The Currency Markets Modeling Project has been ongoing at New Mexico Tech since the beginning of 2004. An inter-disciplinary team has developed a three-phase model of the currency market price-formation process, which features detailed modeling efforts for order flow, the simulated dealer market, and analysis of simulated price outputs. For more information, please visit the Currency Markets Modeling Project website.
Focusing on the US wholesale power market, the power trader simulation investigates bidding strategies of traders in the wholesale power market and examines how the price change occurs under different economic and engineering environments. Developed by a team at New Mexico Tech, the simulator has assisted in advancing the studies of financial systems at ICASA. For more information on Power Trader, click here.
Point of Contact: Dr. Peter Anselmo
Financial Systems Publications
|New Mexico Tech Currency Markets Modeling Project, Proceedings of the 4th International Workshop on Computational Intelligence in Economics and Finance (CIFER), July, 2005||Peter C Anselmo, Karen Hovsepian, Carlos Ulibarri, and Mauro Trabatti|
|A Wholesale Power Trading Simulator with Learning Capabilities, IEEE Transactions on Power Systems, Vol. 20, NO. 3, August 2005||T. Sueyoshi and G. Tadiparthi|
|Heuristic Solutions to Technical Issues Associated with Clustered Volatility Prediction using Support Vector Machines, 2nd International Conference on Neural Networks and Brain, Beijing, 15 October 2005||K. Hovesepian, P. Anselmo|
|Agent-Based Modeling and Simulation Research at New Mexico Institute of Mining and Technology, Academy of Mathematical and Systems Sciences, Chinese Academy of Science, Beijing, 16 October 2005||P. Anselmo|
|New Mexico Institute of Mining and Technology Currency Markets Modeling Project, Department of Mathematical Sciences, Tsinghua University, Beijing, 14 October 2005||P. Anselmo|
|Cournot Model of FX Trading, Journal of International Financial Markets, 2005, pending publication||C. Ulibarri, P. Anselmo, and M. Trabatti|
|Detection and Prediction of Relative Clustered Volatility in Financial Markets, Proceedings of 4th Annual CIFER||K. Hovsepian, P. Anselmo, and S. Mazumdar|
|“’Noise-trader’ risk and Bayesian market making in FX derivatives: rolling loaded dice?,” International Journal of Finance & Economics [Early View], John Wiley & Sons, July 2008.||C. Ulibarri, P. Anselmo, K. Hovsepian, J. Tolk, and I. Florescu,|
|“Automated Options Trading Using Machine Learning,” in The 7th International Conference on Computational Intelligence in Economics and Finance (CIEF 2008), Taoyuan, 2008. (PDF)||P. Anselmo, K. Hovsepian, C. Ulibarri, and M. Kozloski|
|“Community-based identification of banking networks,” in 2nd International Workshop on Network Science, IEEE, 2013.||M. Planck, P. Anselmo|