Do new investment strategies take existing strategies' returns - An investigation into agent-based models -

  title={Do new investment strategies take existing strategies' returns - An investigation into agent-based models -},
  author={Takanobu Mizuta},
  journal={2021 8th International Conference on Behavioral and Social Computing (BESC)},
  • Takanobu Mizuta
  • Published 29 October 2021
  • Economics
  • 2021 8th International Conference on Behavioral and Social Computing (BESC)
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… 

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