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 MovingAverageStrategy

The agent sends an order when the short term moving average line of futures price crosses over the medium term moving average line. If trend of short term moving average line is up, the agent sends buying order and when it is down, he sends selling order.

according as TestStrategy.java according as TestStrategy.java Strategy.java 1 Limit Price Yes futures price, spot price, position, cash, remaining session long following the trend No No The agent calculates short term moving average of futures price and medium term moving average. If these two lines cross over each other, the agent send order. If trend of short term moving average line is up, the agent sends buying order and when it is down, he sends selling order. Limited price is given by following function. Dp represent absolute value of difference between the latest futures price and the second futures spot price. Limited Price=the latest spot prcei + Dp + (Dp/4)*Gaussian.Order volume is obtained as an uniform random numbers between minQuote and maxQuote. MovingAverageStrategy Strategy Same as Summary of Agent maxQuant int Maximam volume of one order (minQuant+1) ... (initial cash/300,000) 50 minQuant int Minimum volume of one order 1 ... (maxQuant-1) 15 maxPosition int Upper bound of net position. For asset management. 1 ... (initial cash/300,000) 30 shortReferenceTerm int Time window for which short term moving average is taken. 1 ... 40 10 empirical rule. mediumReferenceTerm int Time window for which medium term moving average is taken. shortReferenceTerm ... 100 20 empirical rule. 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 MovingAverageStrategy.doc, MovingAverageStrategy.java