edu.cuny.cat.trader.strategy
Class PriestVanTolStrategy

java.lang.Object
  java.util.Observable
      edu.cuny.cat.trader.strategy.AbstractStrategy
          edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl
              edu.cuny.cat.trader.strategy.AdaptiveStrategyImpl
                  edu.cuny.cat.trader.strategy.MomentumStrategy
                      edu.cuny.cat.trader.strategy.PriestVanTolStrategy

All Implemented Interfaces:

AuctionEventListener, AdaptiveStrategy, FixedQuantityStrategy, Strategy, edu.cuny.config.param.Parameterizable, edu.cuny.obj.Prototypeable, edu.cuny.obj.Resetable, java.io.Serializable, java.lang.Cloneable

public class PriestVanTolStrategy
extends MomentumStrategy
implements java.io.Serializable

An implementation of the Priest and van Tol strategy. Please note however that the performance of this implementation is significantly worse than what they claimed.

Parameters

base .history

(the parameter base for HistoricalReport used by this strategy)

Default Base

pvt_strategy

Version:

$Revision: 1.7 $

Author:

Steve Phelps

See Also:

HistoricalReport, Serialized Form

Field Summary

protected HistoricalReport	historicalReport
static java.lang.String	P_DEF_BASE
static java.lang.String	P_HISTORY

Fields inherited from class edu.cuny.cat.trader.strategy.MomentumStrategy

absolutePerterbationDistribution, currentPrice, initialMarginDistribution, lastShout, lastShoutAccepted, lastShoutPrice, learner, P_LEARNER, P_SCALING, relativePerterbationDistribution, scaling

Fields inherited from class edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl

quantity

Fields inherited from class edu.cuny.cat.trader.strategy.AbstractStrategy

agent, currentShout, MIN_PRICE_DIFFERENCE

Constructor Summary

PriestVanTolStrategy()

PriestVanTolStrategy(AbstractTradingAgent agent)

Method Summary

protected void	adjustMargin() the implementation is slightly different from the one in jasa: here, when a trader is inactive, it never reduces its profit margin, not even letting its learner to learn; while in jasa, the trader's learner continues to learn, though the current price remains the same.
void	eventOccurred(AuctionEvent event)
void	setup(edu.cuny.config.param.ParameterDatabase parameters, edu.cuny.config.param.Parameter base)
java.lang.String	toString()

Methods inherited from class edu.cuny.cat.trader.strategy.MomentumStrategy

adjustMargin, calculatePrice, getCurrentPrice, getLastShout, getLearner, getScaling, initMargin, isLastShoutAccepted, modifyShout, perterb, processDayClosed, processLastShout, requiresAuctionHistory, setLearner, setMargin, setScaling, shoutPosted, targetMargin, transactionPosted

Methods inherited from class edu.cuny.cat.trader.strategy.FixedQuantityStrategyImpl

determineQuantity, getQuantity, setQuantity

Methods inherited from class edu.cuny.cat.trader.strategy.AbstractStrategy

getAgent, initialize, modifyShout, protoClone, reset, setAgent

Methods inherited from class java.util.Observable

addObserver, clearChanged, countObservers, deleteObserver, deleteObservers, hasChanged, notifyObservers, notifyObservers, setChanged

Methods inherited from class java.lang.Object

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

Methods inherited from interface edu.cuny.cat.trader.strategy.Strategy

determineQuantity, modifyShout, setAgent

Methods inherited from interface edu.cuny.obj.Prototypeable

protoClone

Methods inherited from interface edu.cuny.obj.Resetable

reset

Field Detail

P_DEF_BASE

public static final java.lang.String P_DEF_BASE

See Also:

Constant Field Values

P_HISTORY

public static final java.lang.String P_HISTORY

See Also:

Constant Field Values

historicalReport

protected HistoricalReport historicalReport

Constructor Detail

PriestVanTolStrategy

public PriestVanTolStrategy()

PriestVanTolStrategy

public PriestVanTolStrategy(AbstractTradingAgent agent)

Method Detail

setup

public void setup(edu.cuny.config.param.ParameterDatabase parameters,
                  edu.cuny.config.param.Parameter base)

Specified by:

setup in interface edu.cuny.config.param.Parameterizable

Overrides:

setup in class MomentumStrategy

eventOccurred

public void eventOccurred(AuctionEvent event)

Specified by:

eventOccurred in interface AuctionEventListener

Overrides:

eventOccurred in class MomentumStrategy

adjustMargin

protected void adjustMargin()

the implementation is slightly different from the one in jasa: here, when a trader is inactive, it never reduces its profit margin, not even letting its learner to learn; while in jasa, the trader's learner continues to learn, though the current price remains the same. The additional learning of reduced margins in jasa would be reflected on the next trading day, however, when the trader becomes active again. This implementation is believed what Priest and van Tol meant to do, since the very aim is not to cause those inactive traders to reduce profit margins when the traders become active again.

Specified by:

adjustMargin in class MomentumStrategy

toString

public java.lang.String toString()

Overrides:

toString in class MomentumStrategy