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.

本研究使用离散事件时间多智能体市场模拟来定义市场状态，分别研究基于时间序列特征的市场回归及趋势分析，在阐述不同订单策略在执行问题中的作用时引入了订单放置策略的概念。