Title: Exploring Trading Strategies and their Effects in the Agent-Based Simulations for the FX Market

Speaker: Dr Monira Eissa Aloud, Assistant Professor in the Department of MIS, College of Business Administration, KSU

Abstract: One of the most critical issues that developers face in developing automatic systems or software agents for electronic markers is that of endowing the agents with appropriate trading strategies. In this paper, we examine the problem in the Foreign Exchange (FX) market and we use an agent-based FX market simulation to examine which trading strategies lead to market states in which the stylized facts (statistical properties) of the simulation match the stylised facts of the actual FX market transactions data. In particular, our goal is to explore the emergence of the stylized facts of the transactions data, when the simulated market is populated with agents using three different strategies: a variation of the zero-intelligence with a constraint (ZI-CV) strategy; the zero-intelligence directional-change event (ZI-DCT0) strategy; and a genetic programming-based (GP) strategy. A series of experiments were conducted in an existing agent-based FX market with these three strategies and the results were compared against those of a high-frequency transactions dataset from the FX market. Our results show that the ZI-DCT0 agents best reproduce and explain the properties and phenomena observed in the FX market real transactions data. Our study suggests that the observed stylized facts of the FX market transactions data could be the result of introducing a threshold which triggers the agents to respond to fixed periodic patterns in the price time series. The results of this study can be used further to develop decision support systems and autonomous trading agent strategies for the FX market.

Bio: Monira Aloud is an assistant professor in the Department of Management Information Systems, College of Business Administration, King Saud University. She received her Ph.D. from the School of Computer Science and Electronic Engineering at University of Essex (UK) in 2013. She received her MSc in E-Commerce Technology from the same university in 2008 and her Bsc in Information Technology from King Saud University in 2006.  She has broad research interests in the use of artificial intelligence to business applications such as finance. Her research focuses on agents and multi-agent systems and their practical applications.

Date/Time: Tuesday, Dec 9 at 12pm

Location: CCIS Auditorium 6F49, broadcast to #2079 in Building 31