽  
Analytical Approaches

Investors with different trading strategies can be viewed as different "species" in financial markets. Since the asset price is ultimately determined by the individual trading decisions, the combination and evolution of different trader species in financial market ecology will have great impact to the price dynamics. Considering the limitations and shortcomings of traditional analytical approaches in financial economics in dealing with this issue, an agent-based computational model is introduced in this paper. With the co-existence of 3-type trader species that make different decisions based on their own beliefs and constrains, it is found that although rational speculation destabilizes the price process with the presence of positive feedback strategy, as suggested in the literature, introducing extra noise trading behavior to the market will make the price process back to a more stationary situation, meaning that the market will be healthier if more diversified trader species co-exist in the markets.

scholarly journals Agent Based Modelling and Simulation of Pedestrian Crowds in Panic Situations

2020 ◽  
Vol 5 ◽  
pp. A100
Author(s):  
Mohammed Alrashed ◽  
Jeff Shamma
Keyword(s):  
Collective Behavior ◽  
Specific Form ◽  
Dynamics Model ◽  
Collective Behaviors ◽  
Agent Based ◽  
Agent Based Modelling ◽  
Crowd Dynamics ◽  
Proposed Model ◽  
The Impact ◽  
Mass Events

The increasing occurrence of panic stampedes during mass events has motivated studying the impact of panic on crowd dynamics. Understanding the collective behaviors of panic stampedes is essential to reducing the risk of deadly crowd disasters. In this work, we use an agent-based formulation to model the collective human behavior in such crowd dynamics. We investigate the impact of panic behavior on crowd dynamics, as a specific form of collective behavior, by introducing a contagious panic parameter. The proposed model describes the intensity and spread of panic through the crowd. The corresponding panic parameter impacts each individual to represent a different variety of behaviors that can be associated with panic situations such as escaping danger, clustering, and pushing. Simulation results show contagious panic and pushing behavior, resulting in a more realistic crowd dynamics model.

Simulation of Futures and Spot Markets by Using an Agent-Based Multi-Market Model

2011 ◽  
Vol 15 (2) ◽  
pp. 204-211 ◽  
Author(s):  
Tomoko Ohi ◽  
◽  
Yasuhiro Hashimoto ◽  
Yu Chen ◽  
Hirotada Ohashi
Keyword(s):  
Statistical Properties ◽  
Trading Strategies ◽  
Market Model ◽  
Spot Markets ◽  
Futures Prices ◽  
Trading Behavior ◽  
Noise Traders ◽  
Agent Based ◽  
Spot Prices ◽  
Tail Distribution

The agent-based multi-market model we propose simulates futures and spot markets. On the basis of trading strategies in real markets, four kinds of agents - arbitragers, hedgers, speculators, and noise traders - are included in our model. Interactions of the two markets are generated through various agent trading behavior. We also statistically analyzed futures and spot prices of the Nikkei 225 index, where we found a large positive correlation between the two prices and a fat-tail distribution of the basis. Simulations results show that, instead of the conventional single-market model, only the two-market model reproduces both statistical properties of futures prices.

scholarly journals PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE

2000 ◽  
Vol 03 (03) ◽  
pp. 311-333 ◽  
Author(s):  
J. DOYNE FARMER
Keyword(s):  
Random Process ◽  
Agent Based Modeling ◽  
Statistical Properties ◽  
Process Models ◽  
Price Dynamics ◽  
Agent Based ◽  
Practical Applications

Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.

Collective Behavior Under the Umbrella of Blockchain

2020 ◽  
pp. 425-445
Author(s):  
Kanak Saxena ◽  
Umesh Banodha
Keyword(s):  
Social Psychology ◽  
Artificial Intelligence ◽  
Collective Behavior ◽  
New Technologies ◽  
Agent Based Modeling ◽  
Agent Based ◽  
Digital World ◽  
Current Scenario ◽  
Future Potential ◽  
Or Organization

Any social or organization system will fetch the properties from economics, sociology, and social psychology. In the digital world everyone is trying to cope with the new technologies for the survival. The dynamics of such a system are very multifarious due to the complexity in the convergence of the digital, physical, and biological realms. The dynamics of the society and organization are rapidly changing due to the imparting of the new technologies, such as artificial intelligence, internet of things, virtual reality, etc. The resultant is revolutionizing of opportunities and expectations due to the changes in the values, norms, identities, and future potential. The collective behavior (CB) plays an important role in predicting the various dynamics which are not only coherent but also paying attention. Blockchain will not only help in detecting but also help in finding the major causes and challenges for current scenario dynamics. The chapter describes the agent-based modeling and ant colony optimization components of the CB.

scholarly journals Vision, identity, and collective behavior change on pathways to sustainable futures

2019 ◽  
Vol 17 (1) ◽  
pp. 151-165 ◽  
Author(s):  
Ilan Chabay
Keyword(s):  
Behavior Change ◽  
Collective Behavior ◽  
Sustainable Development Goals ◽  
Well Being ◽  
Societal Transformation ◽  
The Sustainable Development ◽  
Collective Behaviors ◽  
Agent Based ◽  
Development Goals ◽  
Sustainable Futures

AbstractThe challenge facing humanity is to live sustainably within both the ecological and physical limits of our planet and the societal boundaries needed for social cohesion and well-being. This is fundamentally a societal issue, rather than primarily an environmental problem amenable to technological optimization. Implementing the global aspirations embodied in the sustainable development goals of the United Nations will require societal transformation largely through collective behavior change at multiple geographic scales and governance levels across the world. Narrative expressions of visions of sustainable futures and narrative expressions of identity provide important, but underutilized insights for understanding affordances and obstacles to collective behavior change. Analyzing affective narrative expressions circulating in various communities seeking to implement aspects of sustainability opens up the opportunity to test whether affectively prioritized agent-based models can lead to novel emergent dynamics of social movements seeking sustainable futures. Certain types of playful games also offer the means to observe collective behaviors, as well as providing boundary objects and learning environments to facilitate dialogs among diverse stakeholders. Games can be designed to stimulate learning throughout the life span, which builds capacity for continuing innovation for the well-being of societies in moving toward sustainable futures.

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