Market behavior and performance of different strategy evaluation schemes

Preprint, Article English OPEN
Baek, Yongjoo ; Lee, Sang Hoon ; Jeong, Hawoong (2010)
  • Publisher: American Physical Society
  • Related identifiers: doi: 10.1103/PhysRevE.82.026109
  • Subject: Quantitative Finance - Portfolio Management | Physics - Physics and Society | Quantitative Finance - Trading and Market Microstructure

Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes adopted by agents affect their per... View more
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