trendchaser.m

仿真人工金融市场Jackson代码

//  TrendChaser.m
//  This file defines the methods for noise traders.
//



#import "TrendChaser.h"

// Implementation of a "trend chasing" noise trader ..

@implementation TrendChaser


-step {
   ShareRequest * aRequest;
   double riskyPriceChg;
   double riskyRet;
   double d1, p0, p1;


   if ((diagLevel & METHOD_ENTRY) ||
       (diagLevel & METHOD_SCHED))
     printf("*** step (TrendChaser) entry\n");

   [super step];

   liqNeeds  = [self getLiqNeeds];

   wealth = [self getWealth];

   [self printWealth];

   // Calculate demand based on optimal portfolio decision

   p0 = [mktStats getRiskyLagPrice:1];
   p1 = [mktStats getRiskyLagPrice:0];
   // today's price less the price lagged one period
   riskyPriceChg = p1 - p0;

   // Noise traders will base  their asset allocation on last
   //  period's return.  The implication is that they expect
   //  prices to continue their current trend.  That is one
   //  reason why the buy/sell at market prices.

   // since riskyCF is only positive when Earnings are released, we should look
   //   at last period's CF.  If it was postive, the riskyRet for that period
   //   should be adjusted accordingly
   // Note: it is lagged 1 period, because the "zero" lag is the risky CF for THIS
   //   trading period
   d1 = [mktStats getRiskyLagCF: 1];
   riskyRet = (riskyPriceChg  + d1) / p0;
   expRiskyRet = riskyRet;

   rvar = [mktStats getRiskyRetVar];

   //  Determine optimal asset allocation
   optRiskyFraction = (riskyRet - riskLessRate) /
                 (riskAversion * rvar);

   // for kicks set (last) price to previous * (1+riskyret)
   //  Just in case return was negative 1 (is this possible?) ensure pos. value
   riskyValue = p0 * (1 + riskyRet);
   if (riskyValue <= 0) riskyValue = 0.01;

   // Calculate units to buy/sell "assuming" price will not change
   optRiskyUnits = (wealth * optRiskyFraction) /  riskyValue; 

   [self printValue];
   [self printPortChoice];

   aRequest = [ShareRequest create: [self getZone]];
   [aRequest setTrader: (id *) self];
   [aRequest setUnitPrice: -1];

   // If he wants more of the risky asset
   if (optRiskyUnits > riskyUnits ) {
     [aRequest setGrossUnits: optRiskyUnits - riskyUnits];
     [aRequest setNetUnits: optRiskyUnits - riskyUnits];
     [mktMaker addRiskyDemand: aRequest];  
   } else {
     [aRequest setGrossUnits: riskyUnits - optRiskyUnits];
     [aRequest setNetUnits: riskyUnits - optRiskyUnits];
     [mktMaker addRiskySupply: aRequest];  
   }
     
   [self printDemand];

   return self;
}

-print {
  printf("NOISE TEST\n");
  return self;
}

@end