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...

Full description

Saved in:
Bibliographic Details
Published in:Journal of physics. Conference series 2020-08, Vol.1616 (1), p.12103
Main Authors: Li, Yicun, Xiao, Weilin, Teng, Yuanyang
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!
Description
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