Loading…
Evolutionarily stable strategy analysis of Quantitative investment strategy
Based on Chinese Stock Index Future, this study focuses on two types of market price changes, trends and shake. How investors' strategies evolve to influence the market from trend to shake or from shake to trend to obtain the "evolutionary stable strategy" (ESS) of the market is condu...
Saved in:
Published in: | Journal of physics. Conference series 2020-08, Vol.1616 (1), p.12103 |
---|---|
Main Authors: | , , |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that this one cites Items that cite this one |
Online Access: | Get full text |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Summary: | Based on Chinese Stock Index Future, this study focuses on two types of market price changes, trends and shake. How investors' strategies evolve to influence the market from trend to shake or from shake to trend to obtain the "evolutionary stable strategy" (ESS) of the market is conducted. The results show that trend strategies are more favourable in most market environments, and find a single strategy cannot survive in the market, and trading frequency should be appropriately reduced to reduce transaction costs, so as to survive in the market for a long time. |
---|---|
ISSN: | 1742-6588 1742-6596 |
DOI: | 10.1088/1742-6596/1616/1/012103 |