# CTMSTOU driven markets: simulated environment for regime-awareness in trading policies

arXiv: https://arxiv.org/abs/2202.00941 · HTML: https://mlsanity.com/paper/2202.00941/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 6 of its 31 references that are in the map.
- First posted on arXiv 2 Feb 2022.

## Builds on (most cited first, 6 of 6)

- [Tune: A Research Platform for Distributed Model Selection and Training](https://mlsanity.com/paper/1807.05118/) (2018)
- [On Wasserstein Two Sample Testing and Related Families of Nonparametric Tests](https://mlsanity.com/paper/1509.02237/) (2015)
- [Get Real: Realism Metrics for Robust Limit Order Book Market Simulations](https://mlsanity.com/paper/1912.04941/) (2019)
- [ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets](https://mlsanity.com/paper/2110.14771/) (2021)
- [ABIDES: Towards High-Fidelity Market Simulation for AI Research](https://mlsanity.com/paper/1904.12066/) (2019)
- [Explaining Agent-Based Financial Market Simulation](https://mlsanity.com/paper/1909.11650/) (2019)

## Abstract (arXiv)

Market regimes is a popular topic in quantitative finance even though there is little consensus on the details of how they should be defined. They arise as a feature both in financial market prediction problems and financial market task performing problems. In this work we use discrete event time multi-agent market simulation to freely experiment in a reproducible and understandable environment where regimes can be explicitly switched and enforced. We introduce a novel stochastic process to model the fundamental value perceived by market participants: Continuous-Time Markov Switching Trending Ornstein-Uhlenbeck (CTMSTOU), which facilitates the study of trading policies in regime switching markets. We define the notion of regime-awareness for a trading agent as well and illustrate its importance through the study of different order placement strategies in the context of order execution problems.