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1 result for “STRTs”

Do new investment strategies take existing strategies' returns -- An investigation into agent-based modelsq-fin.CP

Investigation shows CTAs and STRTs can benefit from coexistence.

problem CTAs' poor performance in recent years.

method Built an artificial market model with CTAA and STRTA agents.

result CTAA and STRTA coexistence leads to higher trading and revenue.

CTAs STRTs agent-based models mutual benefit revenue

2022-02-03abs ↗pdf ↗