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