UMIE2003
Because the contents of the experiment were defined more clearly, and agent creation conditions and agents that had participated in UMIE 2002 were analyzed in details, fewer but well-built agents participated in the UMIE 2003. An agent with "on-line leaning ability" focused on the "short-term trend" won first prize, and that reflected the past experiment’s results. At UMIE 2002, scores of agents largely depended on the medium-term trend such as up/down. However, the achievements of the agents participated in UMIE 2003 depended on if they were able to cope with the changes in trend or not.
･Date |
June 24, 2003 | |
･Place |
Held during NAACSOS 2003 Conference session as one of related events. |
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･Participants |
7 teams with 18 agents ◆Ratio of engineering vs. economics = 4:7 |
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･Agent type |
Machine |
【Machine】
| Team | University | Agent name | Description |
| Osaka University of Economics and Law Zaiteku Kenkyukai | Osaka University of Economics and Law | CrossStrategy NaminoriStrategy DsStrategy | ・The following agents participated: an agent that used the rate of deviation from the moving-average of futures price to adjust selling/buying or order quantity, arbitraging-type agent that used spot-futures spread participated, and an agent that ordered when the futures price and spot price crossed. |
| Deglab Team | Tokyo Institute of Technology | ClassifierAgent | ・Agent that invested by choosing and employing an optimum strategy among four (strategies using arbitrage trade, moving-average, futures trend or spot trend) participated. This agent was created based on the agent using the short-term price changes and with on-line learning ability that had participated and marked high scores in UMIE 2002. |
| Osaka-city-uni-hk | Osaka City University | Averaging arbitrage trade Buy escalation arbitrage trade Averaging buyescalation Averaging buy escalation 2 |
・ Agent that employed the arbitrage trade and dollar cost averaging method Total five agents with different parameters and initial positions participated |
| Chuo University | Chuo University | CK_R10・CK_R20 CK_R30・CK_R40 CK_R50 |
・ Arbitrage type agent. This agent decided that the index at around the moving-average of spot price, and decided order quantity using spot-futures spread. Five agents with different moving-average periods entered. |
| OCU_Nakajima | Osaka City University | PriceMaker Transaction |
・Two agents, one that did speculative dealing, and the other that ordered a bunch of buying/selling at the same time price entered. |
| TN | Kyoto University | SimpleProgram | ・Arbitrage type agent participated |
| syn-1only | Ritsumeikan University | syn | ・ Agent that compared spot prices of the last three times with futures prices and ordered when the spread between those were widening |
●Comprehensive Pareto-ranking
| Rank | Agent name | MemberID | Team | University |
| No. 1 (No. 1 in Ex1, Ex2 and Ex3) | ClassifierAgent | m4 | Degulab | Tokyo Institute of Technology |
| No. 1 (No. 1 in Ex1, Ex2 and Ex3) | Strategy4 | m7 | Osaka-city-uni-hk | Osaka City University |
| No. 3(No. 2 in Ex2 and No. 1 in Ex3, Ex1) | Strategy1 | m5 | Osaka-city-uni-hk | Osaka City university |
| No. 3(No. 2 in Ex2 and No. 1 in Ex3, Ex1) | Strategy6 | m9 | OCU_Nakajima | Osaka City University |
| No. 3(No. 1 inEx1, Ex2and No. 2 in Ex3) | Transaction | m16 | OCU_Nakajima | Osaka City university |
Correlations in ranking between experiences and time series
(comparison method was the same as we had done with UMIE 2002)
correlate 5% levels of significiance |
correlate 1% levels of significiance | ||||||||||||||||||||||||||
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Correlation between experiments
((Influence of internal conditions)
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Correlation among experiments
（Influence of Trends and their changes.）
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Differences from UMIE 2002
1)There was no correlation between experiments.
Results altered largely depending on the competitors.
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2)Strong/weak time series per agent changed.
Last year’s main focus point was down/up, but this year, it was the occurrence of trend changes that influenced an agents’ achievements dramatically.
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