CTMSTOU driven markets: simulated environment for regime-awareness in trading policies

• Tác giả: Selim Amrouni, Tucker Balch, Aymeric Moulin
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.3 Computer modeling and simulation
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 181375

Tóm tắt

Comment: fix typo in titleMarket 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.