Improved Pricing on the Stock Market with Trading Agents

covered the period between 26 th February 1999 and 24 th February 2000 (an overallrise of the exchange), and the remaining 28 samples the period between 25 th February2000 and 23 rd February 2001 (an overall fall of the exchange). A few of the samplesof the period starting 26 th February 1999 had overall falling rates, and similarly, a fewsamples of the period starting 25 th February 2000 had rising rates. Charts 4 and 5(next page) show the average outcome of the respective 28 samples. As mentionedearlier, each sample contains 8 stocks and covers about 3 months (63 days of trading).As can be seen, the pattern seems to persist. Chart 4 depicts a landscape of an overallrise of the exchange and Chart 5 an overall fall of the exchange. To get a more preciseunderstanding of this pattern I have also tested for the standard deviation and othermeasures of accuracy of 8 pairs of parameters for both sets of samples. The resultingvalues can be seen in Table 1 and Table 2.Table 1. Margins of error for the mean values of the final sums divided bycorresponding final sum of the ‘Buy and Hold’ strategy. 26 Feb 99 – 24 Feb 00.Average of 28 samples. Transaction fee set at 0.05 per cent. Results in bold type.ValleyPlateauSub-agent 1 2 3 4 5 6 7 8Sale - 0.01 - 0.01 0.01 0.01 0.01 0.01 0.03 0.03purchase 0.04 0.06 0.04 0.06 0.01 0.03 0.01 0.03Mean value 0.99 0.95 1.00 0.94 1.02 1.05 1.01 1.06Standard 0.07 0.03 0.06 0.03 0.05 0.08 0.05 0.08deviationof meanCorrectedstandarddeviation0.33 0.12 0.30 0.11 0.24 0.38 0.24 0.39Table 2. Margins of error for the mean values of the final sums divided bycorresponding final sum of the ‘Buy and Hold’ strategy. 25 Feb 00 – 23 Feb 01.Average of 28 samples. Transaction fee set at 0.05 per cent. Results in bold type.PlateauValleySubagent 1 2 3 4 5 6 7 8Sale - 0.01 - 0.01 0.01 0.01 0.01 0.01 0.03 0.03purchase 0.04 0.06 0.04 0.06 0.01 0.03 0.01 0.03Mean value 1.06 1.07 1.06 1.08 1.02 1.00 0.99 0.98Standard 0.06 0.06 0.06 0.06 0.07 0.06 0.07 0.05deviationof meanCorrectedstandarddeviation0.28 0.29 0.28 0.29 0.36 0.27 0.33 0.2611