论文标题
迈向情绪：基于市场生态代理的美国股票共同基金的模型
Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds
论文作者
论文摘要
投资基金中各种投资方式的盈利能力取决于宏观经济条件。市场生态学将金融市场视为多种多样，互动和不断发展的交易策略的生态系统，它表明策略之间的内源性相互作用决定了市场行为和风格的绩效。我们提出了情绪：一种基于基于经验的多代理市场生态代理模型，以量化美国股票共同基金之间的内源性相互作用，尤其是价值和增长投资方式。我们概述了模型设计，验证和校准方法及其使用机器学习算法优化投资策略的潜力。
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.
