ポジションを考慮したディーラーモデルによる為替市場のシミュレーション

抄録

Through intensive analysis of high frequency market data, empirical laws of the foreign. exchange markets have been discovered. For examples, the power law distributions of the absolute value of price changes, abnormal diffusion of prices in the short time scale and a normal diffusion in the large time scale. The dealer model is a model that directly simulates the dealer's behavior and satisfies these empirical laws. In this study, we introduce the new quantity of position to the basic dealer model defined by the ratio of yen property and dollar property. If a dealer 's position is leaned to one side he tries to balance the position to avoid potential risks even the action is less profitable. The self-interest pursuit is the effect that the dealer acts so that his position may work advantageously by changing his price. As a result we obtain a phase diagram categorizing the difference of market price dynamics. With this revised model we can simulate the effects of loss-cut and loss-limit which are actually applied to real dealers in financial institutes.