新的投资策略是否能获得已有策略的收益--基于Agent的投资策略模型研究
Do new investment strategies take existing strategies' returns -- An investigation into agent-based models
摘要：
主要从事商品期货交易的商品交易顾问（CTA）在2000年代表现出良好的回报。然而，自2010年以来，他们的表现并不好。这种现象的一个可能原因是短期反转交易者（STRT）的出现，他们以CTA为利润。在这项研究中，我建立了一个人工市场模型，通过添加CTA代理（CTAA）和STRT代理（STRTA）到先前的模型，并调查是否新兴STRTA导致CTAA收入减少，以确定是否STRT捕食CTA的利润。相反，我的研究结果表明，CTAA和STRTA更有可能交易，并在两者都存在时赚取更多。因此，它们可能存在互利关系。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
