Dynamic equilibrium conditions used for building a family of FX rate simulation models
Paper presents various dynamic FX rate simulation models based upon time-dependent market clearing conditions. Discussed nonlinear models follow classical concept of computer agent interactions between chartists and fundamentalists. Within each trading period agents select proper trading rules in ordrer to determine their speculative positions on the FX money market. Various modes of central bank interventions applying governmental financial policies and modes of market makers expressing different quotations are considered, too. Constitutive expressions being components of dynamic equilibrium conditions, which describe particular trading strategies of interacting agents, central bank interventions, and FX market makers are formulated on the incremental base with white noise adopted perturbations. Numerical results are discussed in detail
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