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
RandomStrategy
The agent buys or sells randomly. The limited price on order is set randomly
around the latest futures price, and quantity of the order is set randomly
within a prescribed range. Position of the agent is also considered in
decision making.
according as TestStrategy.java
according as TestStrategy.java
Strategy.java
1
Limit Price
Yes
futures price, spot price, position, cash, remaining session
Both
Neither
No
No
Getting the latest futures price (U-Mart price).
If it cannot obtain new price, it try to obtain latest spot price.
When neither can be obtained, a constant (nominalPrice) is used for " the latest price".
Price on order is decided as Gaussian distribution whose mean is latest price
(latest futures price in a lot of cases) and standard deviation is widthOfPrice.
Order volume is obtained as an uniform random numbers between minQuote and maxQuote.
RandomStrategy
Strategy
Same as 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
RandomStrategy.doc, RandomStrategy.java