CTMSTOU驱动的市场：贸易政策中的制度意识模拟环境
CTMSTOU driven markets: simulated environment for regime-awareness in trading policies
摘要：
市场机制是数量金融学中的一个热门话题，尽管在如何定义市场机制的细节上还没有达成共识。它们作为金融市场预测问题和金融市场任务执行问题的一个特征出现。在这项工作中，我们使用离散事件时间多代理市场模拟自由实验在一个可重复的和可理解的环境中，制度可以明确切换和执行。我们引入了一种新的随机过程来模拟市场参与者所感知的基本价值：连续时间马尔可夫转换趋势Ornstein-Uhlenbeck（CTMSTOU），这有利于研究在政权转换市场的交易政策。我们定义的概念，政权意识的交易代理，以及说明其重要性，通过研究不同的订单放置策略的情况下，订单执行问题。
英文摘要：
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.
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