An artificial market model for the forex market

IntroductionFinancial markets have undergone a significant transition toward electronic trading, leading to an increase in the degrees of transaction frequency and the utilization of high-frequency data. In the past, the frequency of available data was confined to monthly or annual intervals and, for intraday trading, to daily snapshots; such availability has currently reached millisecond or microsecond intervals. For instance, since 1996, the Electronic Broking Services (EBS) platform in the foreign exchange market has provided access to intraday historical data. These data featured one-second time intervals for the period from January 1, 1997, to January 1, 2008. Subsequently, from then until August 31, 2008, data were made available at 250-millisecond intervals. Since September 2008, the intervals have been further narrowed to 100 milliseconds.Footnote 1Who generates and provides these prices at millisecond and microsecond intervals, as observed in EBS data? In the foreign exchange...