plham.agent

Class RiskAverseFCNAgent

plham.Agent

plham.agent.FCNAgent

plham.agent.RiskAverseFCNAgent

public class RiskAverseFCNAgent
extends FCNAgent

An order decision mechanism proposed in Chiarella, Iori, & Perello (2009). It employs absolute constant risk aversion (CARA) and is restricted to make no debt and no short selling.

Field Summary

Fields

Modifier and Type	Field and Description
Double	riskAversionConstant

Fields inherited from class plham.agent.FCNAgent

MARGIN_FIXED, MARGIN_NORMAL, chartWeight, fundamentalWeight, isChartFollowing, marginType, noiseScale, noiseWeight, orderMargin, timeWindowSize

Fields inherited from class plham.Agent

assetsVolumes, cashAmount, id, name, random

Constructor Summary

Constructors

Constructor and Description
RiskAverseFCNAgent()

Method Summary

Modifier and Type	Method and Description
static void	main(Rail<String> args)
List<Order>	submitOrders(Market market)

Methods inherited from class plham.agent.FCNAgent

isFinite, submitOrders, submitOrders

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

riskAversionConstant

public Double riskAversionConstant

Constructor Detail

RiskAverseFCNAgent

public RiskAverseFCNAgent()

Method Detail

submitOrders

public List<Order> submitOrders(Market market)

main

public static void main(Rail<String> args)