JSAI2021

Presentation information

General Session

General Session » GS-5 Agents

[3I2-GS-5e] エージェント:応用

Thu. Jun 10, 2021 11:00 AM - 12:40 PM Room I (GS room 4)

座長:松島 裕康(滋賀大学)

12:00 PM - 12:20 PM

[3I2-GS-5e-04] Does a New Investment Strategy Take Existing Strategies' Return? -investigation by Agent-Based Model

〇Takanobu Mizuta1 (1. SPARX Asset Management Co. Ltd.)

Keywords:finance, stock investment, artificial market

Commodity Trading Advisor (CTA) funds, which mainly trade commodity futures, used to earn. However, since around 2010, they can not earn easily. Several reasons for this are said, including increase of short-term contrarian strategies that prey on CTAs for profit. However, these suggestions are not well-founded. In this study, we constructed an artificial market model implemented CTAs and short-term reversal traders (STRT), and investigated whether existing the STRTs led to a decrease in CTAs' earnings. The results showed that both CTAs and STRTs gained more profits by having more chances of their trades when both exists. Therefore, it is possible that STRTs preying on CTAs is not only wrong, but also coexists with them for profit.

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