A parallel model for the foreign exchange market

DOI10.1016/S0167-8191(99)00121-0MaRDI QIDQ1978673zbMATH OpenFDO

Authors R. Chatagny, B. Chopard

Publication date 4 June 2000

Published in Parallel Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-8191(99)00121-0

zbMATH Keywords

FX marketparallelismperformance analysissimulation in economics

Mathematics Subject Classification ID

Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Computer system organization (68M99) Auctions, bargaining, bidding and selling, and other market models (91B26)

Review text

A numerical model for the foreign exchange market is developed and its implementation on a distributed memory parallel computer is discussed. The model considers a description of the market at the level of the real agents, such as traders and market makers. These actors are represented by interacting computerized agents. Parallelism allows the study of systems with many actors and realistic trading rules. In order to analyse the generic dynamical properties of the market, simulations are considered. The results agree with several observed features of the real market, such as non-Gaussian distribution and negative short-term autocorrelation of price changes.

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