uk.ac.liv.auction.agent
Class MomentumStrategy

java.lang.Object
  uk.ac.liv.auction.agent.AbstractStrategy
      uk.ac.liv.auction.agent.FixedQuantityStrategyImpl
          uk.ac.liv.auction.agent.AdaptiveStrategyImpl
              uk.ac.liv.auction.agent.MomentumStrategy

All Implemented Interfaces:

AdaptiveStrategy, AuctionEventListener, java.lang.Cloneable, FixedQuantityStrategy, Parameterizable, Prototypeable, Resetable, java.io.Serializable, Strategy

Direct Known Subclasses:

PriestVanTolStrategy, SimpleMomentumStrategy, ZIPStrategy

public abstract class MomentumStrategy

extends AdaptiveStrategyImpl

implements java.io.Serializable

Version:

$Revision: 1.13 $

Author:

Steve Phelps

See Also:

Serialized Form

Field Summary

protected double	currentPrice
protected cern.jet.random.AbstractContinousDistribution	initialMarginDistribution
protected Shout	lastShout
protected boolean	lastShoutAccepted
protected MimicryLearner	learner
static java.lang.String	P_LEARNER
static java.lang.String	P_SCALING
protected cern.jet.random.AbstractContinousDistribution	perterbationDistribution
protected double	scaling A parameter used to scale the randomly drawn price adjustment perturbation values.
protected double	trAskPrice
protected double	trBidPrice
protected double	trPrice

Fields inherited from class uk.ac.liv.auction.agent.AbstractStrategy

agent, auction, currentShout

Constructor Summary

MomentumStrategy()

MomentumStrategy(AbstractTradingAgent agent)

Method Summary

protected abstract void	adjustMargin()
protected void	adjustMargin(double targetMargin)
protected void	agentPolled(AgentPolledEvent event)
protected double	calculatePrice(double margin)
void	endOfRound(Auction auction)
void	eventOccurred(AuctionEvent event)
double	getCurrentPrice()
Shout	getLastShout()
Learner	getLearner()
double	getScaling()
double	getTrAskPrice()
double	getTrBidPrice()
double	getTrPrice()
void	initialise()
boolean	isLastShoutAccepted()
boolean	modifyShout(Shout.MutableShout shout) Modify the price and quantity of the given shout according to this strategy.
protected double	perterb(double price)
void	setLearner(Learner learner)
void	setMargin(double margin)
void	setup(ec.util.ParameterDatabase parameters, ec.util.Parameter base) Initialise this object from a parameter database.
protected void	shoutPlaced(ShoutPlacedEvent event)
protected double	targetMargin(double targetPrice)
protected void	transactionExecuted(TransactionExecutedEvent event)

Methods inherited from class uk.ac.liv.auction.agent.FixedQuantityStrategyImpl

determineQuantity, getQuantity, setQuantity

Methods inherited from class uk.ac.liv.auction.agent.AbstractStrategy

getAgent, modifyShout, protoClone, reset, setAgent

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface uk.ac.liv.auction.agent.Strategy

determineQuantity, modifyShout, setAgent

Methods inherited from interface uk.ac.liv.util.Prototypeable

protoClone

Methods inherited from interface uk.ac.liv.util.Resetable

reset

Field Detail

learner

protected MimicryLearner learner

currentPrice

protected double currentPrice

lastShout

protected Shout lastShout

scaling

protected double scaling

A parameter used to scale the randomly drawn price adjustment perturbation values.

lastShoutAccepted

protected boolean lastShoutAccepted

trPrice

protected double trPrice

trBidPrice

protected double trBidPrice

trAskPrice

protected double trAskPrice

initialMarginDistribution

protected cern.jet.random.AbstractContinousDistribution initialMarginDistribution

perterbationDistribution

protected cern.jet.random.AbstractContinousDistribution perterbationDistribution

P_SCALING

public static final java.lang.String P_SCALING

See Also:

Constant Field Values

P_LEARNER

public static final java.lang.String P_LEARNER

See Also:

Constant Field Values

Constructor Detail

MomentumStrategy

public MomentumStrategy(AbstractTradingAgent agent)

MomentumStrategy

public MomentumStrategy()

Method Detail

setup

public void setup(ec.util.ParameterDatabase parameters,
                  ec.util.Parameter base)

Description copied from interface: Parameterizable

Initialise this object from a parameter database.

Specified by:

setup in interface Parameterizable

Overrides:

setup in class FixedQuantityStrategyImpl

initialise

public void initialise()

Overrides:

initialise in class AbstractStrategy

modifyShout

public boolean modifyShout(Shout.MutableShout shout)

Description copied from class: AbstractStrategy

Modify the price and quantity of the given shout according to this strategy.

Overrides:

modifyShout in class FixedQuantityStrategyImpl

eventOccurred

public void eventOccurred(AuctionEvent event)

Specified by:

eventOccurred in interface AuctionEventListener

Overrides:

eventOccurred in class AbstractStrategy

agentPolled

protected void agentPolled(AgentPolledEvent event)

shoutPlaced

protected void shoutPlaced(ShoutPlacedEvent event)

transactionExecuted

protected void transactionExecuted(TransactionExecutedEvent event)

endOfRound

public void endOfRound(Auction auction)

Overrides:

endOfRound in class AdaptiveStrategyImpl

setLearner

public void setLearner(Learner learner)

Specified by:

setLearner in interface AdaptiveStrategy

getLearner

public Learner getLearner()

Specified by:

getLearner in interface AdaptiveStrategy

setMargin

public void setMargin(double margin)

getCurrentPrice

public double getCurrentPrice()

getLastShout

public Shout getLastShout()

isLastShoutAccepted

public boolean isLastShoutAccepted()

getScaling

public double getScaling()

getTrAskPrice

public double getTrAskPrice()

getTrBidPrice

public double getTrBidPrice()

getTrPrice

public double getTrPrice()

calculatePrice

protected double calculatePrice(double margin)

targetMargin

protected double targetMargin(double targetPrice)

adjustMargin

protected void adjustMargin(double targetMargin)

perterb

protected double perterb(double price)

adjustMargin

protected abstract void adjustMargin()