A parallel model for the foreign exchange market

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 agent s, such as traders and market makers. These actors are represented by inter acting computerized agents. Parallelism allows the study of systems with ma ny actors and realistic trading rules. In order to analyse the generic dyna mical properties of the market, simulations are considered. The results agr ee with several observed features of the real market, such as non-Gaussian distribution and negative shortterm autocorrelation of price changes. (C) 2 000 Elsevier Science B.V. All rights reserved.