plham.agent

Class FCNAgent

plham.Agent

plham.agent.FCNAgent

Direct Known Subclasses:

RiskAverseFCNAgent

public class FCNAgent
extends Agent

An order decision mechanism proposed in Chiarella & Iori (2004). It employs two simple margin-based random tradings. Given an expected future price p, submit an order of price

• "fixed" : p (1 ± k) where 0 ≦ k ≦ 1
• "normal" : p + N(0, k) where k > 0

Field Summary

Fields

Modifier and Type	Field and Description
static Long	MARGIN_FIXED Field Type: Long{self==0L}
static Long	MARGIN_NORMAL Field Type: Long{self==1L}
Double	chartWeight
Double	fundamentalWeight
Boolean	isChartFollowing
Long	marginType
Double	noiseScale
Double	noiseWeight
Double	orderMargin
Long	timeWindowSize

Fields inherited from class plham.Agent

assetsVolumes, cashAmount, id, name, random

Constructor Summary

Constructors

Constructor and Description
FCNAgent()

Method Summary

Modifier and Type	Method and Description
static Boolean	isFinite(Double x)
List<Order>	submitOrders(Market market)
List<Order>	submitOrders(List<Market> markets)

Methods inherited from class plham.Agent

getAssetVolume, getAssetVolume, getCashAmount, getRandom, isMarketAccessible, isMarketAccessible, nextOrderId, orderExecuted, setAssetVolume, setAssetVolume, setCashAmount, setId, setMarketAccessible, setMarketAccessible, setName, setRandom, submitOrders, submitOrders, toString, updateAssetVolume, updateAssetVolume, updateCashAmount

Field Detail

fundamentalWeight

public Double fundamentalWeight

chartWeight

public Double chartWeight

noiseWeight

public Double noiseWeight

noiseScale

public Double noiseScale

timeWindowSize

public Long timeWindowSize

orderMargin

public Double orderMargin

isChartFollowing

public Boolean isChartFollowing

MARGIN_FIXED

public static final Long MARGIN_FIXED

Field Type: Long{self==0L}

See Also:

Constant Field Values

MARGIN_NORMAL

public static final Long MARGIN_NORMAL

Field Type: Long{self==1L}

See Also:

Constant Field Values

marginType

public Long marginType

Constructor Detail

FCNAgent

public FCNAgent()

Method Detail

isFinite

public static Boolean isFinite(Double x)

submitOrders

public List<Order> submitOrders(List<Market> markets)

submitOrders

public List<Order> submitOrders(Market market)