net.sourceforge.jasa.agent.strategy
Class MDPStrategy

java.lang.Object
  AbstractStrategy
      net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy
          net.sourceforge.jasa.agent.strategy.FixedQuantityStrategyImpl
              net.sourceforge.jasa.agent.strategy.FixedDirectionStrategy
                  net.sourceforge.jasa.agent.strategy.AdaptiveStrategyImpl
                      net.sourceforge.jasa.agent.strategy.DiscreteLearnerStrategy
                          net.sourceforge.jasa.agent.strategy.MDPStrategy

All Implemented Interfaces:

java.io.Serializable, java.lang.Cloneable, AdaptiveStrategy, FixedQuantityStrategy, TradingStrategy, MarketEventListener

public class MDPStrategy
extends DiscreteLearnerStrategy
implements java.io.Serializable

A trading strategy that uses an MDP learning algorithm, such as the Q-learning algorithm, to adapt its trading behaviour in successive market rounds. The current market-quote is hashed to produce an integer state value.

Field Summary

protected double	askBinStart
protected double	askBinWidth
protected double	bidBinStart
protected double	bidBinWidth
protected boolean	firstShout
protected MDPLearner	learner
protected int	quoteBins

Fields inherited from class net.sourceforge.jasa.agent.strategy.DiscreteLearnerStrategy

markupScale

Fields inherited from class net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy

auction, tradeDirectionPolicy

Constructor Summary

MDPStrategy()

MDPStrategy(AbstractTradingAgent agent, double askBinStart, double askBinWidth, double bidBinStart, double bidBinWidth)

Method Summary

int	act() Generate an action from the learning algorithm.
int	auctionState(Market auction) Hash the market quote to produce a state value for the learning algorithm.
Learner	getLearner()
void	learn(Market auction) Perform learning.
void	reset()
void	setLearner(Learner learner)
java.lang.String	toString()

Methods inherited from class net.sourceforge.jasa.agent.strategy.DiscreteLearnerStrategy

eventOccurred, getMarkupScale, initialise, modifyShout, onRoundFinished, setMarkupScale, subscribeToEvents

Methods inherited from class net.sourceforge.jasa.agent.strategy.FixedDirectionStrategy

isBuy, isSell, setBuy

Methods inherited from class net.sourceforge.jasa.agent.strategy.FixedQuantityStrategyImpl

determineQuantity, getQuantity, setQuantity

Methods inherited from class net.sourceforge.jasa.agent.strategy.AbstractTradingStrategy

clone, getAgent, getTradeDirectionPolicy, isBuy, modifyOrder, protoClone, setAgent, setTradeDirectionPolicy

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.sourceforge.jasa.agent.TradingStrategy

determineQuantity, isBuy, modifyOrder, setAgent, subscribeToEvents

Field Detail

learner

protected MDPLearner learner

bidBinStart

protected double bidBinStart

bidBinWidth

protected double bidBinWidth

askBinStart

protected double askBinStart

askBinWidth

protected double askBinWidth

quoteBins

protected int quoteBins

firstShout

protected boolean firstShout

Constructor Detail

MDPStrategy

public MDPStrategy(AbstractTradingAgent agent,
                   double askBinStart,
                   double askBinWidth,
                   double bidBinStart,
                   double bidBinWidth)

MDPStrategy

public MDPStrategy()

Method Detail

act

public int act()

Description copied from class: DiscreteLearnerStrategy

Generate an action from the learning algorithm.

Specified by:

act in class DiscreteLearnerStrategy

learn

public void learn(Market auction)

Description copied from class: DiscreteLearnerStrategy

Perform learning.

Specified by:

learn in class DiscreteLearnerStrategy

auctionState

public int auctionState(Market auction)

Hash the market quote to produce a state value for the learning algorithm.

reset

public void reset()

Overrides:

reset in class AbstractTradingStrategy

getLearner

public Learner getLearner()

Specified by:

getLearner in interface AdaptiveStrategy

setLearner

public void setLearner(Learner learner)

Specified by:

setLearner in interface AdaptiveStrategy

toString

public java.lang.String toString()