DocumentCode :
2627026
Title :
A novel approach for studying the high-frequency FOREX market
Author :
Masry, Shaimaa ; Aloud, Monira ; Tsang, Edward ; Dupuis, Alexandre ; Olsen, R.
Author_Institution :
Centre for Comput. Finance & Economic Agents, Univ. of Essex, Colchester, UK
fYear :
2010
fDate :
8-9 Sept. 2010
Firstpage :
1
Lastpage :
6
Abstract :
The Foreign Exchange (FOREX) market is the largest and most complex financial market in the world. With the advent of behavioural and micro-structural studies, many properties of the market have been revealed. However, previous studies contain only aggregate transaction data that do not distinguish between the activities of the different participants, formulating the market collective behavior. Understanding the FOREX market dynamics and the forces driving its behaviour is a very fertile research area that still needs extensive research. In this paper, we propose a new approach for analyzing and understanding the high-frequency FOREX market beyond what is offered in previous work. The proposed approach is a bottom-up study of the FOEX market. It starts with conducting a microscopic analysis of actual traders´ behaviour using a unique transaction dataset at an account level provided by OANDA Ltd. Using the identified market properties from the microscopic analysis we build then an artificial FOREX market attempting to replicate the real market behavior and provide an empirical understanding of the market dynamics.
Keywords :
foreign exchange trading; OANDA Ltd; financial market; high frequency FOREX market; market dynamics; transaction dataset; Analytical models; Biological system modeling; Buildings; Exchange rates; Microscopy; Psychology; Agent-based approach; Foreign-exchange market; High frequency data; Stylized facts;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computer Science and Electronic Engineering Conference (CEEC), 2010 2nd
Conference_Location :
Colchester
Print_ISBN :
978-1-4244-9029-5
Type :
conf
DOI :
10.1109/CEEC.2010.5606494
Filename :
5606494
Link To Document :
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