This paper intends to contribute to the literature on the determinants of exchange rate fluctuations. We build an agent-based model inspired by the literature on behavioral finance and by empirical surveys about the behavior of foreign exchange professionals. In our artificial economy, traders allocate their wealth across heterogeneous assets based on expectations about exchange and interest rate fluctuations. Fundamentalists use both fundamental and technical signals, but overweight the former, while chartists only employ technical signals, and are either trend followers or trend contrarians. Each class of traders represents a fixed share of total traders. We find that the simultaneous co-existence of heterogeneous strategies can explain most stylized facts of foreign exchange markets, despite the absence of short-run switching from less to more profitable rules. Moreover, contrary to the predictions of the Market Selection Hypothesis, we find that heterogeneity of expectations is an essential requirement for traders’ profitability, as no class of traders can dominate the market profitably.

本文旨在为有关汇率波动决定因素的文献做出贡献。受行为金融学文献和外汇专业人士行为实证调查的启发，我们建立了一个基于代理的模型。在我们的人工经济中，交易者根据对汇率和利率波动的预期将财富分配到异构资产中。基本面主义者同时使用基本面信号和技术信号，但偏重前者，而图表主义者只使用技术信号，要么是趋势追随者，要么是趋势反向投资者。每一类交易者都代表总交易者的固定份额。我们发现，尽管不存在从利润较低的规则到利润较高的规则的短期转换，但异质策略的同时共存可以解释外汇市场的大多数程式化事实。此外，与市场选择假说的预测相反，我们发现期望的异质性是交易者盈利能力的基本要求，因为没有任何类别的交易者能够主导市场并盈利。