Listen to the signals from an interactive agent‐based model

Po−Keng Cheng

Applied Economics Letters, 2021, vol. 28, issue 21, 1884-1888

Abstract: In this paper, we develop a trading strategy based on the estimated results of an interactive agent-based model. We examine our trading strategy in nine markets proxied by market indices. Our strategy is able to ride the rising trend and avoid declining periods. In addition, our strategy could outperform market index in some financial markets.

Date: 2021
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DOI: 10.1080/13504851.2020.1854657

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