论文标题
CTMSTOU驱动的市场：贸易政策中的政权意识的模拟环境
CTMSTOU driven markets: simulated environment for regime-awareness in trading policies
论文作者
论文摘要
市场制度是定量融资中的一个流行话题，即使就应该如何定义的细节尚未达成共识。它们是金融市场预测问题和金融市场任务执行问题的功能。 在这项工作中，我们使用离散的事件时间多代理市场模拟在可重复且易于理解的环境中自由实验，在该环境中可以明确切换和执行政权。 我们介绍了一个新颖的随机过程，以模拟市场参与者所感知的基本价值：连续时间切换趋势Ornstein-Uhlenbeck（CTMSTOU），这促进了制度转换市场中交易政策的研究。 我们还为贸易代理人定义了制度意识的概念，并通过研究订单执行问题的不同订单安置策略来说明其重要性。
Market regimes is a popular topic in quantitative finance even though there is little consensus on the details of how they should be defined. They arise as a feature both in financial market prediction problems and financial market task performing problems. In this work we use discrete event time multi-agent market simulation to freely experiment in a reproducible and understandable environment where regimes can be explicitly switched and enforced. We introduce a novel stochastic process to model the fundamental value perceived by market participants: Continuous-Time Markov Switching Trending Ornstein-Uhlenbeck (CTMSTOU), which facilitates the study of trading policies in regime switching markets. We define the notion of regime-awareness for a trading agent as well and illustrate its importance through the study of different order placement strategies in the context of order execution problems.
