U-Mart Project (c)2000 Rikiya FUKUMOTO (c)2002 U-Mart Project Yuji KAWABE Dept. of Information Science and Intelligent Systems, Faculty of Engineering, The University of Tokushima

2-1 Minamijosanjima, Tokushima, Tokushima, 770-8506, Japan.

+81-88-656-9139 +81-88-656-9139 yuuji@is.tokushima-u.ac.jp Isao ONO Dept. of Information Science and Intelligent Systems, Faculty of Engineering, The University of Tokushima

2-1 Minamijosanjima, Tokushima, Tokushima, 770-8506, Japan.

+81-88-656-9139 +81-88-656-9139 isao@is.tokushima-u.ac.jp Hajime KITA National Institution for Academic Degree

3-29-1 Ootsuka, Bunkyo, Tokyo, 112-0012, Japan.

+81-3-3942-9972 +81-3-3942-9972 kita@niad.ac.jp AntiTrend Trader

price1=last futures price, and price2= second last futures price. If price1 is lower than price2 then the agent orders buying. If price1 is higher than price2 then the agent orders selling. The amount of order is randomly desided.

according as TestStrategy.java according as TestStrategy.java Strategy.java 1 Limit Price Yes futures price, spot price, position, cash, remaining session Short Against the trend No No The agent try to obtain latest spot price and second latest spot price. If it is failed, he uses spot prices. If the latest price is higher than the second latest price, he send selling order. If the latest price is lower than the second latest price, he send buying order. Limited price of the order is given by Gaussian whose standerd deviation is given as field variable "widthOfPrice". Order volume is obtained as an uniform random numbers between minQuote and maxQuote. AntiTrendStrategy Strategy See Summary of Agent widthOfPrice int Variance of limit price decided 1 ... 1000 20 maxQuant int Maximam volume of one order (minQuant+1) ... (initial cash/300,000) 50 minQuant int Minimum volume of one order 1 ... (maxQuant-1) 10 maxPosition int Upper bound of net position. For asset management. 1 ... (initial cash/300,000) 300 getOrder to dicide order Order spotPrice int[] Time Series of spot price 1 ... futurePrice int[] Time Series of futures price -1 : When trade is failure, positive value : contracted futures price pos int current position Positive is buying position. Nagative is selling position. money long amount of cash 0 ... restDay int Number of to the closing of market 0 ... 240 AntiTrendStrategy.doc, AntiTrendStrategy.java