Do new investment strategies take existing strategies' returns -- An investigation into agent-based models

Takanobu Mizuta

Papers from arXiv.org

Abstract: Commodity trading advisors (CTAs), who mainly trade commodity futures, showed good returns in the 2000s. However, since the 2010's, they have not performed very well. One possible reason of this phenomenon is the emergence of short-term reversal traders (STRTs) who prey on CTAs for profit. In this study, I built an artificial market model by adding a CTA agent (CTAA) and STRT agent (STRTA) to a prior model and investigated whether emerging STRTAs led to a decrease in CTAA revenue to determine whether STRTs prey on CTAs for profit. To the contrary, my results showed that a CTAA and STRTA are more likely to trade and earn more when both exist. Therefore, it is possible that they have a mutually beneficial relationship.

Date: 2022-02
New Economics Papers: this item is included in nep-cmp, nep-cwa and nep-hme
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.01423

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