BSE Trading strategy PRDE, exploration of parameters k and F and extension of PRDE with JADE

This project was part of the Internet Economics & Financial Technology Masters module for Y4 TB1 MEng Computer Science, University of Bristol.

Link to the report.

Running instructions:

All the simulations are performed by running PRDE.py.

Requirements:

• python3
• numpy, matplotlib for plotting

The following command line flags are being used to specify simulation details:

• --experiment-type indicates the experiment to execute, namely:

  1. Balanced group tests, the default value, --experiment-type bgr
  2. Homogenuous group tests, --experiment-type hmg
  3. One-to-many tests, --experiment-type otm
  4. Balanced group using JADE, --experiment-type jade

• --k-value takes an int for the parameter k of DE

• --F-value takes a float for the parameter F of DE

• --n-days takes a float that specifies the number of days that the simulation will run

An example on running balanced group tests with k=5 & F=0.9 for a one day market would be:

python PRDE.py --experiment-type bgr --k-value 5 --F-value 0.9 --n-days 1