摘要翻译：
在任何基于Agent的市场模型中，策略评估方案都是一个至关重要的因素，因为它决定了Agent的策略偏好，从而决定了Agent的行为模式。本研究结合市场环境，探讨代理人所采用的策略评估方案对其绩效的影响。在价格外生决定的股票市场上，我们观察了历史依赖财富博弈、趋势相反的少数人博弈和趋势跟随的多数人博弈三种策略评价方案的性能。价格要么直接从真实的股票市场指数中获得，要么用一个阶为$\le2$的马尔可夫链生成。每个方案的成功是通过配备该方案的交易者积累的平均财富来量化的。从历史中吸取教训，财富游戏表现相对较好，除非市场高度不可预测。多数人游戏在一个由长期持续价格上涨或下跌主导的时尚市场中是成功的。另一方面，少数人博弈适合于具有持续曲折价格模式的市场。我们还讨论了在策略评分过程中实施有限记忆的后果。我们的研究结果表明，在何种市场环境下，每种评估方案都适合于模拟真实市场交易者的行为。
---
英文标题：
《Market behavior and performance of different strategy evaluation schemes》
---
作者：
Yongjoo Baek, Sang Hoon Lee, Hawoong Jeong
---
最新提交年份：
2010
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--
一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
英文摘要：
  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 performance in conjunction with the market circumstances. We observe the performance of three strategy evaluation schemes, the history-dependent wealth game, the trend-opposing minority game, and the trend-following majority game, in a stock market where the price is exogenously determined. The price is either directly adopted from the real stock market indices or generated with a Markov chain of order $\le 2$. Each scheme's success is quantified by average wealth accumulated by the traders equipped with the scheme. The wealth game, as it learns from the history, shows relatively good performance unless the market is highly unpredictable. The majority game is successful in a trendy market dominated by long periods of sustained price increase or decrease. On the other hand, the minority game is suitable for a market with persistent zig-zag price patterns. We also discuss the consequence of implementing finite memory in the scoring processes of strategies. Our findings suggest under which market circumstances each evaluation scheme is appropriate for modeling the behavior of real market traders.
---
PDF链接：
https://arxiv.org/pdf/1002.4744