The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach

Authors:
Erika Corona;Sabrina Ecca;Michele Marchesi;Alessio Setzu
Affiliations:
Department of Electric and Electronic Engineering, University of Cagliari, Cagliari, Italy 09123;Department of Electric and Electronic Engineering, University of Cagliari, Cagliari, Italy 09123;Department of Electric and Electronic Engineering, University of Cagliari, Cagliari, Italy 09123;Department of Electric and Electronic Engineering, University of Cagliari, Cagliari, Italy 09123
Venue:
Computational Economics
Year:
2008

Citing 2
Cited 1

Traders' Long-Run Wealth in an Artificial Financial Market

Computational Economics
Phase transition in a foreign exchange market-analysis based on anartificial market approach

IEEE Transactions on Evolutionary Computation

Can social microblogging be used to forecast intraday exchange rates?

Netnomics

Quantified Score

Hi-index	0.00

Visualization

Abstract

There is still much that is unknown about the interactions among financial markets, and about the relationships between stock prices and exchange rates. This topic gains attention during financial crises, and many papers try to find empirical regularities emerging from financial data, or to study contagion processes. In this paper we present a study on the interplay between two stock markets and one foreign exchange market extending the framework provided by the Genoa Artificial Stock Market. There are four different trading strategies, and the agents are divided into two groups: those who trade in the stock markets and those who trade in the FOREX. We studied three market conditions: the FOREX dynamics, the behavior of the two stock markets together with the FOREX, and finally we conducted a what-if analysis for testing the effects of a inflationary monetary shock of one currency affecting all of the three markets.