uemhftrader.m

仿真人工金融市场Jackson代码

//  UEMHFTrader.m
//  This file defines the method of stock valuation for "unbiased"
//  but "error-prone" traders who believe the markets are efficient....
//  An implication of this belief is that they expect the
//  price to be correct in the coming period and all that follow.
//  Hence, they derive their expected return by calculating the
//  fundamental value and the expected fundamental value in the
//  future.
//  These traders are actually NOISE traders because their
//  expectations are persistently in error.
//
//



#import "UEMHFTrader.h"

// Implementation of a Unbiased EMH fundamental trader ..

@implementation UEMHFTrader

// when new earnings are announced, go ahead and do full blown
//   re-estimation.  Other periods, we will re-project only to 
//   the extent of simulated "new information".  That is, we
//   are taking earnings as given and adding "fudge" factors for
//   this new info.
- updateProjections {

   // bias is a percentage of the "correct" estimate

   // Note:  bias is always a function of the "correct" riskyCF
   //   estimate.  This formulation will allow the bias to be
   //   cumulative for the biased traders since the ensuing CF
   //   estimates are a function of the accuracy of prior estimates.

   risky1CF = correctCFEst + (correctCFEst*[self getBias]);
   expRiskyCFLag = risky1CF;

  return ([super updateProjections]);
}

-(double) getBias {

return ((double) [unBiasedForecastDist getDoubleSample]);

}

@end