UMIE2005

This yearfs convention was a joint bid with U-Mart2005, usually organized in autumn.
From this convention, all tools were unified to U-Mart system version 2, with redevelopments of the batch processing system for acceleration experiment, and the tool for Pareto ranking. In total six teams, three teams each from the science and engineering faculties and from the economics science faculties, and 30 agents participated in this convention. The winner was the agent which used the classical technical assay, and the agent who achieved good results in UMIE2005 also got better grades in U-Mart2005.
No agent was bankrupted from Ex1 through Ex3. But it seems as if the advance tuning was not sufficient, since agents who were top in all items of Ex1 were at 3, and agents who were in first place according to the Pareto rank were at 11. Additionally, one of the convention characteristics is to have few participants of AI-related agents; those were active until last year.
After the convention, there was a report on a new plan for the next fiscal year. A continuous session version of U-Mart now under development, and a new league plan, with the theme of gMarket maker roles in thin board marketh, were announced.

¥Date
  12, September, 2005
¥Place
  Kyoto University
(Event of Social Infomatic Fair)
¥Participants
  6 teams with 30 agents
¥Agent type
  Machine agent

yMachinez

ID Team University Agent name Description
T01 OCU-Nakajima Osaka City University

MarketMakerStrategy_MM1
MarketMakerStrategy_MM2
MarketMakerStrategy_MM3
MarketMakerStrategy_MR
MarketMakerStrategy_RR

EThere are five agents in total, i.e., three market maker agents, and two random agents, as for comparative experiments.
ELiquidity is provided to the market by sending an order for one selling and one buying in each session. The spread is adjusted by judging the phase direction upward or downward through observation of its own position.
T02 Team titeCHuo Tokyo Institute of TechnologyE
Chuo University
Trend_fuzzyStrategy
Trend_swiftStrategy
ETwo other agents, developed by three researchers, were entered. One agent enhanced the management ability position from the Fuzzy agent and is active for a couple of years. The other agent has a bigger position through catching the bigger trend, it erases the position when the trend is over.
T03 Kyoto University,
Pocket Seminar Kita 2005
Kyoto University A0027279aStrategy
A0027544kStrategy
A0027757aStrategy
EOther agents were developed within the Kyoto University training course and were implemented by three independent students. The three agents were: firstly, an agent that does contrary trade having its own indicator by means of the past price divergence or repurchase divergence; secondly, an agent which conducts pseudo arbitrage transactions, and finally an agent which, applying its own calculation method, combines both contrary trade methods by divergence and market following factors with short-term trends.
T04 Kinki University Kinki University TestStrategy
TestStrategy2
TestStrategy3
EAn agent implemented by Kinki University.
EIt does buying and selling taking advantage of moving average conversion premiums for future prices of short duration when its band exhibits more volatility. Usually it judges buying and selling by using bigger price conversion premiums, comparing both the moving average conversion premium for short duration spot prices, and the moving average conversion premium for future prices. Three agents were entered which had different thresholds for judging moving average conversion premiums.
T05 Hobomegane Shizuoka University FireModoki3Strategy
FireModoki4Strategy
FireModoki5Strategy
FirstLogisticStrategy
FMACDStrategy
FMACDStrategy0
FMACDStrategy2
IMACDStrategy
MACDStrategy
MACDStrategy02
Psycho4Strategy
SecondLogisticStrategy
ENew entry team from Shizuoka University.
EThree agents entered: an agent that encodes the agentfs action, future price and spot price, then does matching of the action and input by means of the bucket-brigade algorithm, and an improved version agent; and two agents that judge buying and selling approximating the future price movement by logistic curve, and an improved version agent. There were six agents using MACD, i.e., the classical technical assay. And, this is an agent that employed the psychological line. These twelve agents, having various measures, all entered.
T06 Chuo University Chuo University Murakami_spreadStrategy
Nakamura_spreadStrategy
Osako_pivotStrategy
Shinohara_WmaRsiStrategy
Tabira_bolingerStrategy
EFive students from Chuo University implemented five independent agents.
EThese five agents implemented and entered were as follows: an agent that sends an order of quantity that follows a stepwise increase according to the conversion premium of cash goods and future goods; a similar type of agent that sends an arbitrage order considering repurchase spread, together with an order preparing for bulge and collapse; an agent that does buying and selling using the pivot; an agent that sends an order by combining both WMA and RSI; and lastly an agent that trades using a classical technical agent gBollinger bandh but also implements an independent strategy.

œPareto-ranking

Rank Agent name ID Team University
No.1(No.1 in Ex1,Ex2 and EX3) Nakamura_spreadStrategy T06 Chuo University Chuo University
No.1(No.1 in Ex1,Ex2 and EX3) Trend_swiftStrategy T02 Team titeCHuo Tokyo Institute of TechnologyEChuo University
No.1(No.1 in Ex1,Ex2 and EX3) Osako_pivotStrategy T06 Chuo University Chuo University
No.4(No.1 in Ex1 and EX2, No.4 in Ex3) Shinohara_WmaRsiStrategy T06 Chuo University Chuo University
No.5(No.1 in Ex1, No.5 in Ex2, No4 in EX3) Trend_fuzzyStrategy T02 Team titeCHuo Tokyo Institute of TechonologyEChuo University
No.5(No.1 in Ex1, No.5 in Ex2, No.4 in EX3) A0027544kStrategy T03 Kyoto University, Pocket Seminar Kita 2005 Kyoto University
No.5(No.1 in Ex1, No.5 in Ex2, No.4 in EX3) Murakami_spreadStrategy T06 Chuo University Chuo University

›All Rank(pdf)