2008-03-10T04:31:51+05:30 For someone how likes Matlab: 1) Finish the scripts the build dashboard with multiple runs plotted on top of each other. 2) Dig documentation for GARCH and see if they have formal tests for comparing different statistics and what other relevant statistics (apart from the 9 graphs from Cont) we can get for free using Matlab 0 15676 1 false a9fzoS6tWr3jqGabIlDkbG 1 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

Finish Matlab scripts

2010-08-24T14:27:14+05:30 0.0 0.0 None 0.0 0.0 a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org cnJUki7uGr3l69abIlDkbG 2008-03-10T04:38:25+05:30 For some of the data collection people: 1) Per meeting from Thursday, gather time series on prices / trading volumes of a selected set of assets, preferably in different frequencies. Use tab delimited format to store results, separate files for each of the frequencies? 2) For a asset (a single company, not an index) for which trading / pricing data is available, try to dig through Reuters / Bloomberg financial stream of messages, select those that relate to this particular company or market and label them in terms of (very bad, bad, ... , very good) expected influence on share price / company profits (use your subjective judgement). Let's see if we can reproduce real price dynamics if we substitute \epsilon_t process for some ex post approximation of shocks. 0 15677 2 false a9fzoS6tWr3jqGabIlDkbG,cnJUki7uGr3l69abIlDkbG 2 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

Data collection fun

2010-08-24T14:27:14+05:30 0.0 0.0 None 0.0 0.0 cnJUki7uGr3l69abIlDkbGchansenchansenchansen a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org 2008-03-10T04:54:01+05:30 For someone who likes to read: 1) [If Dr. Axtell approves] Prepare wiki page with list of relevant papers and rank them with respect to easy of implementation of behavioral logic of market players. 2) Upload all papers to papers folder on svn server. 3) Consider papers from class, but also look into "The Effects of Market-Making on Price Dynamics" and references therein (uploaded to svn). 0 15678 3 false a9fzoS6tWr3jqGabIlDkbG 3 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

Ranking of behavioral logics

2010-08-24T14:27:14+05:30 0.0 0.0 None 0.0 0.0 a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org 2008-03-12T06:56:37+05:30 Tweak either histogram or X-Y plot to display structure of attached orderbook. Orderbooks can be used to produce a lists of values of limit orders in two different formats, refer to code comments. We have a working solution using Histogram: figure out how to set up support (min-max) for histogram (JFreeChart gives methods for this) without changing anything in Mason... 0 16347 4 false a9fzoS6tWr3jqGabIlDkbG 4 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

Work with JFreeChart to display shape of an orderbook

2010-08-24T14:27:18+05:30 0.0 0.0 None 0.0 0.0 a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org 2008-03-23T07:58:07+05:30 Implement Annualized Moving Standard Deviation and 365-Day Moving Average of Price graphs and add them to GUI. See the doc file uploaded by data collection team for sample. 0 20848 6 false a9fzoS6tWr3jqGabIlDkbG 6 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

New graphs for Java

2010-08-24T14:27:56+05:30 0.0 0.0 None 0.0 0.0 a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org dznEW66vir3k5kabIlDkbG 2008-03-23T08:11:33+05:30 Read paper "The Effects of Market-Making on Price Dynamics" by Sanmay Das and implement trader (that is somewhere between Cont's agent and Farmer's agent, but with expectations). Use default DoubleAuctionOrderBook as orderbook model to extend by adding MarkerMaker Google throws a few versions of that paper, so search for the one that is most descriptive. 0 20849 7 false a9fzoS6tWr3jqGabIlDkbG,dznEW66vir3k5kabIlDkbG 7 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 1 Accepted 0

Read Das paper and implement an agent

2010-08-24T14:27:56+05:30 0.0 0.0 None 0.0 0.0 dznEW66vir3k5kabIlDkbGsabdukadsabdukadsabdukadsabdukad@gmail.com a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org 2008-03-31T20:16:24+05:30 Read paper "Effects of diversification among assets in an agent-based market model" and extend ContPlayer to operate on two-asset market. Move signal generation to OrderBook and update existing code appropriately. 0 23856 8 false a9fzoS6tWr3jqGabIlDkbG 8 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

Read Ghoulmie paper and implement an agent

2010-08-24T14:28:19+05:30 0.0 0.0 None 0.0 0.0 a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org a9qvFK6tWr3jqGabIlDkbG 2008-03-31T20:22:06+05:30 Create a new agent to operate on multiasset market by implementing the switching process from paper "MULTIASSET MARKET DYNAMICS" by FRANK H. WESTERHOFF. This paper requires to implement chartist and fundamentalist rules for prediction of future price and a switching rule. After agents determine whether to sell or buy, use the logic from FarmerPlayer to generate orders. 0 23861 9 false a9fzoS6tWr3jqGabIlDkbG,a9qvFK6tWr3jqGabIlDkbG 9 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 1 Accepted 0

Read Westerhoff paper and implement and agent

2010-08-24T14:28:19+05:30 0.0 0.0 None 0.0 0.0 a9qvFK6tWr3jqGabIlDkbGcheccotcheccotcheccot a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org 2008-03-31T20:36:09+05:30 Implement an agent that operates on two-asset market using exponentially weighted estimates of historical volatility and return to design optimal portfolio. This agent has to follow budget constraint (so he chooses proportions of total wealth to invest in cash, asset1, assset2). The base paper would be LeBaron's "Wealth Evolution and Distorted Financial Forecasts", where target portfolio design process is described. Afterwards use Farmer's logic to generate orders that take you in the direction of the target portfolio. Use default OrderBook as market Model. 0 23871 10 false a9fzoS6tWr3jqGabIlDkbG 10 3 a9fzoS6tWr3jqGabIlDkbG bzMdxc6kKr3jZ9abIlDkbG 0 New 0

Read LeBaron paper and implement an agent

2010-08-24T14:28:19+05:30 0.0 0.0 None 0.0 0.0 a9fzoS6tWr3jqGabIlDkbGMaciej LatekMaciej LatekMaciej LatekLyraCorpwww.latek.org