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 SFSpreadStrategy

The agent orders when a spread between spot and future price is wider than threshold. If future price is higher than spot price, the agent send a buying order, and it send a selling order when futures price is lower than spot price.

according as TestStrategy.java according as TestStrategy.java TestStrategy.java 1 Limit Price Yes futures price, spot price, position, cash, remaining session Short term trader Against Trend No No Getting last future price (U-Mart price) and spot price. If a spread between future and spot price is wider than spreadRatioThreshold, the agent send an order. If future price is higher (lower) than spot price, it buy (sell). Order price is given by Gaussian distribution whose mean value is the latest futures price and standard deviation is widthOfPrice. Order Volume is obtained as an uniform random numbers between minQuote and maxQuote. SPSpreadStrategy 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) 10 maxPosition int Upper bound of net position. For asset management. 1 ... (initial cash/300,000) 300 spreadRatioThreshold double Threshold between spot and futures price to decide sendind other or not 0 ... 1 300 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 SFSpreadStrategy.doc, SFSpreadStrategy.java