The Efficiency of an Artificial Stock Market with
This review explores the evolution of trading volumes and structural shifts in the global foreign exchange (FX) market, drawing on the 2016 Triennial Central Bank Survey of Foreign Exchange and
Modeling the stylized facts in finance through simple
"Heterogeneous real-time trading strategies in the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, vol. 1(4), pages 383-403. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
Understanding the profitability of currency-trading
By comparing panels (a) and (b), when technical trading strategies, especially momentum trading strategy, possess large proportions of the total transactions, the margin of price deviation expands. However, when fundamental trading strategy dominates the market, the deviation drops low.
The use of agent-based financial market models to test the
BER (2011) explore the impact of price pressure in foreign exchange markets on the profitability of our currency-trading strategies. By price pressure we mean that the price at which investors can buy or sell currencies depends on the quantity they wish to transact.
Heterogeneous real-time trading strategies in the foreign
Over the last 15 years, exchange rate movements were relatively smooth, despite sharp shifts in the fundamental variables. In the large literature dealing with the high frequency exchange rate dynamics, the model that assumes heterogeneous trading strategies, where ‘fundamentalists’ coexist with ‘chartists’, plays a relevant if puzzling role.
Foreign exchange trading models and market behavior
BER (2011) explore the impact of price pressure in foreign exchange markets on the profitability of our currency-trading strategies. By price pressure we mean that the price at which investors can buy or sell currencies depends on the quantity they wish to transact.
Optimal execution with nonlinear impact functions and
The use of agent-based financial market models to test the effectiveness of regulatory policies* Frank H. Westerhoff . sophisticated trading strategies, Hommes focuses on small type models with only a few foreign exchange or commodity market (see
Currencies flow market-maker & Streaming liquidity
Economics Department of the University of Pennsylvania Institute of Social and Economic Research -- Osaka UniversityReal-Time Trading Models and Scribd is …
Informativeness of trade size in foreign exchange markets
Converse Trading Strategies, Intrinsic Noise Given such a large and diverse ecology of competing trading strategies, is shown in Section 5 that the model is able to discriminate between stock and foreign exchange markets (specifically, the USD–DEM exchange rate). Section 6 concludes.
Genetic learning as an explanation of stylized facts of
The foreign exchange (FX) market is worldwide, but the dealers differ in their geographical locations (time zones), working hours, time horizons, home currencies, access to information,transaction costs, and other institutional constraints.
Transaction tax, heterogeneous traders and market
Dacorogna, Michel M. and Müller, Ulrich A. and Jost, Christian and Pictet, Olivier V. and Olsen, Richard B. and Ward, J. Robert, Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets.
Heterogeneous Real-Time Trading Strategies in the Foreign
After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange indexes, with the goal of comparing them to the performance of a completely random strategy.
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Defining efficiency in heterogeneous markets. real-time trading model returns. More gen- (2001) in the foreign exchange and the stock markets.
AN INTRODUCTION TO HIGH-FREQUENCY FINANCE
Technology, News, and Financial Market Reaction . Share of Foreign Exchange Trading Occurring Offshore_____31. 3 5. Conditional Impact of U.S. Policy Interest Rate News on Exchange Rates–Role of Trading Twitter messages, for example, to infer market sentiment in real time, a practice that some observers argue gives rise to spurious
Timing Foreign Exchange Markets - MDPI - MAFIADOC.COM
Heterogeneous trading and complex price dynamics… 439 book itself a self-contained reading for researchers looking for a first comprehensive exposure into the fields of agent-based models and complex economic systems.
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Click on the title below to view this paper. Directly Related Papers for: The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
Tick Data Filtering White Paper | Day Trading | Time Series
Our time series analysis of simulated data indicates that for particular parameterizations, the characteristics of the exchange rate dynamics are, in fact, very similar to those of empirical data. The similarity appears to be quite insensitive with respect to some of the ingredients of the genetic algorithm (i.e. utility-based versus rank-based
Market force, ecology, and evolution - arXiv
Foreign exchange trading models and market (1995) examines real-time trading models of foreign exchanges under heterogeneous trading strategies. They conclude that it is the identication of the het-erogeneous market microstructure in a trading model which leads to an excess re-
Converse Trading Strategies, Intrinsic Noise and the
Informativeness of trade size in foreign exchange markets Nikola Gradojevica,b,∗, Deniz Erdemlioglub, Ramazan Genc¸ayc aDepartment of Economics and Finance, University of Guelph, Canada. bIESEG School of Management (LEM-CNRS), Lille, France.´ cDepartment of Economics, Simon Fraser University, Burnaby, Canada. Abstract This article investigates a trading strategy that relies on private
A Model of Financial Market Dynamics with Heterogeneous
Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market. Title Combining Mean Reversion And Momentum Trading Strategies In Foreign Exchange Markets: 42: 21.0: Bibliography Of Microstructure Of Foreign Exchange Markets: 293:
Heterogeneous trading and complex Price dynamics - Springer
trading structure, whereas real-world foreign exchange markets are decentralized dealer markets (Sarno and Taylor, 2002). 6 However, as Vitale (1999) points out, the batch structure may serve as a proxy for the prevailing lack of transparency.
Real-Time Trading Models and the Statistical Properties of
REAL-TIME TRADING MODELS AND THE STATISTICAL PROPERTIES OF FOREIGN EXCHANGE RATES* The null hypothesis of whether the real-time performances of the foreign exchange series are consistent with traditional statistical processes is models of foreign exchanges under heterogeneous trading strategies. They conclude
Informed and Strategic Order Flow in the Bond Markets
In a break from the recent past, the drama in foreign exchange this year could be found in courtrooms, meeting rooms and boardrooms – rather than gapping markets – as the industry grappled with the sins of the past and fought strategic battles over its future. Some of this spilled into public in
Are Random Trading Strategies More Successful than
By throwing sand in the wheels of foreign exchange markets, one hopes to prevent a certain type of trader from entering the market, the goal being to exclude traders who base their investments on pseudo-signals and feedback rules.
Forecasting financial markets : exchange rates, interest
Foreign exchange (forex) market trading using evolutionary algorithms is an active and controversial area of research. We investigate the use of a linear genetic programming (LGP) system for automated forex trading of four major currency pairs.
Real-Time Trading Models and the Statistical Properties of
'Foreign Exchange Market' The markets in which participants are able to buy, sell, exchange and speculate on currencies. Foreign exchange markets are made up of banks, commercial companies , central banks, investment management firms, hedge funds, and retail forex brokers and investors.