DocumentCode :
2922523
Title :
Modelling the trading behaviour in high-frequency markets
Author :
Aloud, Monira ; Tsang, Edward
Author_Institution :
Sch. of Comput. Sci. & Electron. Eng., Univ. of Essex, Colchester, UK
fYear :
2011
fDate :
13-14 July 2011
Firstpage :
7
Lastpage :
12
Abstract :
We use an agent-based approach to model trading behaviour in high-frequency markets. This study focuses on the Foreign Exchange (FX) market. The initial part of this study is to observe the micro-behaviour of traders to define the stylized facts of their trading activities. This is performed using a high-frequency dataset of anonymised individual traders´ historical transactions on an account level, provided by OANDA Ltd. This dataset is considered to be the biggest available high-frequency dataset dealing with the individual FX market traders´ trading activities. The second step is to build agent-based models of traders. The traders are modelled to respond to physical time to account for the different market seasonalities. The key elements in modeling the traders are zero-intelligence directional-change events trading strategy, historical prices, actual FX market traders´ behaviour, limit orders, FX market trading sessions and market holidays. Using the identified stylized facts of FX market trading activity, we evaluate the trading agents´ collective trading behaviour. The results of this comparison indicate that the trading agents´ collective trading behaviour resembles, to a certain extent, the collective trading behaviour of FX market traders.
Keywords :
consumer behaviour; marketing data processing; multi-agent systems; FX market traders; OANDA Ltd; account level; agent based approach; foreign exchange; high frequency markets; historical transactions; trading behaviour; Biological system modeling; Buildings; Business; Computational modeling; Consumer electronics; Mathematical model; Time series analysis; Agent-based modelling; FX market seasonality; Foreign exchange market; High-frequency data;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computer Science and Electronic Engineering Conference (CEEC), 2011 3rd
Conference_Location :
Colchester
Print_ISBN :
978-1-4577-1300-2
Type :
conf
DOI :
10.1109/CEEC.2011.5995816
Filename :
5995816
Link To Document :
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