emhtrader.m

仿真人工金融市场Jackson代码

//  EMHTrader.m
//  This file defines the method of stock valuation for
//   traders who believe the markets are efficient....
//  An implication of this belief is that they expect the 
//  price to be correct in all periods.
//  Hence, they derive their expected return only from what
//  they believe the risky asset should return.  Since they
//  expect prices to be correct, their "expected" return won't change.
//



#import "EMHTrader.h"

// Implementation of a EMH fundamental trader ..

@implementation EMHTrader

- (double) getRiskyValue
{
   if (diagLevel & METHOD_ENTRY) 
     printf("*** getRiskyValue (EMHTrader) entry\n");

  return (riskyValue);
}

-step {
   ShareRequest * aRequest;

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

   [super step];

   liqNeeds  = [self getLiqNeeds];

   wealth = [self getWealth];

   [self printWealth];

   expRiskyRet = discountRate; 
   rvar = [mktStats getRiskyRetVar];

   optRiskyFraction = (expRiskyRet - riskLessRate)/
                      (riskAversion * rvar);

   riskyValue = [mktStats getRiskyPrice];

   // Calculate units to buy/sell "assuming" price was correct 
   optRiskyUnits = (wealth * optRiskyFraction) /
                   riskyValue;

   [self printValue];
   [self printPortChoice];

   // If he wants more of the risky asset
   //   NOTE:  EMH trader simply buys/sells @ mkt price since he
   //          believes it is correct.
   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("FUND TTEST  \n");
  return self;
}

@end