breed [randomAgents randomAgent] randomAgents-own[out-of-market buy sell pass price cash stocks] globals [logBEUR/USD logSEUR/USD logBfuture logSfuture exePriceEUR/USD exePricefuture EUR/USD-future sd meanPrice Pricelist upBound downBound momentum Mt Mt-10] to setup clear-all set exePriceEUR/USD 1.36 set exePricefuture 1.39 set logBEUR/USD [] set logSEUR/USD [] set logBfuture [] set logSfuture [] reset-ticks create-randomAgents nRandomAgents let side sqrt nRandomAgents let step max-pxcor / side ask randomAgents [ set shape "person" set out-of-market False set size 2 set stocks 0 set cash 0 ] let an 0 let x 0 let y 0 while [an < nRandomAgents] [ if x > (side - 1) * step [set y y + step set x 0 ] ask randomAgent an [setxy x y] set x x + step set an an + 1 ] end to go ;--------------------------------BOOK EUR/USD-------------------------------------- ask randomAgents [ ifelse out-of-market [set color white] [ifelse random-float 1 < passLevel [set pass True][set pass False] ifelse not pass [ifelse random-float 1 < 0.5 [set buy True set sell False] [set sell True set buy False] ] [set buy False set sell False] if pass [set color gray] if buy [set color red] if sell [set color green] ;set price 501 + random 999 ;set price random-normal 1000 100 set price exePriceEUR/USD + (random-normal 0 mVolatility ) ] ] set logBEUR/USD [] set logSEUR/USD [] ask randomAgents [if not pass and not out-of-market [ let tmp[] set tmp lput price tmp set tmp lput who tmp if buy [set logBEUR/USD lput tmp logBEUR/USD] set logBEUR/USD reverse sort-by [item 0 ?1 < item 0 ?2] logBEUR/USD ;show logB if (not empty? logBEUR/USD and not empty? logSEUR/USD) and item 0 (item 0 logBEUR/USD) >= item 0 (item 0 logSEUR/USD) [set exePriceEUR/USD item 0 (item 0 logSEUR/USD) let agB item 1 (item 0 logBEUR/USD) let agS item 1 (item 0 logSEUR/USD) ask randomAgent agB [set stocks stocks + 1 set cash cash - exePriceEUR/USD] ask randomAgent agS [set stocks stocks - 1 set cash cash + exePriceEUR/USD] set logBEUR/USD but-first logBEUR/USD set logSEUR/USD but-first logSEUR/USD ] ;show exePrice if sell [set logSEUR/USD lput tmp logSEUR/USD] set logSEUR/USD sort-by [item 0 ?1 < item 0 ?2] logSEUR/USD ;show logS if (not empty? logBEUR/USD and not empty? logSEUR/USD) and item 0 (item 0 logBEUR/USD) >= item 0 (item 0 logSEUR/USD) [set exePriceEUR/USD item 0 (item 0 logBEUR/USD) let agB item 1 (item 0 logBEUR/USD) let agS item 1 (item 0 logSEUR/USD) ask randomAgent agB [set stocks stocks + 1 set cash cash - exePriceEUR/USD] ask randomAgent agS [set stocks stocks - 1 set cash cash + exePriceEUR/USD] set logBEUR/USD but-first logBEUR/USD set logSEUR/USD but-first logSEUR/USD ] ;show exePrice ] if random-float 1 < out-of-marketLevel [if exePriceEUR/USD > 1.6 [set out-of-market False] if exePriceEUR/USD < 0.85 [set out-of-market True] ] set EUR/USD-future ( ( ( 1 + (interestEUR / 100) ) / (1 + (interestUSD / 100) ) ) * exePriceEUR/USD ) graph1 ] ;---------------------------------------------------------------------------------------------------------------------------------------------------------- ;----------------------------------------------BOOK FUTURE CONTRACT---------------------------------------------------------------------------------------- ask randomAgents [ ifelse out-of-market [set color white] [ifelse random-float 1 < passLevel [set pass True][set pass False] ifelse not pass [ifelse random-float 1 < 0.5 [set buy True set sell False] [set sell True set buy False] ] [set buy False set sell False] if pass [set color gray] if buy [set color red] if sell [set color green] ;set price 501 + random 999 ;set price random-normal 1000 100 set price exePricefuture + (random-normal 0 mVolatility) ] ] set logBfuture [] set logSfuture [] ask randomAgents [if not pass and not out-of-market [ let tmp[] set tmp lput price tmp set tmp lput who tmp if buy [set logBfuture lput tmp logBfuture] set logBfuture reverse sort-by [item 0 ?1 < item 0 ?2] logBfuture ;show logB if (not empty? logBfuture and not empty? logSfuture) and item 0 (item 0 logBfuture) >= item 0 (item 0 logSfuture) [ifelse ARBITRAGE[set exePricefuture EUR/USD-future][set exePricefuture item 0 (item 0 logSfuture)] let agB item 1 (item 0 logBfuture) let agS item 1 (item 0 logSfuture) ask randomAgent agB [set stocks stocks + 1 set cash cash - exePricefuture] ask randomAgent agS [set stocks stocks - 1 set cash cash + exePricefuture] set logBfuture but-first logBfuture set logSfuture but-first logSfuture ] ;show exePrice if sell [set logSfuture lput tmp logSfuture] set logSfuture sort-by [item 0 ?1 < item 0 ?2] logSfuture ;show logS if (not empty? logBfuture and not empty? logSfuture) and item 0 (item 0 logBfuture) >= item 0 (item 0 logSfuture) [ifelse ARBITRAGE[set exePricefuture EUR/USD-future][set exePricefuture item 0 (item 0 logBfuture)] let agB item 1 (item 0 logBfuture) let agS item 1 (item 0 logSfuture) ask randomAgent agB [set stocks stocks + 1 set cash cash - exePricefuture] ask randomAgent agS [set stocks stocks - 1 set cash cash + exePricefuture] set logBfuture but-first logBfuture set logSfuture but-first logSfuture ] ;show exePrice ] if random-float 1 < out-of-marketLevel [if exePricefuture > 1.6 [set out-of-market False] if exePricefuture < 0.8 [set out-of-market True] ] graph2 ] ;---------------------------------------------------------------------------------------------------------------- graph3 tick ;-------------------MOMENTUM------------------------------------------------------------------------ let time [] let time1 0 if time1 = 0 [set Mt exePriceEUR/USD] set time ticks if time = (time1 + 10)[set Mt-10 Mt] if time = (time1 + 10)[set Mt exePriceEUR/USD] if time >= (time1 + 10)[set momentum ((Mt - Mt-10) / 1.9 ) * 100] if time = (time1 + 10)[set time1 time] ;show Mt ;show Mt-10 ;show (Mt - Mt-10) ;show momentum ;------------------------------------------------------------------------------------------------- ;------------------BOLLINGER OSCILLATOR------------------------------------------------------------ set sd (standard-deviation [exePriceEUR/USD] of turtles) set Pricelist [] set Pricelist lput exePriceEUR/USD Pricelist ;show mean meanPrice set meanPrice mean Pricelist ;show meanprice set upBound meanPrice + ((1.96 * sd ) + 0.1) ;we add 0.1 just for rappresetation purpose ;show upBound set downbound meanPrice - ((1.96 * sd) + 0.1) ;show (sd * 1.96) ;--------------------------------------------------------------------------------------------------- graph4 end to graph1 set-current-plot "exePriceEUR/USD" plot exePriceEUR/USD set-current-plot "momentum" plot momentum plot 0 end to graph2 set-current-plot "exePricefuture" plot exePricefuture end to graph3 set-current-plot "EUR/USD-future" plot EUR/USD-future end to graph4 set-current-plot "BollingerB" set-current-plot-pen "meanPrice" plot meanPrice set-current-plot-pen "upBound" plot upBound set-current-plot-pen "downBound" plot downBound end ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; @#$#@#$#@ GRAPHICS-WINDOW 240 102 547 430 -1 -1 9.0 1 10 1 1 1 0 1 1 1 0 32 0 32 0 0 1 ticks 30.0 BUTTON 20 99 124 162 NIL setup NIL 1 T OBSERVER NIL NIL NIL NIL 1 SLIDER 21 167 233 200 nRandomAgents nRandomAgents 0 200 101 1 1 NIL HORIZONTAL BUTTON 132 100 236 163 NIL go T 1 T OBSERVER NIL NIL NIL NIL 1 SLIDER 19 207 234 240 passLevel passLevel 0 1 0.15 0.05 1 NIL HORIZONTAL SLIDER 18 247 234 280 out-of-marketLevel out-of-marketLevel 0 0.3 0 0.01 1 NIL HORIZONTAL PLOT -1 450 375 672 exePriceEUR/USD NIL NIL 0.0 10.0 1.1 1.6 true false "" "" PENS "default" 1.0 0 -16777216 true "" "" PLOT 805 454 1217 676 exePricefuture NIL NIL 0.0 10.0 1.1 1.7 true false "" "" PENS "default" 1.0 0 -14070903 true "" "" PLOT 392 451 789 673 EUR/USD-future NIL NIL 0.0 10.0 1.1 1.6 true false "" "" PENS "default" 1.0 0 -2674135 true "" "" SLIDER 17 289 235 322 interestEUR interestEUR 0 10 1.8 0.2 1 NIL HORIZONTAL SLIDER 18 332 235 365 interestUSD interestUSD 0 10 3.6 0.1 1 NIL HORIZONTAL MONITOR 622 96 735 141 NIL EUR/USD-future 4 1 11 MONITOR 623 151 737 196 NIL exePricefuture 4 1 11 MONITOR 894 94 1016 139 NIL exePriceEUR/USD 4 1 11 TEXTBOX 746 111 896 132 = ----------------- * 17 0.0 1 TEXTBOX 773 99 923 117 interestEUR 14 0.0 1 TEXTBOX 774 126 924 146 interestUSD 14 0.0 1 TEXTBOX 723 50 928 90 INTEREST RATE PARITY\n--------------------------------\n 16 0.0 1 PLOT 805 222 1217 450 BollingerB NIL NIL 0.0 10.0 1.4 1.7 true false "" "" PENS "meanPrice" 1.0 0 -16449023 true "" "" "upBound" 1.0 0 -1604481 true "" "" "downBound" 1.0 0 -1604481 true "" "" MONITOR 624 222 790 267 NIL sd 17 1 11 MONITOR 625 272 790 317 NIL meanPrice 17 1 11 MONITOR 625 321 791 366 NIL upBound 17 1 11 MONITOR 626 370 792 415 NIL downBound 17 1 11 SLIDER 19 377 235 410 mVolatility mVolatility 0.01 0.2 0.082 0.001 1 NIL HORIZONTAL PLOT 2 683 378 906 momentum NIL NIL 0.0 10.0 -100.0 100.0 true false "" "" PENS "default" 1.0 0 -15582384 true "" "" SWITCH 893 151 1020 184 ARBITRAGE ARBITRAGE 1 1 -1000 @#$#@#$#@ ## WHAT IS IT? The aim of this program is that of simulating the Forex market with a single currency, the Eur/Usd and a future on that currency. In addittion I have added some other elements such as the arbitrage price theory and some technical analyses tools ## HOW IT WORKS Agents are representative of the traders in the market and they place orders to buy or sell the asset. Orders are placed in a negotiation book and under certain conditions the agents negotiate ## HOW TO USE IT By clicking on the setup button we create the agents and set up the model. Using the slides we can control the number of agents, the passLevel for the negotiation, the out-of market level to get into or out of the market, the interest rates of the two assets that are simulated and finaly a slider for the volatility of the currency and future fluctuation. ## THINGS TO NOTICE The two oscillators, the momentum and the bollinger bands are two tools of technical analyses that behave in a certain way giving signals of active trading. The purpose of the two oscillators i mainly a reppresentative one since we are not using them for trading signals. Another think to be noticed is the reppresentation of the future in an enviroment with and without arbitrage, we can see how its fluctuation is conditioned when there is arbitrage in the market. ## THINGS TO TRY Change the interest rate of a currency or both and see how thw EUR/USD-future differs in fluctuation from the EUR/USD according to the interest rate theory. Another think to try out is see the reppresentation of the future fluctuation when we turn on the switch, it should be in aligned withe the fluctuation of the EUR/USD-future. @#$#@#$#@ default true 0 Polygon -7500403 true true 150 5 40 250 150 205 260 250 airplane true 0 Polygon -7500403 true true 150 0 135 15 120 60 120 105 15 165 15 195 120 180 135 240 105 270 120 285 150 270 180 285 210 270 165 240 180 180 285 195 285 165 180 105 180 60 165 15 arrow true 0 Polygon -7500403 true true 150 0 0 150 105 150 105 293 195 293 195 150 300 150 box false 0 Polygon -7500403 true true 150 285 285 225 285 75 150 135 Polygon -7500403 true true 150 135 15 75 150 15 285 75 Polygon -7500403 true true 15 75 15 225 150 285 150 135 Line -16777216 false 150 285 150 135 Line -16777216 false 150 135 15 75 Line -16777216 false 150 135 285 75 bug true 0 Circle -7500403 true true 96 182 108 Circle -7500403 true true 110 127 80 Circle -7500403 true true 110 75 80 Line -7500403 true 150 100 80 30 Line -7500403 true 150 100 220 30 butterfly true 0 Polygon -7500403 true true 150 165 209 199 225 225 225 255 195 270 165 255 150 240 Polygon -7500403 true true 150 165 89 198 75 225 75 255 105 270 135 255 150 240 Polygon -7500403 true true 139 148 100 105 55 90 25 90 10 105 10 135 25 180 40 195 85 194 139 163 Polygon -7500403 true true 162 150 200 105 245 90 275 90 290 105 290 135 275 180 260 195 215 195 162 165 Polygon -16777216 true false 150 255 135 225 120 150 135 120 150 105 165 120 180 150 165 225 Circle -16777216 true false 135 90 30 Line -16777216 false 150 105 195 60 Line -16777216 false 150 105 105 60 car false 0 Polygon -7500403 true true 300 180 279 164 261 144 240 135 226 132 213 106 203 84 185 63 159 50 135 50 75 60 0 150 0 165 0 225 300 225 300 180 Circle -16777216 true false 180 180 90 Circle -16777216 true false 30 180 90 Polygon -16777216 true false 162 80 132 78 134 135 209 135 194 105 189 96 180 89 Circle -7500403 true true 47 195 58 Circle -7500403 true true 195 195 58 circle false 0 Circle -7500403 true true 0 0 300 circle 2 false 0 Circle -7500403 true true 0 0 300 Circle -16777216 true false 30 30 240 cow false 0 Polygon -7500403 true true 200 193 197 249 179 249 177 196 166 187 140 189 93 191 78 179 72 211 49 209 48 181 37 149 25 120 25 89 45 72 103 84 179 75 198 76 252 64 272 81 293 103 285 121 255 121 242 118 224 167 Polygon -7500403 true true 73 210 86 251 62 249 48 208 Polygon -7500403 true true 25 114 16 195 9 204 23 213 25 200 39 123 cylinder false 0 Circle -7500403 true true 0 0 300 dot false 0 Circle -7500403 true true 90 90 120 face happy false 0 Circle -7500403 true true 8 8 285 Circle -16777216 true false 60 75 60 Circle -16777216 true false 180 75 60 Polygon -16777216 true false 150 255 90 239 62 213 47 191 67 179 90 203 109 218 150 225 192 218 210 203 227 181 251 194 236 217 212 240 face neutral false 0 Circle -7500403 true true 8 7 285 Circle -16777216 true false 60 75 60 Circle -16777216 true false 180 75 60 Rectangle -16777216 true false 60 195 240 225 face sad false 0 Circle -7500403 true true 8 8 285 Circle -16777216 true false 60 75 60 Circle -16777216 true false 180 75 60 Polygon -16777216 true false 150 168 90 184 62 210 47 232 67 244 90 220 109 205 150 198 192 205 210 220 227 242 251 229 236 206 212 183 fish false 0 Polygon -1 true false 44 131 21 87 15 86 0 120 15 150 0 180 13 214 20 212 45 166 Polygon -1 true false 135 195 119 235 95 218 76 210 46 204 60 165 Polygon -1 true false 75 45 83 77 71 103 86 114 166 78 135 60 Polygon -7500403 true true 30 136 151 77 226 81 280 119 292 146 292 160 287 170 270 195 195 210 151 212 30 166 Circle -16777216 true false 215 106 30 flag false 0 Rectangle -7500403 true true 60 15 75 300 Polygon -7500403 true true 90 150 270 90 90 30 Line -7500403 true 75 135 90 135 Line -7500403 true 75 45 90 45 flower false 0 Polygon -10899396 true false 135 120 165 165 180 210 180 240 150 300 165 300 195 240 195 195 165 135 Circle -7500403 true true 85 132 38 Circle -7500403 true true 130 147 38 Circle -7500403 true true 192 85 38 Circle -7500403 true true 85 40 38 Circle -7500403 true true 177 40 38 Circle -7500403 true true 177 132 38 Circle -7500403 true true 70 85 38 Circle -7500403 true true 130 25 38 Circle -7500403 true true 96 51 108 Circle -16777216 true false 113 68 74 Polygon -10899396 true false 189 233 219 188 249 173 279 188 234 218 Polygon -10899396 true false 180 255 150 210 105 210 75 240 135 240 house false 0 Rectangle -7500403 true true 45 120 255 285 Rectangle -16777216 true false 120 210 180 285 Polygon -7500403 true true 15 120 150 15 285 120 Line -16777216 false 30 120 270 120 leaf false 0 Polygon -7500403 true true 150 210 135 195 120 210 60 210 30 195 60 180 60 165 15 135 30 120 15 105 40 104 45 90 60 90 90 105 105 120 120 120 105 60 120 60 135 30 150 15 165 30 180 60 195 60 180 120 195 120 210 105 240 90 255 90 263 104 285 105 270 120 285 135 240 165 240 180 270 195 240 210 180 210 165 195 Polygon -7500403 true true 135 195 135 240 120 255 105 255 105 285 135 285 165 240 165 195 line true 0 Line -7500403 true 150 0 150 300 line half true 0 Line -7500403 true 150 0 150 150 pentagon false 0 Polygon -7500403 true true 150 15 15 120 60 285 240 285 285 120 person false 0 Circle -7500403 true true 110 5 80 Polygon -7500403 true true 105 90 120 195 90 285 105 300 135 300 150 225 165 300 195 300 210 285 180 195 195 90 Rectangle -7500403 true true 127 79 172 94 Polygon -7500403 true true 195 90 240 150 225 180 165 105 Polygon -7500403 true true 105 90 60 150 75 180 135 105 plant false 0 Rectangle -7500403 true true 135 90 165 300 Polygon -7500403 true true 135 255 90 210 45 195 75 255 135 285 Polygon -7500403 true true 165 255 210 210 255 195 225 255 165 285 Polygon -7500403 true true 135 180 90 135 45 120 75 180 135 210 Polygon -7500403 true true 165 180 165 210 225 180 255 120 210 135 Polygon -7500403 true true 135 105 90 60 45 45 75 105 135 135 Polygon -7500403 true true 165 105 165 135 225 105 255 45 210 60 Polygon -7500403 true true 135 90 120 45 150 15 180 45 165 90 sheep false 15 Circle -1 true true 203 65 88 Circle -1 true true 70 65 162 Circle -1 true true 150 105 120 Polygon -7500403 true false 218 120 240 165 255 165 278 120 Circle -7500403 true false 214 72 67 Rectangle -1 true true 164 223 179 298 Polygon -1 true true 45 285 30 285 30 240 15 195 45 210 Circle -1 true true 3 83 150 Rectangle -1 true true 65 221 80 296 Polygon -1 true true 195 285 210 285 210 240 240 210 195 210 Polygon -7500403 true false 276 85 285 105 302 99 294 83 Polygon -7500403 true false 219 85 210 105 193 99 201 83 square false 0 Rectangle -7500403 true true 30 30 270 270 square 2 false 0 Rectangle -7500403 true true 30 30 270 270 Rectangle -16777216 true false 60 60 240 240 star false 0 Polygon -7500403 true true 151 1 185 108 298 108 207 175 242 282 151 216 59 282 94 175 3 108 116 108 target false 0 Circle -7500403 true true 0 0 300 Circle -16777216 true false 30 30 240 Circle -7500403 true true 60 60 180 Circle -16777216 true false 90 90 120 Circle -7500403 true true 120 120 60 tree false 0 Circle -7500403 true true 118 3 94 Rectangle -6459832 true false 120 195 180 300 Circle -7500403 true true 65 21 108 Circle -7500403 true true 116 41 127 Circle -7500403 true true 45 90 120 Circle -7500403 true true 104 74 152 triangle false 0 Polygon -7500403 true true 150 30 15 255 285 255 triangle 2 false 0 Polygon -7500403 true true 150 30 15 255 285 255 Polygon -16777216 true false 151 99 225 223 75 224 truck false 0 Rectangle -7500403 true true 4 45 195 187 Polygon -7500403 true true 296 193 296 150 259 134 244 104 208 104 207 194 Rectangle -1 true false 195 60 195 105 Polygon -16777216 true false 238 112 252 141 219 141 218 112 Circle -16777216 true false 234 174 42 Rectangle -7500403 true true 181 185 214 194 Circle -16777216 true false 144 174 42 Circle -16777216 true false 24 174 42 Circle -7500403 false true 24 174 42 Circle -7500403 false true 144 174 42 Circle -7500403 false true 234 174 42 turtle true 0 Polygon -10899396 true false 215 204 240 233 246 254 228 266 215 252 193 210 Polygon -10899396 true false 195 90 225 75 245 75 260 89 269 108 261 124 240 105 225 105 210 105 Polygon -10899396 true false 105 90 75 75 55 75 40 89 31 108 39 124 60 105 75 105 90 105 Polygon -10899396 true false 132 85 134 64 107 51 108 17 150 2 192 18 192 52 169 65 172 87 Polygon -10899396 true false 85 204 60 233 54 254 72 266 85 252 107 210 Polygon -7500403 true true 119 75 179 75 209 101 224 135 220 225 175 261 128 261 81 224 74 135 88 99 wheel false 0 Circle -7500403 true true 3 3 294 Circle -16777216 true false 30 30 240 Line -7500403 true 150 285 150 15 Line -7500403 true 15 150 285 150 Circle -7500403 true true 120 120 60 Line -7500403 true 216 40 79 269 Line -7500403 true 40 84 269 221 Line -7500403 true 40 216 269 79 Line -7500403 true 84 40 221 269 wolf false 0 Polygon -16777216 true false 253 133 245 131 245 133 Polygon -7500403 true true 2 194 13 197 30 191 38 193 38 205 20 226 20 257 27 265 38 266 40 260 31 253 31 230 60 206 68 198 75 209 66 228 65 243 82 261 84 268 100 267 103 261 77 239 79 231 100 207 98 196 119 201 143 202 160 195 166 210 172 213 173 238 167 251 160 248 154 265 169 264 178 247 186 240 198 260 200 271 217 271 219 262 207 258 195 230 192 198 210 184 227 164 242 144 259 145 284 151 277 141 293 140 299 134 297 127 273 119 270 105 Polygon -7500403 true true -1 195 14 180 36 166 40 153 53 140 82 131 134 133 159 126 188 115 227 108 236 102 238 98 268 86 269 92 281 87 269 103 269 113 x false 0 Polygon -7500403 true true 270 75 225 30 30 225 75 270 Polygon -7500403 true true 30 75 75 30 270 225 225 270 @#$#@#$#@ NetLogo 5.0.5 @#$#@#$#@ @#$#@#$#@ @#$#@#$#@ @#$#@#$#@ @#$#@#$#@ default 0.0 -0.2 0 0.0 1.0 0.0 1 1.0 0.0 0.2 0 0.0 1.0 link direction true 0 Line -7500403 true 150 150 90 180 Line -7500403 true 150 150 210 180 @#$#@#$#@ 0 @#$#@#$#@