| Autor: |
Vie, Aymeric, Scholl, Maarten, Kleinnijenhuis, Alissa M., Farmer, J. Doyne |
| Rok vydání: |
2022 |
| Předmět: |
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| Zdroj: |
2022 ACM International Conference on Artificial Intelligence in Finance - Benchmarks in AI workshop |
| Druh dokumentu: |
Working Paper |
| Popis: |
The profitability of various investment styles in investment funds depends on macroeconomic conditions. Market ecology, which views financial markets as ecosystems of diverse, interacting and evolving trading strategies, has shown that endogenous interactions between strategies determine market behaviour and styles' performance. We present Evology: a heterogeneous, empirically calibrated multi-agent market ecology agent-based model to quantify endogenous interactions between US equity mutual funds, particularly Value and Growth investment styles. We outline the model design, validation and calibration approach and its potential for optimising investment strategies using machine learning algorithms. |
| Databáze: |
arXiv |
| Externí odkaz: |
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