INPROCEEDINGS
A dealer model of foreign exchange market with finite assets
Proceedings of the Asia-Pacific Econophysics Conference 2016
--- Big Data Analysis and Modeling toward Super Smart Society
--- (APEC-SSS2016) | jul, 2017
Author
Hamano, Tomoya and Kanazawa, Kiyoshi and Takayasu, Hideki and Takayasu, Misako
Abstract
An agent-based model is introduced to study the finite-asset effect in foreign exchange markets. We find that the transacted price asymptotically approaches an equilibrium price, which is determined by the monetary balance between the pair of currencies. We phenomenologically derive a formula to estimate the equilibrium price, and we model its relaxation dynamics around the equilibrium price on the basis of a Langevin-like equation.