A parallel model for the foreign exchange market

Article Article scientifique Article A parallel model for the foreign exchange market eng 2000 author Chatagny Rodolphe 28909 author Chopard Bastien 22320 587-600 10.1016/S0167-8191(99)00121-0 0167-8191 https://linkinghub.elsevier.com/retrieve/pii/S0167819199001210 A numerical model for the foreign exchange (FX) 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. Simulation in economics FX market Parallelism Performance analysis Dewey 025.063 13 Centre universitaire d'informatique 0D3 32 Département d'informatique 18 false 728 Scientific and Parallel Computing Parallel Computing 26 5 a6945a64-f476-4d9c-ac8b-3103725ef7a8 Article (Published version) Restricted 2000Chatagny_parallel_model_foreign.pdf 307359 application/pdf restrictedAccess Centres et instituts / Centre universitaire d'informatique Faculté des sciences / Département d'informatique

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A parallel model for the foreign exchange market	Parallel Computing			2000	307	0

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Chatagny, Rodolphe