Modelling the Global FX Market

M A H Dempster
Centre for Financial Research
Judge Institute of Management
University of Cambridge
&
Cambridge Systems Associates Limited

Co-workers: R G Bates, D Kirdoglo & V Leemans

Research partially sponsored by Bank of America, EPSRC, FutureLogic and HSBC

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1 Introduction

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 2    The Global FX Market
Turnover 2001

FX Market Turnover by Currency

FX Market Concentration

Inter-Bank FX Market

FX Market Structure

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Customer Terminology Example

Customer Terminology Example

3   Structure of the FX Market

FX Market Terminology

FX Market Makers Private Information

FX Market Makers Limited Information

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EBS Screen

4   Modelling Trading Agents

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Trading Agent Models

Trading Agent Information

Modelling Trading Agents:
GA model

Proprietary Trading Agent Information

Modelling Proprietary Trading Agents:
ERL model

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 Modelling Proprietary Trading Agents:
PRL model

PRL Model Features

PRL Model Results

Modelling Trading Agents:
PRL Model Results

Modelling Trading Agents:
PRL Model Results

PRL Model Daily Trading Results

5   Modelling Market Makers

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Market Maker Behaviour

Market Maker Actions

Market Maker Public Information

EBS Screen

Market Maker Public Events

Market Maker Private Information

Market Maker Private Events

 Market Maker Stylized Behaviour

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Conclusions & Directions for Future Work