论文标题
做新的投资策略采取现有策略的回报 - 对基于代理的模型的调查
Do new investment strategies take existing strategies' returns -- An investigation into agent-based models
论文作者
论文摘要
主要是贸易商品期货的商品贸易顾问（CTA）在2000年代表现出良好的回报。但是，自2010年代以来，它们的表现还不太好。这种现象的可能原因之一是短期逆转交易者（STRT）的出现，他们捕食CTA的利润。在这项研究中，我通过在先前的模型中添加CTA代理（CTAA）和Strt Agent（STRTA）来建立人工市场模型，并研究了新兴的strtas是否导致CTAA收入减少，以确定strts prey是否在CTA上赢得了利润。相反，我的结果表明，CTAA和Strta在两者存在时更有可能交易和赚钱。因此，他们可能有互惠关系。
Commodity trading advisors (CTAs), who mainly trade commodity futures, showed good returns in the 2000s. However, since the 2010's, they have not performed very well. One possible reason of this phenomenon is the emergence of short-term reversal traders (STRTs) who prey on CTAs for profit. In this study, I built an artificial market model by adding a CTA agent (CTAA) and STRT agent (STRTA) to a prior model and investigated whether emerging STRTAs led to a decrease in CTAA revenue to determine whether STRTs prey on CTAs for profit. To the contrary, my results showed that a CTAA and STRTA are more likely to trade and earn more when both exist. Therefore, it is possible that they have a mutually beneficial relationship.
