Artificial Life VI


Emergent Phenomena in a Foreign Exchange Market: Analysis Based on an Artificial Market Approach

Kiyoshi Izumi
The University of Tokyo

Kazuhiro Ueda
The University of Tokyo


Abstract

In this study, an artificial market approach, which is a new agent-based approach to foreign exchange market studies, is proposed. Using this approach, emergent phenomena of markets were explained. This approach consists of fieldwork, construction of a multiagent model, and computer simulation of a market. The simulation results showed that the emergent phenomena were explained by the phase transition of forecast variety. This approach therefore integrates the fieldwork and the multiagent model, and provide quantitative explanation of the micro-macro relation in markets.


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