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Towards Evology a Market Ecology Agent-Based Model of US Equity Mutual Funds

A Vie, M Scholl, AM Kleinnijenhuis… - arXiv preprint arXiv …, 2022 - arxiv.org
Computer Science paper cs.MA Suggest

… Next-level calibration with simulation-based inference. Although we have reduced the number of free parameters in the model, we are left with several free parameters of importance. …

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BibTeX

@article{2210.11344v2,
Author        = {Aymeric Vie and Maarten Scholl and Alissa M. Kleinnijenhuis and J. Doyne Farmer},
Title         = {Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual
  Funds},
Eprint        = {2210.11344v2},
ArchivePrefix = {arXiv},
PrimaryClass  = {cs.MA},
Abstract      = {The profitability of various investment styles in investment funds depends on
macroeconomic conditions. Market ecology, which views financial markets as
ecosystems of diverse, interacting and evolving trading strategies, has shown
that endogenous interactions between strategies determine market behaviour and
styles' performance. We present Evology: a heterogeneous, empirically
calibrated multi-agent market ecology agent-based model to quantify endogenous
interactions between US equity mutual funds, particularly Value and Growth
investment styles. We outline the model design, validation and calibration
approach and its potential for optimising investment strategies using machine
learning algorithms.},
Year          = {2022},
Month         = {Oct},
Note          = {2022 ACM International Conference on Artificial Intelligence in
  Finance - Benchmarks in AI workshop},
Url           = {http://arxiv.org/abs/2210.11344v2},
File          = {2210.11344v2.pdf}
}

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