Simulating A Stock Market: Report: Guilherme Costa Instituto Superior Técnico 2008

Simulating a stock market: report
Guilherme Costa
Instituto Superior Técnico
2008
1
Contents
1. Introduction
1.1 Objectives ...................................................................................... 3
1.2 Review of previous literature ........................................................ 3
2. The artificial stock market

2.1 In what it consists .......................................................................... 4
2.2 How it works ................................................................................. 5
3. Experimental results
3.1 Does the artificial market resembles a real stock market? ........... 7
3.1.1 Type a) example: The Down Jones market between 1 January 1981 .......... 8
and 1 January 2008: weekly opening prices variations
3.1.2 Type b) example: the Nikkei 225 index between 27 July 2004 ................. 11
and 27 December 2004 - daily opening prices variations
3.2 In particular, do crashes happen in this artificial market? ........... 14
3.2.1 A crash ....................................................................................... 14
4. Conclusions
5. References
6 . Appendixes
2
1. Introduction
1.1 Objectives
The objective of the work here described work was to create a computer aided simulation of a very
simple “one stock"1 market capable of showing "real life like"2 market behavior. In particular, we
were interested in showing that with a very simple model, we could achieve “typical” stock market
crashes resulting solely from the interactions of the agents in the market.
We created a "simple"3 market, consisting of a group of investors placing buying and selling
orders, each according to a previously defined strategy belonging to a very small group of "simple",
"realistic" and "endogenous"4 strategies.
1.2 Review of previous literature
The attempt to model the functioning of markets wasn’t born with the computer era. Economic
theory has long been making conceptual models of different economical dynamics and trying to fit
them to observed economic data [2,3].
Nevertheless, computers have become quite useful due to the fact they can do large calculations
that would otherwise be impossible to execute by hand. This as become specially important because
economic theories such as the rational expectations theory (“agents deduce their optimum behavior
by logical processes from the circumstances of any situation, assuming that other agents do
likewise”) seem to have been definitely abandoned by mainstream economics [1,2,3]. Some now
considered more trustable approaches, such as models from the field of evolutionary economics or
econophysics are characterized by “a general lack of analytical methods - most work is largely
computational” [1,3].
The problem with all these know attempts to simulate markets in general is always in attesting the
simulations adequacy in attaining it’s goal (which is to correctly emulate market behavior). This
problem arises due to three commonly known facts:
1) Markets conceptually viewed as being the same and intended to be studied as a single “one type
stock market” may exhibit very dissimilar characteristics. When we talk about comprehending the
way stock markets work, we are naming a group consisting of entities showing very different
behavior.
2) Markets are influenced by external variables 5 which seem very difficult (if not impossible) to
simulate. Consequentially, complete replicas of actual prices from real markets are not to be
expected. The comparisons provided between our simulated data and real market will always be
subject to this constraint.
3) Even when aware of point 2), the tests used to judge our simulated results are always subjective.
Great emphasis has been put, for example, in finding statistical distinguishing factors of the stock
markets variation prices, namely, knowing what (if any) statistical distribution is best fitted to
describe them. These results, with the aid of commonly known statistical tests can be used to verify
1 Actually, for what we are interested in, it would serve to consider any other high liquidity asset
2 It’s not easy to precise this notion, as described below
3 See the detailed description of this market below
4Meaning that the investor’s strategies and, consequently, the market’s stock price variations are determined by
variables belonging to the market’s intrinsic properties and not to any external factor
5 For some markets, the finding of oil wells, to name an example
3
the more or less success of our simulation. On the other hand, many authors content themselves in
looking for the presence of certain typical market behavior (like bubbles or crashes) [1].
An additional note about thes references section: regarding the process of actually building a
simulation of a stock, [1] is still one of the most cited papers on the subject; concerning the highly
studied distribution of stock market prices variations, Mandelbrot paper on the subject [5] seems to
be considered a classic (at least it is cited in literally all other writings we found touching the same
issues); for information concerning market crashes, Sornette [8] looks very complete.
2. Our artificial stock market
2.1 In what it consists
When a “new market”1 is created, it is created with a specific number of investors. Each one of
these investors is determined to have an initial number of stocks, an initial amount of money and,
more importantly, an acting strategy, consisting in a set of rules determining the investor’s behavior
in his attempt to maximize his earnings. Each investor can have one and only one strategy. This can
be chosen from four possible strategies, whose descriptions you can find in the end of this chapter.
Please note: for design simplicity, after the market is created, the total number of investors (and
their strategies), stocks and money cannot be changed.
We make time t discrete and refer to the interval from t-1 to t as the tth time tick. The market starts
functioning with t=0 and with a reference first stock price of 1.0 (this is configurable).
At each time tick, we can roughly describe our market by specifying the following components 2:
a) The current set of investors, each investor having a current number of stocks and amount of
money.
b) The current stock price. The current stock price is defined as the value of the last stock
exchanged in this time tick.
c) The current market history. The market history is a record of the way the stock price evolved
from time t=0 the present time tick.
d) The orders book. When an investor wants to buy or sell stocks he does so by placing buying or
selling orders (for comprehension reasons, it can be supposed that the investors place their
orders to a kind of “central authority” capable of matching different orders according to a
defined set of rules3). The orders who aren’t instantly fulfilled (as an example, suppose someone
places a selling order for one of his stocks, demanding a price no one is whiling to give at the
moment) are kept in the orders book so they can possibly be fulfilled in the future.
2.2 How it works
The computer is instructed to simulate the functioning of the market over time by successively
specifying the number of times ticks to pass.
1We think it must be more or less obvious that what we are trying to simulate is a somehow “abstract” idea of a stock
market and not a particular stock market in the sense of having a fixed number of investors, a fixed number of stocks,
etc.
2 This part will become clearer in 2.2
3 Actually,most market trade orders are sent to be handled by stock brokers. Stock markets vary greatly in their
functioning. The referred set of rules, sometimes called the “clearance mechanism” varies according to the market in
question [14]. The by us chosen will be explained in the 2.2
4
In each time tick, investors from the current set of investors are randomly chosen to actualize their
orders (the number of investors chosen is a configurable predefined percentage of the current total).
This is done by placing a new buying order and a new selling order (possibly replacing older
orders) in the orders book according to the investors strategy.
A buying order consists of an indication from the investor who places the order, stating one of the
following1 alternatives:
B1 - The investor is willing to buy a single stock2 for the best offered price. This is the lowest
amount of money someone will sell him a stock for. The investor doesn’t know what this value is
when he places the order, so he puts no maximum limit for the money he may have to spend on
buying a stock
B2 - The investor is willing to buy a single stock for a specified price bp (or a smaller one)
B3 - The investor won’t buy stocks
A selling order consists of an indication from the investor who places the order, stating one of the
following alternatives:
S1 - The investor is willing to sell a single stock for the best offered price. This is the highest
amount of money someone will buy him a stock for. The investor doesn’t know what this value is
when he places the order so he puts no minimum limit for the money he may get for selling a stock
S2 - The investor is willing to sell a single stock for a specified price sp (or a greater one)
S3 - The investor won’t sell stocks
Please note: if, for any reason, an investor has debts3 or happens to have no stocks, he is forced,
regardless of his strategy, to place orders stating respectively that he doesn’t buy stocks and that he
doesn’t sell them.
We define the best buying order in the orders book as follows: if there exists a C1 type order, that
is the best buying order (if many of these orders exist, the one placed first is chosen). If that is not
the case, the best buying order is the C2 type order offering the highest value for a stock (if many of
these orders exist, the one placed first is chosen).
We define the best selling order in the orders book as follows: if there exists a S1 type order and
the orders book contains a best buying order of type C1, that S1 type order is the best selling order
(if many of these orders exist, the one placed first is chosen) . If that is not the case, the best selling
order is the S2 type order offering a stock for the lowest value, as long as there exists a best buying
order of the C1 type in the orders book or a best buying order found the C2 type with the price
specified in it greater than the one present in the S2 type order (again, if many of these orders exist,
the one placed first is chosen).
Each time a different investor places his order, the clearance mechanism is activated.
The clearance mechanism tries to match the different orders in the orders list. Here is, in
chronological order, how it works 4:
1- The best buying order in the orders book, if there is one, is found.
2 - The best selling order in the orders book, if there is one, is found.
1We from know one will designate one of the presented orders as order of type B1,S1,etc... , accordingly to what is
shown
2 There doesn’t seem to be a problem mimicking real market behavior forcing investors to place “one stock order” at a
time and this approach has been followed by others [3]
3 It can happen, as you will see below
4 There are a great many solutions to this problem and it is not easy to previously know the best fitted to correctly
simulate real life markets specially because, as was stated earlier, real markets have different solutions for this problem.
A list of possible ones is available in [3]
5
3 - A transaction is made between the investor who placed the best buying order and the one who
placed the best selling order. The transaction is made at price tp calculated as follows according the
nature of the orders involved:
a) With a C1 type order and an S1 type order1, tp takes the value of the current stock price
b) With a C1 type order and an S1 type order, tp takes the value of the current stock price
c) With a C1 type order and an S2 type order , tp takes the value from the price present in the S2
order
d) With a type C2 type order and an S2 type order, tp takes the value of the arithmetic mean of the
prices present in the orders, that is, if pc2 is the price present in the C2 order and ps2 the one in the
s2 order, tp=(pc2+ps2)/2
The investor who is buying gives tp of its money to the one selling (possibly “borrowing”2) and
receives a stock in exchange.
Steps one to three are repeated until no transactions can be made: no best buying order exists or
there is one but there isn’t a best selling order.
Strategies description
Strategy 1: when called, the investor places a buying order to buy at best price if the stock has been
going up for at least X time ticks, where X as an exponential distribution with parameter
'exponential lambda' (this is a configurable value). The investor places a selling order to sell for the
best price if the action has been going down for at least X time ticks
Strategy 2: when called, the investor places a buying order to buy at best price if the stock has been
going up for at most X time ticks, where X has an exponential distribution with parameter
'exponential lambda'. The investor places a selling order to sell for the best price if the action has
been going down for at most X time ticks
Strategy 3: when called, the investor places a buying order, buying for at most X-'pip'*X.
The investor places a selling order, selling for at least X+'pip'*X.
How is X calculated? X is assigned a value from a random variable with normal distribution
having mean current stock price and variance 'variance'.
Defining csp=current stock price and cp=chopping parameter, we have:
if X > csp*(1+cp) or X < cps*(1-cp), the process is repeated until csp*(1-cp ) < X < csp*(1+cp)
Note: 0<'chopping parameter'<1. Both this parameter, ‘variance’ and ‘pip’ are configurable
Strategy 4: when called, the investor places a buying order, buying for at most M-'pip'*M.
The investor places a selling order, selling for at least M+'pip'*M.
How is M calculated? M is assigned a value from a random variable with normal distribution
having mean 'first stock price' and variance 'variance'.
Defining fsp=current stock price and cp=chopping parameter, we have:
if M > fsp*(1+cp) orM <fsp'*(1-cp), the process is repeated until fsp*(1-cp)< M <fsp*(1+cp)
1This case is not likely to happen, specially in stock markets which have many investors. Thus it is a somewhat of an
artificial situation (it is not likely to happen during simulations either). The solution presented seemed to us the
conducing to the most “natural” results
2 As noted before, the investor can have debts in the sense that he is represented as having “negative money”. We didn’t
want to make the model more complex by introducing a “real life like” representation of borrowing. Nevertheless, the
discussed solution didn’t seem to generate any “bad results” (it wasn’t expected to do so; borrowing DOES exist) and
was substantially more easy to implement for technical reasons
6
3. Experimental results
3.1 Does the artificial market resembles a real stock market?

We have already pointed out that it is not easy to precise in what this “resemblance” consists.
We considered using statistical tests built to compare wether two samples proceed from the same
distribution. Specifically, we were trying to defend the hypothesis that the price variations of our
generated data and the price variations of data gathered from real markets follows the same
statistical distribution. It turns out, however, this hypothesis is unlikely to be true.
The Dow Jones composite average index1 2 can offer us a typical example of the problem. We
calculated the weekly variation (in percentage) of the opening prices between 1 January 1981 and 1
January 2008. Below (figure 1 (a)) is the histogram showing the relative frequencies of the
variations from our sample, followed by a graphic of the Down jones between the referred period.
a)
Figure 1 (a) histogram showing the relative frequencies of

the Dow jones price variations (in percentage) between 1
January 1981 and 1 January 2008, (b) Dow Jones index
value between 1980 and 2008
Price
b)
4000
3000
2000
1000
Weeks passed
200 400 600 800 1000 1200 1400
1 This data was retrieved from [15]; it can be found at the end of this report
2 We will from now on refer to this index as the “Down Jones”
7
Notice how the right side of the histogram (suppose it centered at 0) has a much larger area than
the left one. This effect seems to be easy explained by the overall trend in the Dow jones to rise in
value during the selected period, as depicted in figure 2.
Such a large rise over such a great period cannot fully be explained by the market endogenous
dynamics. Most probably, the presented rise is the reflect on a true rise in the production value of
the companies represented by the index and, thus, of an exogenous variable.
As a result of this, even in the short term we cannot expect our model to adequately reproduce
some of the aspects of real stock markets functioning since, as we have seen (and hence the
histogram looks), long term market behavior resulting from non endogenous variables does seem to
affect short term market behavior.
On the other hand, it should be obvious that different markets as well as the same market at
different times can exhibit very dissimilar conducts. Even the same market can show different
behaviors according to the time scale we use to analyze it [2]. For this reason, it is not easy to
establish a well defined term of comparison for our simulated results.
It follow that attempts to directly compare this results with real market data will most likely fail.
Nevertheless, our presented models is in no way badly suited to serve our purposes, namely,
showing it possible to produce real like market behavior exclusively using investors trading on
strategies depending solely of endogenous parameters.
We have therefore followed the approach of showing the adequateness of our model by comparing
certain very specific statistical aspects of our generated data with arbitrarily real market data1, while
taking into account the above explained problems.
Particularly, we expected that, for any pair of generated/real data values,
a) In the general case, the price variations from both samples are not adequately modeled by a
Gaussian distribution for there is a much higher probability attributed to values belonging to the
“end” of the gaussian distribution tails; a logistic distribution, for example, will yield better
approximation results [6,11]
b) In the particular cases for which the real market data doesn’t seem to exhibit long term
exogenous based trends, common statistical tests should indicate that price variations in the real
market data and price variations in the generated market data follow the same distribution
3.1.1 Type a) example: The Down Jones market between 1 January 1981 and 1 January 2008:
weekly opening prices variations 2
Bellow you can see (figure 2 (a)) a graph representing the price variations obtained from the real
data and the simulated price variations (figure 2 (b)), as well as the actual price over the referred
period (figure 3 (a)) and the simulated price during a chosen one (figure 3 (b)).
Our initial market setup consisted of:
1 In fact, as we stated already, we wish only to prove the model can produce adequate results. The process followed was
that of experimental changing the simulation parameters in order to obtain the desired results. The description of that
process as well as the possible conclusions to be drawn from the parameters obtained is out of the scope of this text
2 Numerical data can be found at the end of this report
8
Global parameters Strategies parameters Investors
first stock price=376.08 exponential lambda=1.0 10 strategy 1 investors with

(This was chosen to mach the stocks=1000 and money=1000
real data first stock price
value)
pip=0.01 variance=25 100 strategy 3 investors with

stock=1000 and money=1000
percentage=10% chopping parameter=0.99 100 strategy 4 investors with

stocks=1000 and money=1000
The market was kept running for 1410 time ticks (so as to make one time tick per week).1
a)
1 Numerical data can be fond at at the end of this report

9
b)
Figure 2 (a) weekly opening prices variations in the the Down jones between 1 January 1981 and 1
January 2008 (percentage values), (b) simulated data prices variations per time tick (percentage
values)
Price
a)
4000
3000
2000
1000
Weeks passed
200 400 600 800 1000 1200 1400
10
Price
b)
395
390
385
380
375
Weeks passed
200 400 600 800 1000 1200 1400
Figure 3 (a) opening prices in the Down jones between 1 January 1981 and 1 January 2008 , (b)
simulated prices
It is obvious that such differences as depicted in the graphics from figure 3 most somehow reflect
themselves in the statistical distribution of the prices variations. Nevertheless, using the Shapiro-
Wilk test [12] for testing a formal agreement with normality (or not) we have, as expected,
a) For the real data: W = 0.9586, p-value < 2.2e-16
b) For the simulated data: W = 0.9845, p-value = 3.611e-11
According to the usual significance levels, we therefore reject, in both cases, the hypothesis that
the distribution in study is normal.
On the other hand, resorting to the Kolmogorv-smirnof test for comparison with a logistic
distribution, we have:
a) For the real data, using a logistic distribution of location parameter 0.001985 (we used the
sample mean) and scale parameter 0.012: D = 0.0276, p-value = 0.2346
b) For the simulated data, choosing a logistic distribution of location parameter 2.298826e-05 (we
used the sample mean) and scale parameter 0.0036: D = 0.0211, p-value = 0. 0.56
According to the usual significance levels, as expected, no evidence is found to reject the
hypothesis that both samples proceed from a Logistic distribution.
3.1.2 Type b) example: the Nikkei 225 index between 27 July 2004 and 27 December 2004 - daily
opening prices variations1
Bellow you can see (figure 3 (a)) a graph representing the prices variations obtained from the real
data and the simulated price variations (figure 3 (b)), as well as the actual price over the referred
period (figure 3 (a)) and the simulated price during a chosen one (figure 3 (b)).
1 This data was retrieved from [16]; it can be found at the end of this report
11

value)
pip=0.01 variance=0.15 10 strategy 2 investors with


10 strategy 4 investors with

The market was kept running for 104 time ticks (so as to make one time tick per week)1.
a)
1 Numerical data can be fond at at the end of this report

12
b)
Figure 3 (a) daily opening prices variations in the the Nikkei 225 between 27 July 2004 and 27
December 2004 (percentage values), (b) simulated data prices variations per time tick (percentage
values)
Price
a)
11400
11300
11200
11100
11000
10900
10800
Days passed
20 40 60 80 100
13
Price
b)
11.7
11.6
11.5
11.4
11.3
11.2
Days passed
20 40 60 80 100
Figure 4 (a) opening prices in the the Nikkei 225 between 27 July 2004 and 27 December 2004 (b)
simulated prices
Notice how the graphics in figure 4 seem much more alike than the ones displayed in figure 2. As
promised, many statistical indicators can now be find to provide corroboration for the thesis that the
prices variations distributions in the real market is the same as the one obtained from our simulated
market:
The sample variance of each set of values is “very similar”:
a) For the real data: 9.158376e-05
b) For the simulated data: 9.409476e-05
Using, the Wilcoxon rank sum test with continuity correction [13], we have:
W = 5413, p-value = 0.8957
And again recurring to the kolmorov-smirnof test, we have:
D = 0.1286, p-value = 0.3586
In both tests we conclude, using the usual significance levels, there is no evidence to reject the null
hypothesis, namely, that the two samples proceed from the same distribution.
3.2 In particular, do crashes happen in this artificial market?
There isn’t a generally used rigorous quantitative definition of a “market crash”. Most scholars
more or less refer to market crashes as “a sudden dramatic decline of stock prices across a
significant cross-section of a stock market ” [8,9].
Before trying any simulation, we committed ourselves in defining “a sudden dramatic decline”
and, quite arbitrarily, we proposed to obtain in a simulation, at least a 50% price drop in a time
interval no longer than 5% of the total existence time of the simulated market. That was achieved,
as the following example will show:
3.2.1 A crash
14
The initial market setup was:

value)
pip=0.01 variance=1 10 strategy 2 investors with


10 strategy 4 investors with

The market was kept running for 400 time ticks 1. Bellow is a graph (figure 3 (a)) with the
generated prices. In red, we marked the location of the identified crash. This consists of a 75.53%
drop (from 9.367 to 2.292) in a 18 time ticks period (starting at the 265 time tick and ending at the
283), which amounts to 4.5% of the total time the market was running.
Figure 5. Simulated prices with a “crash” (located in the red rectangle)
1 Numerical data can be found at the end of this report

15
It is important to recognize that the here presented initial market setup was in no way arbitrarily
chosen. In fact, we realized being much easier to simulate crashes making strategy 1 or strategy 2
investors in far greater number than the other types. This was of course to be expected since, in a
way, this investors “amplify” the effects from the other investors actions. Setting them with little
money and many stocks, lead them to sell more than to buy, causing great sudden falls in the stock
price.
4. Conclusions
We created a computer aided simulation of a simple “one stock" market consisting of a group of
investors placing buying and selling orders, each according to a previously defined strategy
belonging to a small set of "simple", "realistic" and "endogenous"1 strategies.
We showed it was possible to somehow simulate the behavior of a real stock market by attending ,
as was our objective, exclusively to the interactions of the investors composing the market.
The way in which this simulation was successful, however, was shown very hard to judge. The
idea for us followed was using typical statistical tests for the comparison of two samples: one
consisting on the prices variations of real market data and the other being the prices variations of
our simulated data. This comparison showed our simulation to be adequate while considering
markets not affected by long term exogenous variables. When attending to markets who were
affected by long term exogenous variables, the referred tests didn’t provide the desired results.
Nevertheless, commonly know statistical properties of real stock markets behavior were still
possible to find in our generated data, namely, the prices variations being adequately modeled not
by normal distributions but by logistic distributions
Other typical market behavior could be perceived in the generated data. In particular, market
crashes were shown to occur.
References
[1] R.G. Palmer, W. Brian Arthur, John H. Holland, Blake LeBaron, and Paul Tayler, Artificial Economic Life: A Simple
Model of a Stockmarket, Physica D 75, 264-274 (1994)
[2] P. Bak, M. Paczuski, M. Shubik, Price Variations in a Stock Market With Many Agents, Physica A, 246, 3-4,
December 1, 1997, 430-453
[3] P. Ball, Critical mass, Arrow books, 2004
[4] W. Brock, C. Hommes, Rational route to randomness, Ecconometrica 65, 1997
[5] B. Mandelbrot, the variation of certain speculative prices, J.Bus. 35, 1963
[6] R. Mantegna, H. Stanley, Scaling behaviour in the dynamics of and iconomic index Nature, vol. 376, 1995
[7] T. Lux, M. Marchesi, Scaling and criticality in a stochastic multi-agent model of a financial market, Nature, vol.
397, 1999
[8] D. Sornette, Critical market crashes, 2003
[9] C. P. Kindleberger, Manias, panics and crashes, Wiley investement classics, 1978
[10] K. Steiglitz, D. Shapiro, Simulating the madness of crowds: price bubbles in an auction-mediated robot market,
Princeton, 1997
[11] N. Balakrishnan. Handbook of the Logistic Distribution, Marcel Dekker, New York, 1992
1 As stated in the introduction, meaning that the investor’s strategies and, consequently, the market’s stock price
variations are determined by variables belonging to the market’s intrinsic properties and not to any external factor
16
[12] S. S. Shapiro, M. B. Wilk, "An analysis of variance test for normality (complete samples)", Biometrika, 52, 3 and
4, pages 591-611 (1965)
[13] D. Bauer, Constructing confidence sets using rank statistics, Journal of the American Statistical Association 67,
687–690 , 1972
[14] "Stock basics: how stocks trade" Investopedia. Retrieved September 2, 2008 (http://www.investopedia.com/
university/stocks/stocks3.asp).
[15] "Historical prices for Down Jones composite average" Yahoo! Finance. Retrieved September 2, 2008 (http://
finance.yahoo.com/q/hp?s=^DJA&a=00&b=1&c=1981&d=00&e=1&f=2008&g=w).
[16] "Historical prices for Nikkei 225" Yahoo! Finance. Retrieved September 2, 2008 http://finance.yahoo.com/q/hp?
s=^N225&a=06&b=27&c=2004&d=11&e=27&f=2004&g=d).
Appendix A: numerical data (all results are presented in chronological order)
1) Down Jones weekly opening prices between 8 January 1981 and 8 January 2008
375.53, 376.08, 378.81, 373.7, 376.32, 365.58, 368.85, 373.56, 361.17,

358.52, 369.51, 372.75, 381.94, 383.58, 389.42, 390.3, 390.98, 391.51,
394.56, 378.44, 378.02, 384.66, 380.38, 388.64, 384.79, 391.32, 385.8,
383.29, 370.3, 370.69, 371.37, 367.36, 371.18, 368.72, 371.14, 361.51,
351.51, 336.11, 339.19, 326.58, 315.46, 339.79, 343.01, 333.81, 332.03,
343.48, 342.87, 345.04, 343.77, 355.21, 357.75, 351.61, 351.46, 348.32,
348.22, 342.37, 329.46, 325.82, 335.89, 333.09, 324.68, 327.3, 323.56,
318.53, 311.55, 318.04, 321.84, 329.34, 332.57, 332.49, 338.51, 332.33,
341.85, 337.99, 327.7, 319.64, 314.28, 315.88, 306.16, 312.58, 310.66,
17
319.48, 321.36, 318.71, 311.91, 299.6, 306.33, 333.34, 341.7, 359.05, 353.1,
353.41, 357.06, 350.74, 383.33, 385.79, 398.15, 388.7, 409.82, 402.89,
399.16, 393.33, 404.65, 400.14, 399.63, 409.15, 409.86, 420.83, 425.71,
404.79, 418.04, 429.2, 428.08, 431.81, 439.43, 451.48, 443.19, 442.61,
450.84, 445.1, 446.8, 461.83, 468.06, 472.92, 481.1, 474.38, 465.79, 475.52,
479.17, 481.71, 492.55, 495.98, 486.19, 485.92, 475.76, 489.2, 473.6, 468.22,
472.78, 474.39, 467.71, 486.68, 497.09, 489.5, 501.42, 486.33, 505.43,
503.19, 496.51, 493.53, 493.13, 502.99, 505.49, 512.54, 506.87, 505.93,
496.59, 498.25, 503.08, 512.88, 505.91, 500.12, 490.32, 468.17, 456.86,
449.94, 456.94, 461.19, 448.75, 459.38, 452.06, 457.65, 442.89, 447.94,
452.58, 453.28, 455.38, 453.09, 440.55, 429.38, 441.31, 438.86, 423, 440.27,
439.29, 437.35, 432.59, 423.55, 432.04, 470.02, 469.93, 468.96, 474.78,
471.81, 463.92, 478.38, 471.63, 473.6, 466.31, 470.96, 485.01, 475.2, 482.46,
483.62, 471.94, 484.06, 473.68, 466.38, 473.6, 484.68, 486.83, 482.38, 492.6,
497.75, 515.61, 515.11, 524.48, 522.98, 518.32, 528.26, 515.61, 508.41,
509.65, 514.75, 511.36, 514.62, 512.58, 512.97, 507.12, 524.46, 534.31,
534.47, 544.35, 542.89, 536.56, 542.66, 551.05, 554.29, 557.76, 564.12,
556.94, 557.55, 545.6, 543.13, 548.88, 553.7, 551.24, 537.3, 537.86, 536.99,
537.95, 543.34, 552.59, 548.8, 562.46, 569.82, 579.17, 585.75, 588.65,
594.21, 615.11, 614.66, 615.03, 616.77, 602.21, 612.68, 620.25, 632.36,
645.42, 661.62, 675.46, 678.25, 674.39, 701.12, 700.08, 717.69, 681.17,
698.83, 718.46, 713.41, 691.85, 694.79, 685.2, 709.79, 721.65, 705.28,
718.82, 715.3, 724.33, 725.39, 701.75, 686.69, 696.4, 678.98, 688.84, 717.86,
730.4, 737.03, 731.74, 689.15, 699.7, 699.17, 707.15, 713.7, 720.98, 725.46,
742.1, 745.27, 736.24, 745.27, 749.91, 760.28, 745.45, 751.58, 747.33,
753.73, 777.61, 798.88, 807.67, 820.59, 840.53, 841.89, 856.55, 850.71,
863.04, 853.38, 877.59, 844.45, 893.43, 868.13, 854.7, 826.55, 846.49,
872.85, 853.41, 849.66, 867.32, 871.43, 902.13, 910.78, 912.87, 915.06,
918.27, 928.3, 925.4, 943.46, 959.45, 988.67, 988.77, 962.41, 930.72, 951.18,
924.36, 944.31, 964.18, 917.12, 778.96, 693.19, 730.16, 720.99, 725.26,
703.57, 688.77, 656.56, 686.58, 728.45, 720.99, 718.29, 718.69, 723.57,
710.39, 734.81, 712.44, 736.07, 751.96, 757.69, 767.37, 759.36, 777.76,
743.35, 749.85, 782.45, 744.51, 754.54, 755.12, 745.86, 740.95, 724.82,
731.46, 770.85, 784.44, 777.82, 799.42, 793.98, 789.28, 790.83, 767.86,
793.45, 790.34, 759.76, 758.06, 757.27, 770.1, 776.95, 782.51, 784.78,
794.92, 811.43, 802.66, 820.49, 807.55, 808.27, 789.91, 781.37, 787.48,
799.92, 816.88, 816.47, 824.73, 823.86, 835.51, 845.88, 854.38, 881.6,
889.48, 869.57, 888.16, 863.24, 870.77, 871.7, 862.97, 847.87, 874.21, 880.2,
890.21, 917.94, 920.86, 912.35, 932.71, 956.31, 956.65, 958.82, 954.78,
949.69, 971.09, 946.09, 969.58, 984.73, 1000.89, 1022.42, 1033.64, 1062.06,
1072.15, 1085.57, 1108.56, 1082.05, 1067.53, 1067.99, 1075.08, 1111.14,
995.69, 1021.83, 993.95, 1002.44, 1005.13, 1007.07, 1008.85, 1037.41,
1032.03, 1029.58, 1021.93, 1033.23, 1029.31, 1000.67, 1002.57, 964.21,
965.82, 979.93, 966.5, 958.72, 995.14, 995.83, 1011, 1012.23, 1004.17,
1008.16, 1027.45, 993.77, 975.35, 998.03, 1031.48, 1030.41, 1023.65, 1051.13,
1042.23, 1053.16, 1033.45, 1031.12, 1034.37, 1061.94, 1040.15, 1018.5,
954.71, 944.03, 919.9, 901.41, 896.24, 920.5, 888.49, 875.58, 865.55, 881.48,
854.15, 882.55, 862.09, 878.99, 875.44, 895.65, 876.8, 898.29, 909.12,
906.14, 923.74, 919.05, 898.95, 877.4, 935.17, 957, 979.8, 1015.2, 1037.95,
1044.01, 1045.35, 1042.13, 1030.11, 1011.83, 1031.69, 1033.23, 1044.01,
1054.64, 1045.26, 1050.47, 1055.2, 1035.65, 1044.74, 1083.99, 1073.21,
1080.71, 1047.24, 1036.74, 1040.88, 1061.11, 1070.84, 1062.3, 1073.11,
1066.98, 1018.31, 1079.7, 1081.38, 1062.66, 1060.75, 1069.7, 1068.75, 1061,
1073.56, 1111.29, 1088.94, 1103.25, 1102.05, 1072.73, 1049.78, 1040.64,
1056.7, 1064.65, 1064.19, 1128.88, 1159.22, 1150.17, 1179.35, 1164.71,
1154.37, 1161.53, 1173.44, 1188.4, 1179.72, 1163.74, 1163, 1178.98, 1158.57,
1157.42, 1155.25, 1186.88, 1173.02, 1183.88, 1200.78, 1193.14, 1195.79,
1195.23, 1200.35, 1179.16, 1154.9, 1149.13, 1180.02, 1172.21, 1158.86,
1153.38, 1188.66, 1162.17, 1157.67, 1132.12, 1138.01, 1147.17, 1172.94,
1165.59, 1144.59, 1121.54, 1110.94, 1131.41, 1152.26, 1162.97, 1172.94,
1164.7, 1164.38, 1191.63, 1195.62, 1191.37, 1206.12, 1208.12, 1207.38,
1201.66, 1214.15, 1208.75, 1228.01, 1275.47, 1259.93, 1229.59, 1253.42,
1267.49, 1268.17, 1268.91, 1277.78, 1262.29, 1288.02, 1320.41, 1282.66,
1282.56, 1281.25, 1278.27, 1285.97, 1298.85, 1302.83, 1285.97, 1273.58,
1279.29, 1288.68, 1284.34, 1295.94, 1312.68, 1318.99, 1321.52, 1324.82,
1336.5, 1351.98, 1342.71, 1341.17, 1337.6, 1326.4, 1330.74, 1328.98, 1338.21,
1343.8, 1364.5, 1347.59, 1360.93, 1351.22, 1362.41, 1367.68, 1373.99,
1377.02, 1384.54, 1379.82, 1398.36, 1412.76, 1415.19, 1437.76, 1405.57,
1407.97, 1399.45, 1383.58, 1381.3, 1379.41, 1377.84, 1353.88, 1272.68,
1305.29, 1293.87, 1293.52, 1314.99, 1285.37, 1264.51, 1299.67, 1306.85,
1315.39, 1306.44, 1308.22, 1266.27, 1276.49, 1292.36, 1299.99, 1297, 1301.81,
1306.51, 1310.1, 1296.57, 1336.92, 1333.38, 1316.21, 1321.12, 1282.29,
18
1287.84, 1265.6, 1299.27, 1295.33, 1314.01, 1277.9, 1270.78, 1270.53,
1241.36, 1251.79, 1224.86, 1256.6, 1272.22, 1273.28, 1291.21, 1313.26,
1294.02, 1305.08, 1319.39, 1328.51, 1339.82, 1354.64, 1336.6, 1345.26,
1358.45, 1374.05, 1386.86, 1399.48, 1414.95, 1413.88, 1436.9, 1425.61,
1452.69, 1429.67, 1438.36, 1458.46, 1456.56, 1487.51, 1511.35, 1505.26,
1561.64, 1566.5, 1551.9, 1575.98, 1569.77, 1543.92, 1559.47, 1560.23,
1572.64, 1599.83, 1618.16, 1602.09, 1617.47, 1605.26, 1615.08, 1603.14,
1600.09, 1634.46, 1640.73, 1668.51, 1687.5, 1707.01, 1718.76, 1701.84,
1684.11, 1689.45, 1711.42, 1661.55, 1686.71, 1706.6, 1732.24, 1791.72,
1764.29, 1811.68, 1794.89, 1759.8, 1817.39, 1843.13, 1820.05, 1815.53,
1794.57, 1824.29, 1815.47, 1799.74, 1813.35, 1868.5, 1885.64, 1837.13,
1854.78, 1836.99, 1854.08, 1847.37, 1808.39, 1786.07, 1743.77, 1741.94,
1806.11, 1805.76, 1815.3, 1825.47, 1782.36, 1806.04, 1851.62, 1859.75,
1855.51, 1890.22, 1879.07, 1913.94, 1902.71, 1907.65, 1968.12, 2005.12,
2037.99, 2047.77, 2026.31, 1996.8, 2036.18, 2061.44, 2048.01, 2086.31,
2122.09, 2096.21, 2112.33, 2118.61, 2157.87, 2133.18, 2111.07, 2174.88,
2148.03, 2125.82, 2094.1, 2068.24, 2022.77, 2114.8, 2114.2, 2219.72, 2241.57,
2245.46, 2277.58, 2288.81, 2316.95, 2381.65, 2387.2, 2371.4, 2437.06,
2442.11, 2432.28, 2494.19, 2516.11, 2483.42, 2411.7, 2460.95, 2406.9,
2471.84, 2474.59, 2556.42, 2529.92, 2586.82, 2593.35, 2551.73, 2503.25,
2471.06, 2496.53, 2490.12, 2546.05, 2568.46, 2642.45, 2583.9, 2549.43,
2536.25, 2619.29, 2476.13, 2583.19, 2564.94, 2638.97, 2688.75, 2773.66,
2738.51, 2746.66, 2790.46, 2827.85, 2851.38, 2840.34, 2928.5, 2891.3,
2960.65, 2861.58, 2914.62, 2881.67, 2866.99, 2880.21, 2822.51, 2860.66,
2806.71, 2813.88, 2870.51, 2897.68, 2920.11, 2947.59, 2821.32, 2783.97,
2698.52, 2642.73, 2686.12, 2559.58, 2492.14, 2510.08, 2497.08, 2585.95,
2490.13, 2520.06, 2648.83, 2649.32, 2707.75, 2786.1, 2758.24, 2845.58,
2871.67, 2830.94, 2733.11, 2792.97, 2868.96, 2874.43, 2985.13, 2907.12,
2838.14, 2911.51, 2882.32, 2853.62, 2876.62, 2875.7, 2989.07, 3018.35,
3030.32, 3006.11, 3015.4, 3050.46, 3191.65, 3228.16, 3269.48, 3335.19,
3294.39, 3283.63, 3214.05, 3271.56, 3187.44, 3269.97, 3202.3, 3316.59,
3324.08, 3313.98, 3255.5, 3187.69, 3182.43, 3212.56, 3239.92, 3243.91,
3236.7, 3207.13, 3138.9, 2989.94, 2998.87, 3107.71, 2937.84, 3021.07, 3130.4,
3101.23, 3131.27, 3138.64, 3102.87, 3165.39, 3123.93, 3141.92, 3176.7, 3215,
3243.88, 3271.21, 3179.85, 3035.69, 3087.98, 2946.94, 2896.29, 2780.19,
2907.95, 2789.33, 2989.78, 3090.85, 3069.93, 3131.98, 2979.38, 3108.99,
3110.61, 3082.67, 3107.28, 3082.68, 3011.71, 3121.45, 3086.27, 3032.83,
3011.79, 2991.28, 3073.04, 3148.37, 3117.8, 3068.77, 3175.19, 3242.53,
3242.24, 3245.34, 3254.11, 3295.83, 3252.24, 3180.2, 3175.39, 3132.22,
3054.48, 3068.15, 3133.4, 3235.11, 3198.42, 3239.77, 3205.49, 3153.91,
3241.41, 3152.68, 3252.32, 3318.1, 3219.07, 3156.75, 3166.02, 3226.4,
3286.47, 3292.93, 3286.33, 3199.85, 3210.64, 3245.1, 2993.33, 2911.22,
3059.69, 2994.95, 3104.54, 3209.12, 3270.81, 3281.18, 3257.62, 3374.29,
3308.73, 3295.54, 3261.76, 3139.19, 3119.24, 3144.04, 3097.32, 3178.54,
3172.09, 3126.13, 3160.53, 3109.81, 3057.6, 3109.16, 3008.74, 2920.68,
2490.37, 2599.21, 2687.74, 2720.21, 2671.15, 2720.73, 2670.21, 2755.03,
2826.59, 2847.03, 2807.07, 2877.13, 2810.4, 2867.82, 2913.3, 2978.08,
2895.65, 2849.23, 2886.31, 2889.32, 2818.2, 2853.36, 2868.78, 2991.68,
3081.87, 3068.59, 3038.55, 3045.6, 2986.46, 2993.64, 2998.34, 2911.09, 2940,
2887.95, 2962.49, 2942.24, 2891.05, 2788.24, 2774.3, 2757.23, 2743.09,
2724.86, 2518.06, 2325.47, 2353.14, 2366.1, 2497.01, 2503.31, 2553.1,
2472.42, 2415.34, 2376.28, 2282.21, 2236.02, 2169.97, 2193.76, 2285.22,
2344.93, 2376.39, 2378.87, 2391.19, 2435.23, 2457.21, 2413.38, 2381, 2406.99,
2359.63, 2443.44, 2488.97, 2431.43, 2293.81, 2278.16, 2223.03, 2214, 2238.35,
2200.26, 2179.02, 2191.57, 2382.23, 2293.2, 2326.96, 2314.34, 2382.86,
2392.98, 2472.33, 2477.64, 2497.08, 2494.54, 2563.56, 2597.16, 2604.99,
2625.32, 2575.33, 2588.43, 2616.05, 2626.01, 2651.97, 2619.85, 2623.62,
2659.74, 2666.92, 2695.07, 2733.24, 2729.58, 2781.4, 2691.95, 2773.46,
2799.8, 2811.7, 2785.37, 2843.43, 2856.63, 2833.56, 2783.22, 2838.15,
2854.06, 2904.05, 2956.52, 2972.94, 2993.44, 2997.33, 3031.79, 3045.48,
2984.4, 2997.37, 3012.02, 3005.3, 3016.29, 3021.35, 2943.78, 2924.5, 2938.7,
3023.2, 3004.54, 2996.25, 3016.09, 2946.22, 2905.38, 2884.45, 2880.61,
2959.85, 2974.39, 3008.18, 3030.42, 3054.03, 3031.93, 3001.42, 3001.54,
2951.26, 3005.94, 2920.04, 2920.37, 3006.57, 3023.99, 3054.03, 3085.11,
3095.15, 3037.5, 3096.93, 3088.37, 3075.88, 3056.15, 3152.36, 3241.74,
3303.17, 3261.78, 3310.51, 3316.37, 3298.26, 3350.96, 3402.11, 3395.94,
3304.06, 3292.46, 3239.14, 3279.67, 3365.19, 3381.56, 3381.25, 3423.27,
3480.01, 3439.88, 3404.48, 3362.97, 3352.59, 3341.48, 3213.65, 3258.75,
3270.22, 3311.21, 3224.07, 3355.09, 3367.29, 3362.61, 3349.86, 3396.7,
3302.7, 3342.66, 3393.54, 3443.33, 3481.43, 3494.32, 3459.35, 3470.31,
3453.87, 3425.14, 3457.02, 3499.07, 3512.33, 3456.47, 3538.99, 3442.74,
3391.79, 3364.4, 3442.63, 3510.47, 3563.51, 3612.23, 3663.67, 3641.85, 3629,
19
3670.9, 3696.58, 3638.19, 3699.95, 3681.73, 3649.56, 3720.83, 3669.81,
3703.99, 3768.79, 3773.72, 3787.18, 3758.07, 3837.18, 3811.64, 3777.09,
3807.89, 3791.13, 3870.72, 3860.45, 4001.91, 3917.64, 3796.8, 3861.75,
3903.5, 3777.81, 3821.35, 3848.1, 3931.45, 3903.53, 3779.8, 3781.91, 3839.64,
3831.14, 3738.37, 3863.26, 3810.13, 3861.96, 3805.23, 3873.78, 3854.35,
3911.2, 3971.74, 4025.12, 4068.08, 4090.93, 4037.86, 4094.28, 4158.2,
4149.16, 4128.33, 4138.55, 4162.98, 4085.36, 4121.51, 4103.74, 4178.46,
4202.96, 4158.54, 4273.8, 4274.93, 4352.79, 4358.66, 4156.76, 4200.33,
4164.82, 4316.72, 4252.56, 4334.14, 4374.48, 4497.19, 4506.93, 4546.96,
4556.37, 4619.19, 4554.61, 4641.64, 4492.94, 4575.37, 4468.5, 4498.02,
4580.2, 4685.29, 4666.56, 4414.32, 4359.44, 4419.23, 4334.51, 4444.17,
4404.21, 4325.84, 4419.31, 4508.83, 4510.74, 4607.52, 4604.78, 4435.16,
4543.72, 4497.18, 4351.72, 4354.53, 4299.8, 4436.44, 4569.67, 4448.21,
4460.08, 4433.92
2) Down Jones weekly opening prices variations (percentage values) between 8 January 1981 and 8
January 2008 (in chronological order)
375.53, 376.08, 378.81, 373.7, 376.32, 365.58, 368.85, 373.56, 361.17,
358.52, 369.51, 372.75, 381.94, 383.58, 389.42, 390.3, 390.98, 391.51,
394.56, 378.44, 378.02, 384.66, 380.38, 388.64, 384.79, 391.32, 385.8,
383.29, 370.3, 370.69, 371.37, 367.36, 371.18, 368.72, 371.14, 361.51,
351.51, 336.11, 339.19, 326.58, 315.46, 339.79, 343.01, 333.81, 332.03,
343.48, 342.87, 345.04, 343.77, 355.21, 357.75, 351.61, 351.46, 348.32,
348.22, 342.37, 329.46, 325.82, 335.89, 333.09, 324.68, 327.3, 323.56,
318.53, 311.55, 318.04, 321.84, 329.34, 332.57, 332.49, 338.51, 332.33,
341.85, 337.99, 327.7, 319.64, 314.28, 315.88, 306.16, 312.58, 310.66,
319.48, 321.36, 318.71, 311.91, 299.6, 306.33, 333.34, 341.7, 359.05, 353.1,
353.41, 357.06, 350.74, 383.33, 385.79, 398.15, 388.7, 409.82, 402.89,
399.16, 393.33, 404.65, 400.14, 399.63, 409.15, 409.86, 420.83, 425.71,
404.79, 418.04, 429.2, 428.08, 431.81, 439.43, 451.48, 443.19, 442.61,
450.84, 445.1, 446.8, 461.83, 468.06, 472.92, 481.1, 474.38, 465.79, 475.52,
479.17, 481.71, 492.55, 495.98, 486.19, 485.92, 475.76, 489.2, 473.6, 468.22,
472.78, 474.39, 467.71, 486.68, 497.09, 489.5, 501.42, 486.33, 505.43,
503.19, 496.51, 493.53, 493.13, 502.99, 505.49, 512.54, 506.87, 505.93,
496.59, 498.25, 503.08, 512.88, 505.91, 500.12, 490.32, 468.17, 456.86,
449.94, 456.94, 461.19, 448.75, 459.38, 452.06, 457.65, 442.89, 447.94,
452.58, 453.28, 455.38, 453.09, 440.55, 429.38, 441.31, 438.86, 423, 440.27,
439.29, 437.35, 432.59, 423.55, 432.04, 470.02, 469.93, 468.96, 474.78,
471.81, 463.92, 478.38, 471.63, 473.6, 466.31, 470.96, 485.01, 475.2, 482.46,
483.62, 471.94, 484.06, 473.68, 466.38, 473.6, 484.68, 486.83, 482.38, 492.6,
497.75, 515.61, 515.11, 524.48, 522.98, 518.32, 528.26, 515.61, 508.41,
509.65, 514.75, 511.36, 514.62, 512.58, 512.97, 507.12, 524.46, 534.31,
534.47, 544.35, 542.89, 536.56, 542.66, 551.05, 554.29, 557.76, 564.12,
556.94, 557.55, 545.6, 543.13, 548.88, 553.7, 551.24, 537.3, 537.86, 536.99,
537.95, 543.34, 552.59, 548.8, 562.46, 569.82, 579.17, 585.75, 588.65,
594.21, 615.11, 614.66, 615.03, 616.77, 602.21, 612.68, 620.25, 632.36,
645.42, 661.62, 675.46, 678.25, 674.39, 701.12, 700.08, 717.69, 681.17,
698.83, 718.46, 713.41, 691.85, 694.79, 685.2, 709.79, 721.65, 705.28,
718.82, 715.3, 724.33, 725.39, 701.75, 686.69, 696.4, 678.98, 688.84, 717.86,
730.4, 737.03, 731.74, 689.15, 699.7, 699.17, 707.15, 713.7, 720.98, 725.46,
742.1, 745.27, 736.24, 745.27, 749.91, 760.28, 745.45, 751.58, 747.33,
753.73, 777.61, 798.88, 807.67, 820.59, 840.53, 841.89, 856.55, 850.71,
863.04, 853.38, 877.59, 844.45, 893.43, 868.13, 854.7, 826.55, 846.49,
872.85, 853.41, 849.66, 867.32, 871.43, 902.13, 910.78, 912.87, 915.06,
918.27, 928.3, 925.4, 943.46, 959.45, 988.67, 988.77, 962.41, 930.72, 951.18,
924.36, 944.31, 964.18, 917.12, 778.96, 693.19, 730.16, 720.99, 725.26,
703.57, 688.77, 656.56, 686.58, 728.45, 720.99, 718.29, 718.69, 723.57,
710.39, 734.81, 712.44, 736.07, 751.96, 757.69, 767.37, 759.36, 777.76,
743.35, 749.85, 782.45, 744.51, 754.54, 755.12, 745.86, 740.95, 724.82,
731.46, 770.85, 784.44, 777.82, 799.42, 793.98, 789.28, 790.83, 767.86,
793.45, 790.34, 759.76, 758.06, 757.27, 770.1, 776.95, 782.51, 784.78,
794.92, 811.43, 802.66, 820.49, 807.55, 808.27, 789.91, 781.37, 787.48,
799.92, 816.88, 816.47, 824.73, 823.86, 835.51, 845.88, 854.38, 881.6,
889.48, 869.57, 888.16, 863.24, 870.77, 871.7, 862.97, 847.87, 874.21, 880.2,
890.21, 917.94, 920.86, 912.35, 932.71, 956.31, 956.65, 958.82, 954.78,
949.69, 971.09, 946.09, 969.58, 984.73, 1000.89, 1022.42, 1033.64, 1062.06,
1072.15, 1085.57, 1108.56, 1082.05, 1067.53, 1067.99, 1075.08, 1111.14,
995.69, 1021.83, 993.95, 1002.44, 1005.13, 1007.07, 1008.85, 1037.41,
1032.03, 1029.58, 1021.93, 1033.23, 1029.31, 1000.67, 1002.57, 964.21,
965.82, 979.93, 966.5, 958.72, 995.14, 995.83, 1011, 1012.23, 1004.17,
20
1008.16, 1027.45, 993.77, 975.35, 998.03, 1031.48, 1030.41, 1023.65, 1051.13,
1042.23, 1053.16, 1033.45, 1031.12, 1034.37, 1061.94, 1040.15, 1018.5,
954.71, 944.03, 919.9, 901.41, 896.24, 920.5, 888.49, 875.58, 865.55, 881.48,
854.15, 882.55, 862.09, 878.99, 875.44, 895.65, 876.8, 898.29, 909.12,
906.14, 923.74, 919.05, 898.95, 877.4, 935.17, 957, 979.8, 1015.2, 1037.95,
1044.01, 1045.35, 1042.13, 1030.11, 1011.83, 1031.69, 1033.23, 1044.01,
1054.64, 1045.26, 1050.47, 1055.2, 1035.65, 1044.74, 1083.99, 1073.21,
1080.71, 1047.24, 1036.74, 1040.88, 1061.11, 1070.84, 1062.3, 1073.11,
1066.98, 1018.31, 1079.7, 1081.38, 1062.66, 1060.75, 1069.7, 1068.75, 1061,
1073.56, 1111.29, 1088.94, 1103.25, 1102.05, 1072.73, 1049.78, 1040.64,
1056.7, 1064.65, 1064.19, 1128.88, 1159.22, 1150.17, 1179.35, 1164.71,
1154.37, 1161.53, 1173.44, 1188.4, 1179.72, 1163.74, 1163, 1178.98, 1158.57,
1157.42, 1155.25, 1186.88, 1173.02, 1183.88, 1200.78, 1193.14, 1195.79,
1195.23, 1200.35, 1179.16, 1154.9, 1149.13, 1180.02, 1172.21, 1158.86,
1153.38, 1188.66, 1162.17, 1157.67, 1132.12, 1138.01, 1147.17, 1172.94,
1165.59, 1144.59, 1121.54, 1110.94, 1131.41, 1152.26, 1162.97, 1172.94,
1164.7, 1164.38, 1191.63, 1195.62, 1191.37, 1206.12, 1208.12, 1207.38,
1201.66, 1214.15, 1208.75, 1228.01, 1275.47, 1259.93, 1229.59, 1253.42,
1267.49, 1268.17, 1268.91, 1277.78, 1262.29, 1288.02, 1320.41, 1282.66,
1282.56, 1281.25, 1278.27, 1285.97, 1298.85, 1302.83, 1285.97, 1273.58,
1279.29, 1288.68, 1284.34, 1295.94, 1312.68, 1318.99, 1321.52, 1324.82,
1336.5, 1351.98, 1342.71, 1341.17, 1337.6, 1326.4, 1330.74, 1328.98, 1338.21,
1343.8, 1364.5, 1347.59, 1360.93, 1351.22, 1362.41, 1367.68, 1373.99,
1377.02, 1384.54, 1379.82, 1398.36, 1412.76, 1415.19, 1437.76, 1405.57,
1407.97, 1399.45, 1383.58, 1381.3, 1379.41, 1377.84, 1353.88, 1272.68,
1305.29, 1293.87, 1293.52, 1314.99, 1285.37, 1264.51, 1299.67, 1306.85,
1315.39, 1306.44, 1308.22, 1266.27, 1276.49, 1292.36, 1299.99, 1297, 1301.81,
1306.51, 1310.1, 1296.57, 1336.92, 1333.38, 1316.21, 1321.12, 1282.29,
1287.84, 1265.6, 1299.27, 1295.33, 1314.01, 1277.9, 1270.78, 1270.53,
1241.36, 1251.79, 1224.86, 1256.6, 1272.22, 1273.28, 1291.21, 1313.26,
1294.02, 1305.08, 1319.39, 1328.51, 1339.82, 1354.64, 1336.6, 1345.26,
1358.45, 1374.05, 1386.86, 1399.48, 1414.95, 1413.88, 1436.9, 1425.61,
1452.69, 1429.67, 1438.36, 1458.46, 1456.56, 1487.51, 1511.35, 1505.26,
1561.64, 1566.5, 1551.9, 1575.98, 1569.77, 1543.92, 1559.47, 1560.23,
1572.64, 1599.83, 1618.16, 1602.09, 1617.47, 1605.26, 1615.08, 1603.14,
1600.09, 1634.46, 1640.73, 1668.51, 1687.5, 1707.01, 1718.76, 1701.84,
1684.11, 1689.45, 1711.42, 1661.55, 1686.71, 1706.6, 1732.24, 1791.72,
1764.29, 1811.68, 1794.89, 1759.8, 1817.39, 1843.13, 1820.05, 1815.53,
1794.57, 1824.29, 1815.47, 1799.74, 1813.35, 1868.5, 1885.64, 1837.13,
1854.78, 1836.99, 1854.08, 1847.37, 1808.39, 1786.07, 1743.77, 1741.94,
1806.11, 1805.76, 1815.3, 1825.47, 1782.36, 1806.04, 1851.62, 1859.75,
1855.51, 1890.22, 1879.07, 1913.94, 1902.71, 1907.65, 1968.12, 2005.12,
2037.99, 2047.77, 2026.31, 1996.8, 2036.18, 2061.44, 2048.01, 2086.31,
2122.09, 2096.21, 2112.33, 2118.61, 2157.87, 2133.18, 2111.07, 2174.88,
2148.03, 2125.82, 2094.1, 2068.24, 2022.77, 2114.8, 2114.2, 2219.72, 2241.57,
2245.46, 2277.58, 2288.81, 2316.95, 2381.65, 2387.2, 2371.4, 2437.06,
2442.11, 2432.28, 2494.19, 2516.11, 2483.42, 2411.7, 2460.95, 2406.9,
2471.84, 2474.59, 2556.42, 2529.92, 2586.82, 2593.35, 2551.73, 2503.25,
2471.06, 2496.53, 2490.12, 2546.05, 2568.46, 2642.45, 2583.9, 2549.43,
2536.25, 2619.29, 2476.13, 2583.19, 2564.94, 2638.97, 2688.75, 2773.66,
2738.51, 2746.66, 2790.46, 2827.85, 2851.38, 2840.34, 2928.5, 2891.3,
2960.65, 2861.58, 2914.62, 2881.67, 2866.99, 2880.21, 2822.51, 2860.66,
2806.71, 2813.88, 2870.51, 2897.68, 2920.11, 2947.59, 2821.32, 2783.97,
2698.52, 2642.73, 2686.12, 2559.58, 2492.14, 2510.08, 2497.08, 2585.95,
2490.13, 2520.06, 2648.83, 2649.32, 2707.75, 2786.1, 2758.24, 2845.58,
2871.67, 2830.94, 2733.11, 2792.97, 2868.96, 2874.43, 2985.13, 2907.12,
2838.14, 2911.51, 2882.32, 2853.62, 2876.62, 2875.7, 2989.07, 3018.35,
3030.32, 3006.11, 3015.4, 3050.46, 3191.65, 3228.16, 3269.48, 3335.19,
3294.39, 3283.63, 3214.05, 3271.56, 3187.44, 3269.97, 3202.3, 3316.59,
3324.08, 3313.98, 3255.5, 3187.69, 3182.43, 3212.56, 3239.92, 3243.91,
3236.7, 3207.13, 3138.9, 2989.94, 2998.87, 3107.71, 2937.84, 3021.07, 3130.4,
3101.23, 3131.27, 3138.64, 3102.87, 3165.39, 3123.93, 3141.92, 3176.7, 3215,
3243.88, 3271.21, 3179.85, 3035.69, 3087.98, 2946.94, 2896.29, 2780.19,
2907.95, 2789.33, 2989.78, 3090.85, 3069.93, 3131.98, 2979.38, 3108.99,
3110.61, 3082.67, 3107.28, 3082.68, 3011.71, 3121.45, 3086.27, 3032.83,
3011.79, 2991.28, 3073.04, 3148.37, 3117.8, 3068.77, 3175.19, 3242.53,
3242.24, 3245.34, 3254.11, 3295.83, 3252.24, 3180.2, 3175.39, 3132.22,
3054.48, 3068.15, 3133.4, 3235.11, 3198.42, 3239.77, 3205.49, 3153.91,
3241.41, 3152.68, 3252.32, 3318.1, 3219.07, 3156.75, 3166.02, 3226.4,
3286.47, 3292.93, 3286.33, 3199.85, 3210.64, 3245.1, 2993.33, 2911.22,
3059.69, 2994.95, 3104.54, 3209.12, 3270.81, 3281.18, 3257.62, 3374.29,
3308.73, 3295.54, 3261.76, 3139.19, 3119.24, 3144.04, 3097.32, 3178.54,
21
3172.09, 3126.13, 3160.53, 3109.81, 3057.6, 3109.16, 3008.74, 2920.68,
2490.37, 2599.21, 2687.74, 2720.21, 2671.15, 2720.73, 2670.21, 2755.03,
2826.59, 2847.03, 2807.07, 2877.13, 2810.4, 2867.82, 2913.3, 2978.08,
2895.65, 2849.23, 2886.31, 2889.32, 2818.2, 2853.36, 2868.78, 2991.68,
3081.87, 3068.59, 3038.55, 3045.6, 2986.46, 2993.64, 2998.34, 2911.09, 2940,
2887.95, 2962.49, 2942.24, 2891.05, 2788.24, 2774.3, 2757.23, 2743.09,
2724.86, 2518.06, 2325.47, 2353.14, 2366.1, 2497.01, 2503.31, 2553.1,
2472.42, 2415.34, 2376.28, 2282.21, 2236.02, 2169.97, 2193.76, 2285.22,
2344.93, 2376.39, 2378.87, 2391.19, 2435.23, 2457.21, 2413.38, 2381, 2406.99,
2359.63, 2443.44, 2488.97, 2431.43, 2293.81, 2278.16, 2223.03, 2214, 2238.35,
2200.26, 2179.02, 2191.57, 2382.23, 2293.2, 2326.96, 2314.34, 2382.86,
2392.98, 2472.33, 2477.64, 2497.08, 2494.54, 2563.56, 2597.16, 2604.99,
2625.32, 2575.33, 2588.43, 2616.05, 2626.01, 2651.97, 2619.85, 2623.62,
2659.74, 2666.92, 2695.07, 2733.24, 2729.58, 2781.4, 2691.95, 2773.46,
2799.8, 2811.7, 2785.37, 2843.43, 2856.63, 2833.56, 2783.22, 2838.15,
2854.06, 2904.05, 2956.52, 2972.94, 2993.44, 2997.33, 3031.79, 3045.48,
2984.4, 2997.37, 3012.02, 3005.3, 3016.29, 3021.35, 2943.78, 2924.5, 2938.7,
3023.2, 3004.54, 2996.25, 3016.09, 2946.22, 2905.38, 2884.45, 2880.61,
2959.85, 2974.39, 3008.18, 3030.42, 3054.03, 3031.93, 3001.42, 3001.54,
2951.26, 3005.94, 2920.04, 2920.37, 3006.57, 3023.99, 3054.03, 3085.11,
3095.15, 3037.5, 3096.93, 3088.37, 3075.88, 3056.15, 3152.36, 3241.74,
3303.17, 3261.78, 3310.51, 3316.37, 3298.26, 3350.96, 3402.11, 3395.94,
3304.06, 3292.46, 3239.14, 3279.67, 3365.19, 3381.56, 3381.25, 3423.27,
3480.01, 3439.88, 3404.48, 3362.97, 3352.59, 3341.48, 3213.65, 3258.75,
3270.22, 3311.21, 3224.07, 3355.09, 3367.29, 3362.61, 3349.86, 3396.7,
3302.7, 3342.66, 3393.54, 3443.33, 3481.43, 3494.32, 3459.35, 3470.31,
3453.87, 3425.14, 3457.02, 3499.07, 3512.33, 3456.47, 3538.99, 3442.74,
3391.79, 3364.4, 3442.63, 3510.47, 3563.51, 3612.23, 3663.67, 3641.85, 3629,
3670.9, 3696.58, 3638.19, 3699.95, 3681.73, 3649.56, 3720.83, 3669.81,
3703.99, 3768.79, 3773.72, 3787.18, 3758.07, 3837.18, 3811.64, 3777.09,
3807.89, 3791.13, 3870.72, 3860.45, 4001.91, 3917.64, 3796.8, 3861.75,
3903.5, 3777.81, 3821.35, 3848.1, 3931.45, 3903.53, 3779.8, 3781.91, 3839.64,
3831.14, 3738.37, 3863.26, 3810.13, 3861.96, 3805.23, 3873.78, 3854.35,
3911.2, 3971.74, 4025.12, 4068.08, 4090.93, 4037.86, 4094.28, 4158.2,
4149.16, 4128.33, 4138.55, 4162.98, 4085.36, 4121.51, 4103.74, 4178.46,
4202.96, 4158.54, 4273.8, 4274.93, 4352.79, 4358.66, 4156.76, 4200.33,
4164.82, 4316.72, 4252.56, 4334.14, 4374.48, 4497.19, 4506.93, 4546.96,
4556.37, 4619.19, 4554.61, 4641.64, 4492.94, 4575.37, 4468.5, 4498.02,
4580.2, 4685.29, 4666.56, 4414.32, 4359.44, 4419.23, 4334.51, 4444.17,
4404.21, 4325.84, 4419.31, 4508.83, 4510.74, 4607.52, 4604.78, 4435.16,
4543.72, 4497.18, 4351.72, 4354.53, 4299.8, 4436.44, 4569.67, 4448.21,
4460.08, 4433.92
3) First example simulation price variations per time tick (percentage values)
0.0214995, -0.0272182,
0.0221232, 0.0348301, -0.046853, 0.00850722, -0.00139035, 0.0152384,
-0.00233968, -0.0124429, 0.0218935, -0.0139634, 0.00673193, -0.0141064,
0.0116976, -0.00802627, 0.00774684, 0.00582421,
0.00790895, -0.0225202, 0.0306469, 0.00565189, -0.00520663, -0.00163761,
-0.013663, 0.00518246, -0.0258027, -0.00233174, 0.0226086, -0.000155681,
-0.00820681, 0.000277005, 0.000937656, -0.0295406, 0.0121699, -0.0022742,
0.0419092, -0.0112718, -0.00258967, 0.00833287, -0.0102825, -0.00748946,
0.0136389, -0.0143242, -0.0242991, 0.0133298, -0.0189625, 0.0155205,
-0.000162244, 0.0177649, -0.00385638, -0.00303704, -0.0139495, 0.0144118,
-0.0353038, 0.0320492, 0.0142076, -0.023735, 0.00677287, -0.00169207,
-0.0185323, 0.0475381, -0.017738, 0.0190735, 0.00019331, -0.0104062,
-0.011431, -0.00707543, 0.0122444, -0.0246221, 0.0351006, -0.0126304,
0.0293289, -0.0243394, 0.00732083, -0.022007, -0.00649741, 0.00963632,
0.010192, -0.00762205, 0.0272922, -0.0170144, -0.00501289, -0.0092565,
0.0111325, 0.00228816, 0.0000831217, -0.028916, -0.00465729, 0.0292277,
-0.0151704, 0.00641907, 0.0114009, -0.00487898,
0.0103912, -0.0503335, 0.00153126, -0.0123584, 0.0273803, 0.00980822,
0.0432737, -0.0242951, 0.00545451, -0.0133233, -0.000744161, -0.0205533,
0.00575059, -0.0111947, -0.0248568, 0.0306418, 0.0286466, -0.019453,
0.00330508, -0.00922633, 0.0115038, 0.0127364,
0.00768512, -0.0121639, 0.00568497, -0.057937, 0.0598747, -0.00463656,
0.012434, -0.0138377, 0.0018331, -0.000383175, 0.0193449, -0.00154389,
0.00955344, -0.0193196, 0.00241999, -0.0142413, 0.000111979, -0.0110488,
0.015738, -0.00416864, -0.00216804, -0.00644453, 0.0353008, -0.0409236,
0.00882884, 0.0171372, -0.00982856, -0.00790504, 0.0306566, -0.00371934,
0.00994237, 0.0000991154, -0.0145749, 0.00732269, -0.000691968, -0.0162401,
22
-0.00909157, 0.00617545, -0.0207928, 0.0378503, -0.030997, 0.0114519,
-0.00647645, 0.00582283, -0.013743, 0.00688925, -0.00182578, 0.00296025,
0.00351451, -0.0182091, 0.0208755, -0.00400526, 0.0347918, -0.0434937,
0.0159222, 0.00390121, -0.00215668, 0.0129796, -0.0296528, -0.00540855,
0.0250263, -0.0042539, 0.0119234, -0.0229504, 0.000760711, 0.00565726,
0.0104467, -0.0204803, 0.00225987, 0.00375682, 0.0226377, -0.0138118,
0.000951436, 0.00473217, -0.00487602, 0.00591788, 0.0233481, -0.00392123,
0.00106236, 0.00510397, -0.0220821, 0.00361513, -0.0108021, 0.0161691,
-0.0277559, 0.0131277, 0.0270612, -0.016101, -0.0232177, 0.00279958,
0.00731996, -0.00988754, 0.0249438, -0.0067172, 0.0520396, -0.0527492,
0.0356966, -0.0120296, -0.0258834, 0.0265306, -0.0249588, 0.016187,
-0.0138893, -0.00311826, 0.0262969, -0.0317338, 0.017625, -0.0418742,
0.0295919, 0.0102094, -0.00742301, -0.000867044, 0.0146478, -0.0109056,
0.00834133, -0.025189, 0.00103082, 0.0120351, -0.023852, 0.00173054,
0.0113234, -0.0270455, 0.0264554, -0.0100937, 0.0148325, -0.0013302,
-0.0121196, 0.0360959, -0.00256043, 0.0131973, -0.0102488,
0.0144235, -0.0246389, -0.0218053, 0.0304639, -0.0355966, 0.033503,
-0.0137132, 0.0389892, -0.0477323, 0.0323759, -0.00276669, 0.00184268,
-0.0243258, 0.0152942, -0.0206711, 0.00285129,
0.0157487, 0.0110522, -0.00894624, 0.0222292, -0.0136232, 0.00767827,
-0.0245147, 0.0224741, -0.00071167, -0.0100578, 0.00114585, -0.0179419,
0.0147474, -0.0108567, 0.0229909, -0.00322393,
0.0103871, -0.0430421, 0.0302333, 0.0217532, -0.0196531, 0.018426,
-0.0287311, 0.0143554, -0.030899, 0.0304144, -0.0193945, 0.0188482,
0.00153563, -0.0173119, 0.0130178, -0.0197368, 0.0148242, -0.00656474,
-0.00280053, -0.0053413, 0.0230789, 0.00458014, -0.00365444, -0.0144096,
0.017844, -0.016576, 0.0184523, -0.0328632, 0.0371885, -0.00331564,
-0.0104343, -0.0180686, -0.00998027, 0.00738017, 0.0113562, -0.0102266,
0.00799395, -0.0171411, 0.00988521, 0.00513883, 0.005347, -0.0113767,
0.00615166, -0.00867868, 0.0366737, -0.0233983, 0.01102, 0.0205774,
0.00143376, -0.0227139, 0.00483313, -0.0162487, -0.0048022, 0.0152301,
-0.00668749, 0.0228956, -0.0153704, 0.0235662, -0.046771, 0.0225563,
-0.00306698, -0.008296, 0.029563, -0.0258495, 0.0236935, -0.00788367,
0.0421478, -0.0187357, 0.00830153, 0.00525256, -0.0303341, 0.00755364,
-0.00381332, 0.0169587, -0.0127001, -0.0123952, 0.00849094, 0.00253759,
0.0209301, -0.0193778, 0.0015985, -0.0164293, 0.0136181, 0.00766457,
-0.0136967, 0.000845418, 0.00133916, 0.00250657, -0.00392616, -0.0135233,
0.00589005, -0.00704509, 0.00978062, 0.010987,
0.00279664, 0.0014527, -0.0230465, 0.0193761, 0.00283508, -0.0176476,
0.0105283, 0.00541056, 0.00646636, -0.0386193, 0.00649773, 0.00647691,
0.00729487, 0.00540604, -0.0369262, 0.0178681, -0.0170707, 0.011545,
-0.0123024, 0.0145366, 0.00300992, 0.0177433, -0.0159832, 0.0134334,
-0.0249561, 0.0295316, -0.0201108, 0.0217542, 0.00741154, -0.0239765,
0.000249895, 0.0130726, -0.0168519, 0.0309455, 0.00728462, 0.0185827,
-0.0261487, 0.00241865, -0.00677681, -0.00787119, 0.0371941, -0.0371007,
-0.00803489, 0.0170303, -0.0123105, 0.0134866, 0.00240881, -0.0196633,
0.000658612, -0.0373879, 0.0202012, -0.00844557, 0.0309392, 0.00628112,
-0.0303427, 0.0010904, 0.00583195, 0.00554228, -0.0111513, 0.0228519,
-0.00118177, 0.0114314, -0.033685, 0.0271864, -0.0328844, -0.00123519,
0.0221276, -0.00966693, 0.0272265, -0.0349587, 0.0420799, -0.049951,
0.00951219, 0.00649215, 0.0311488, 0.00387592, -0.0431597, 0.0287504,
0.000837101, -0.0322448, 0.0120465, 0.00464642, 0.0353343, -0.00651046,
0.0224702, -0.0174177, 0.0104331, -0.041147, 0.00648638, 0.00583889,
0.000582175, -0.00396038, -0.00456725, 0.0291029, -0.0195729, 0.0222329,
-0.0231185, 0.0143627, -0.0139738, 0.00709717, 0.00269367, -0.0118624,
0.0055198, -0.0095258, 0.00883731, -0.0337019, 0.0346022,
0.00204252, -0.00296062, -0.018589, 0.0226185, 0.0130317, -0.0107975,
-0.000745462, -0.00497802, 0.0298105, -0.0304383, 0.0304106, -0.00621639,
-0.0262637, 0.00953058,
0.0268023, -0.0166867, -0.0150189, 0.00570867, 0.00877254, -0.00922783,
0.00591281, -0.0263288, 0.000548757, -0.00064295,
0.0182102, 0.00502654, -0.00263862, -0.0137105, 0.0255866, -0.0211244,
0.0344184, -0.0196042, 0.00384681, -0.00299005, 0.0266797, -0.0308647,
-0.0104155, -0.0105921, 0.0454216, -0.0298578, 0.0300534, -0.0323218,
0.00629905, -0.0248919, 0.0385475, 0.0138737, -0.0205223, 0.00941908,
-0.0244874, -0.0243631, 0.0232612, -0.000886066, 0.0222762, -0.0034258,
-0.0123429, 0.00166118, -0.0456125, 0.0104653, -0.0020081, 0.0367598,
-0.00614376, 0.0287458, -0.00956004, -0.0124909, 0.0283183, -0.0229037,
0.0169981, -0.0230171, -0.00359912, 0.0194082, 0.00145218, -0.0175858,
0.0137614, -0.00732045, 0.0152236, 0.0101927, 0.00611539, -0.0243731,
0.0153846, -0.00687801,
0.0381834, -0.00909287, 0.00724952, -0.0404898, -0.00265909, 0.00131783,
23
0.00477213, 0.00157657, -0.0158486, -0.0117463,
0.00538103, -0.00847792, 0.0219307, -0.000789904, 0.0168026, -0.0146851,
0.02408, -0.00423407, 0.000938985, -0.00873879, -0.00641615, -0.00401278,
0.00846001, -0.0355182, 0.00777181, -0.00949936, 0.0193912, 0.00135256,
-0.00113974, 0.000241234, 0.0108504, 0.0190191, -0.00620622, -0.0155948,
0.0133406, -0.0150682, 0.0389879, -0.00664519, -0.00449091, 0.0054813,
0.00565915, -0.0359582, 0.0231082, -0.00203465, 0.00830231, -0.0313291,
0.0113549, 0.00137529, -0.0239833, -0.0113283, 0.0340319, 0.0342741,
-0.0224579, -0.00746158, -0.0146479, 0.0122428, 0.000465063, -0.0256074,
0.0260956, -0.0123062, 0.0126061, 0.0120317, -0.0393103, 0.0144487,
0.00102689, 0.00663041, -0.0397641, 0.0301173, -0.00300836, 0.00678183,
-0.0113133, 0.0174573, -0.0154907, 0.0159546, -0.0357644, 0.0528679,
-0.0224178, -0.00131077, 0.0213194, -0.022799, 0.00685384, 0.0000553242,
0.00285945, 0.0321069, -0.014869, 0.0251521, -0.023138, -0.00594209,
0.0140878, -0.00735401, -0.0367393, 0.0290401, -0.00865456, 0.0269022,
-0.0259936, 0.00278019, 0.0020525, 0.00607629, -0.0332919, 0.0125573,
-0.0184594, 0.00343883, -0.0065193, 0.0240513, -0.015412, 0.000406152,
0.00774439, 0.000888391, 0.00916669, 0.00986251, -0.0181497, 0.0270659,
-0.0239426, 0.0401225, -0.0202842, -0.0184759, 0.0348409, -0.0135545,
-0.0087682, 0.0070738, -0.0411382, 0.0155138, -0.00314167, 0.0236099,
-0.014174, 0.0292894, -0.0394382, 0.006428, 0.0215229, -0.0150397,
-0.0068826, 0.0357525, 0.00244604, -0.0115533, -0.0156554,
0.010693, 0.00998791, -0.0176284, 0.0442754, -0.0122036, 0.0166238,
-0.0418629, 0.000187384, -0.00240184, 0.0112068, 0.0131679, -0.00529502,
-0.0110957, 0.0214208, -0.00300747, -0.0290327, 0.0370679, -0.00873547,
-0.00267793, 0.0272717, -0.0425795, -0.00217317, 0.0252263, -0.0286815,
-0.000140417, 0.00275449, 0.00301332, -0.0000574348, 0.00129784, 0.0147148,
-0.0203049, 0.00338432, 0.00473238, -0.00315981, 0.025006, -0.000532876,
0.0079013, -0.00920706, -0.00431927, -0.0100954, 0.000804748, -0.0272731,
-0.00114737, 0.0352886, -0.0188628, 0.0277251, -0.0521131, 0.0201209,
0.0109407, -0.043484, 0.0374441, -0.010559, 0.010003, -0.0213149, 0.0244794,
0.0152114, -0.00693648, -0.0132977, 0.0231193, -0.0246943, 0.0408303,
-0.0599554, 0.0130163,
0.0118604, 0.00254809, -0.0203994, 0.0200271, 0.00973011, -0.0209108,
0.0292865, -0.00623959, 0.0171641, -0.00304807, -0.011048, 0.00903497,
-0.0127355, -0.0168949, -0.006127, -0.00263084, -0.0028502, 0.0338576,
0.00890691, 0.00761328, -0.0279906, 0.0260641, -0.0384691, -0.0000960434,
0.018568, 0.0072398, -0.0260374, 0.00613689, 0.0192767, -0.0192071,
0.0427064, 0.00166753, -0.00721942, -0.0102241, -0.00736108, 0.00237073,
-0.0269763, 0.0222169, -0.0457892, 0.00958696, 0.0108932, -0.000319006,
0.0247073, 0.00664363, 0.0060915, -0.0275333, 0.0273744, 0.00716932,
-0.0137372, 0.0112297, -0.0117481, -0.00713855, 0.0203029, 0.00782366,
-0.0264463, 0.0287129, -0.0474952, 0.0275034, -0.00257183, 0.0280906,
-0.0173321, -0.0204277, -0.00884346, 0.0287223, 0.012676, -0.0231098,
0.0213702, -0.0228675, -0.0117973, -0.00362853, 0.00366103, -0.00396829,
-0.0110014, 0.0255512, -0.000176381, -0.00823903, 0.0186737, 0.00238001,
-0.0256321, 0.00497408, 0.0235111, -0.0127383, 0.0231998, -0.019329,
0.0233937, -0.0165326, -0.0257337, 0.0242095, -0.0179453, 0.00541075,
0.0117103, -0.00978138, 0.0379151, -0.0322353, -0.00773747,
0.00905168, 0.0256813, -0.00120133, 0.0165452, -0.0183586, 0.00535339,
-0.012988, -0.0070968, -0.0173384, 0.00822754, 0.0316758, -0.0386739,
0.0124936, 0.0014037, -0.00700952,
0.0117244, 0.00235755, -0.0105657, -0.0183148, 0.0147962, 0.0108304,
-0.0176976, 0.0201372, -0.0145827, -0.000464067, 0.00204257, 0.0176238,
-0.00752157, 0.0146474, -0.019385, -0.0105565, 0.0149513, -0.00855959,
-0.00430452, -0.000274595, 0.002068, -0.00418121, 0.0221669, -0.0311481,
0.0182176, -0.0230962, 0.0258448, -0.00510766, 0.0224663, -0.017257,
0.0139945, -0.0124855, -0.013773, 0.00400804, -0.0171963, -0.00165423,
-0.0177483, 0.00963486, -0.003246, -0.00251495, 0.0182865, 0.0129942,
0.0123808, -0.0376628, 0.0469805, -0.00633233, 0.017146, -0.013159,
-0.020239, 0.0125827, -0.0292848, 0.018997, 0.00470598, 0.0173481,
-0.0262957, 0.0394561, -0.0212989, -0.0139893, 0.0104759, -0.0269088,
0.0239033, 0.0103264, -0.0155529, -0.0168303, 0.0111683, 0.00967887,
-0.0262792, 0.0372327, -0.0287045, 0.0168325, 0.0159217, -0.0419769,
0.0139475, -0.00871533, -0.00940683, 0.0628212, -0.0117921, -0.00920367,
-0.0128204, 0.017188, -0.023333, 0.0516267, -0.0136127, 0.0090655,
-0.00595426, -0.0181031, -0.00115681, 0.0150877, -0.0168824, 0.00514018,
-0.00371733, -0.00247544, 0.011435, -0.0198683, 0.0167258, 0.00755848,
-0.0357571, 0.00666777, 0.00835366, -0.0112097, -0.0155571, 0.0138184,
-0.00540188, 0.00079277, 0.0260457, -0.00342409, 0.0367525, 0.00325387,
-0.00899095, -0.00188983, -0.0174164, -0.00579611,
0.0306339, -0.0129557, 0.0165615, -0.0166899, 0.00741263, -0.0044107,
24
-0.0060843, -0.00915009, 0.00441946, -0.0102472, 0.0115301, 0.00159275,
-0.0288994, 0.0165053, 0.0115628, -0.00683845, -0.0163797, 0.0441561,
-0.0431748, -0.00938419, 0.0579695, -0.0208958, 0.00920386, -0.0160616,
-0.0121491, 0.00978738, -0.0100835, 0.0164088, -0.0149974, 0.00193194,
0.00451632, -0.00639038, -0.0155314, 0.0208675, -0.0234936, 0.0189247,
-0.0043959, -0.00407639, 0.0217691, -0.0203308,
0.00648311, -0.00736506, 0.0214515, -0.0204499, -0.00632445, 0.00672251,
0.0137592, 0.00336601, -0.0161621, 0.027148, -0.0236026, 0.0130854,
-0.0171693, 0.00388563, 0.00295515, -0.0318995, 0.00260488, -0.00482888,
0.0219056, -0.00249246, -0.00426257, 0.0093375, 0.00173205, -0.0396764,
0.0146679, -0.00289155, 0.00470867, -0.0245236, 0.0273563, -0.0245957,
0.0132362, 0.0368471, 0.0178938, -0.0177344, 0.0172013, -0.00787623,
0.0213215, -0.00985409, 0.000108776, -0.0267407, 0.00942324, 0.0251606,
-0.00616735, -0.0157095, 0.0279598, -0.0237662,
0.00580043, 0.0179849, -0.0239589, 0.0194962, -0.0328675, 0.00299484,
0.00191261, -0.0253711,
0.01834, -0.0103744, 0.00400246, 0.0142342, 0.0227638, -0.0139189,
-0.0194998, 0.0187371, -0.031269, 0.029226, -0.00191492, 0.0176029,
0.0035393, -0.0188373, 0.0108087, -0.00282272, 0.00122284, 0.0129239,
-0.0329832, -0.00381628, 0.0332275, -0.0164743, 0.0328826, -0.0216368,
0.0293563, -0.0165484, 0.00479689, -0.0257654, 0.0204238, -0.0271056,
0.0184988, 0.00421665, -0.0142696, -0.0215011, 0.0301216, -0.017522,
0.0241122, -0.0197336, -0.00621824, 0.0131675, -0.0028107, 0.0144145,
-0.0268152, 0.0110561, -0.0166747, 0.012, 0.00077976, -0.00838481, 0.0214058,
-0.0320151, 0.00175961, -0.0154208, 0.029031, -0.000512126, 0.0207799,
-0.0332232, 0.0150017, 0.0166194, 0.00541629, -0.0353462, 0.0142189, 0.02496,
-0.0198652, 0.0133858, -0.0217686, -0.010973, 0.0593339, -0.0350209,
0.00908277, -0.0148931, -0.00415369, -0.0223379, 0.0244824, -0.00232038,
0.00938559, -0.00527073, -0.0124608, 0.00724143, 0.0144237, -0.0318317,
0.00205679, 0.00644735, 0.00951138, 0.00547656, -0.00702914, -0.0172409,
0.0310598, -0.0262266, -0.00896481, 0.0650574, -0.0333501, -0.00780761,
0.0149216, 0.00176801, -0.0249896, 0.0387814, -0.0080484, -0.00185933,
-0.00176756, 0.0100854, -0.00762917, -0.0196259, -0.00399948, 0.00304138,
0.00288787, 0.0245466, -0.00328865, -0.00552771, -0.00236956, 0.00740068,
-0.0279805, 0.00800592, 0.00883395, 0.0168266, -0.0114901, -0.00353854,
-0.000380823, 0.0363043, -0.00870403, 0.00383072, -0.00732617, -0.0243702,
0.0144272, -0.0172559, 0.025644, -0.0127164, 0.0300028, -0.0169087,
0.0167716, -0.0115609, 0.00306692, 0.00703233, -0.0188363, -0.00919542,
-0.00468645, -0.00166712, 0.0360462, -0.0144471, 0.00419025, -0.0235528,
0.00639276, -0.0137814, 0.0125323, -0.0146515, 0.0373197, -0.0439917,
0.0163015, -0.0309066, 0.015363, 0.00189395, 0.0106844,
0.00611958, -0.0182242, 0.00849821, -0.00436762, 0.0360739, -0.0528901,
0.0211012, -0.0108477, 0.0512401, -0.0232437, 0.0280142, -0.0181341,
0.000189506, -0.0145506, 0.00375731, 0.0153164, -0.00573401, -0.000959136,
0.0243323, -0.0453924, -0.000384679, 0.00632188, 0.00632204, -0.0218681,
0.0164794, -0.00045936, 0.0225554, -0.0269522, 0.00368439, -0.0201934,
0.00353153, 0.0302381, -0.0227541, 0.0016008, 0.00844236, -0.00357178,
-0.0169517,
0.0124221, 0.0112544, -0.0274938, 0.0507274, -0.0131491, 0.0196046,
-0.0133077, 0.014394, -0.00628836, -0.0265997, 0.0158652, -0.0137382,
0.00892741, 0.0150431, -0.00396933, 0.0185114, 0.0148454, -0.0208541,
0.0193918, -0.0483514, -0.0054508, 0.000874471, -0.0217218, -0.00820317,
-0.00770281, 0.0191641, 0.00309581, 0.0337042, 0.00371277, -0.0001962,
0.0138656, -0.0328789, -0.000991237,
0.00230474, -0.0550402, 0.0203731, 0.00845808, -0.0079499, 0.0577664,
-0.0161224,
0.0107653, -0.0182734, -0.000707996, 0.00683833, -0.0124034, 0.00293215,
0.01748, 0.000101959, 0.0114866, -0.0139793, 0.0339233, -0.0141198,
-0.00112777, -0.00149689, -0.012027, 0.0133114, 0.0116006, -0.0206343,
0.0176652, -0.0391379, 0.0191301, -0.036235, 0.0218803, -0.0209022,
0.0477912, 0.00608366, -0.0492101, 0.0314403, -0.0318481, 0.0367351,
0.0160658, -0.0337352, 0.010278, -0.0210083, 0.0496674, -0.0141234,
-0.00945994, 0.0397443, -0.00534093, 0.00680708, -0.0194485, -0.0027929,
0.00323485, -0.0196371, 0.0156902, -0.0163663, 0.0018541, -0.0127601,
-0.00886909, 0.0290925, -0.0017974, -0.00429425, 0.00729003, -0.0165219,
-0.0205321, 0.00249415, -0.00808694, 0.0369979, -0.0197893, 0.015826,
-0.00474971, 0.00020021, 0.0195017, -0.0261815, 0.00907142, 0.00281163,
-0.0235635, 0.0257712, -0.00107184, 0.0143095, 0.00749228, -0.0128198,
0.00483069, -0.016805, 0.023874, -0.0158521, 0.0111906, -0.0289207,
0.0106957, -0.00576668, -0.00857789, 0.0253477, -0.00537807, -0.00967362,
0.0362623, -0.0000288746, 0.0043809, -0.0308932, 0.0110359, -0.0145991,
0.00916827, 0.0110211, -0.0239484, 0.0337028, -0.0222753, 0.00638687,
25
0.00349585, -0.00397866, -0.00146035,
0.00142437, -0.00834872, 0.0198574, -0.0338926, 0.0148325, 0.00160062,
-0.0322693, 0.0161854
4) First simulation prices per time tick

376.08, 378.486, 378.103, 380.844, 383.988, 384.874, 384.372, 385.429,
385.52, 380.689, 382.849, 382.602, 386.097, 388.355, 387.91, 387.557,
387.524, 390.455, 387.883, 389.694, 391.328, 390.652, 389.791, 393.76,
393.05, 391.404, 391.13, 393.736, 389.308, 392.98, 390.833, 391.042, 390.661,
390.99, 389.171, 390.392, 387.395, 390.522, 393.18, 394.603, 392.126,
393.677, 391.228, 391.437, 386.316, 388.383, 391.141, 388.834, 391.548,
390.588, 392.567, 392.762, 387.243, 388.475, 391.407, 390.066, 391.64,
386.201, 389.339, 389.078, 393.644, 393.349, 392.005, 396.413, 392.061,
396.792, 395.173, 396.536, 396.667, 387.886, 391.584, 395.179, 394.057,
395.854, 397.31, 396.528, 393.035, 398.393, 398.389, 397.937, 395.756,
396.08, 392.004, 391.88, 391.695, 394.124, 395.417, 397.446, 388.536,
390.447, 385.308, 387.974, 390.862, 389.539, 389.317, 390.093, 390.358,
392.212, 388.755, 391.498, 390.462, 388.429, 389.454, 390.747, 389.858,
388.091, 391.092, 387.529, 389.807, 385.043, 385.992, 387.293, 387.877,
385.656, 387.776, 387.791, 383.973, 385.449, 384.805, 388.565, 388.328,
386.727, 388.511, 383.583, 385.636, 384.677, 385.725, 387.427, 388.52,
383.03, 384.047, 385.846, 386.176, 381.517, 385.275, 382.305, 382.715,
383.909, 376.514, 381.828, 384.366, 384.855, 384.718, 386.596, 383.169,
384.87, 382.691, 383.81, 380.85, 382.832, 384.419, 385.764, 385.016, 385.394,
384.28, 382.859, 382.523, 386.326, 386.559, 386.651, 386.158, 389.433,
385.479, 388.064, 388.383, 388.993, 384.319, 386.475, 387.974, 387.358,
388.849, 387.03, 386.727, 385.278, 391.316, 386.331, 388.648, 384.638,
384.847, 385.304, 384.538, 386.216, 386.331, 378.701, 382.276, 384.307,
385.853, 387.199, 388.327, 383.822, 389.019, 389.834, 387.987, 387.889,
390.296, 391.389, 392.269, 385.966, 386.163, 385.014, 384.955, 388.038,
385.362, 386.484, 383.562, 385.542, 385.016, 386.237, 386.224, 381.033,
384.271, 383.675, 387.682, 388.924, 386.308, 390.542, 384.689, 385.367,
383.8, 384.8, 382.925, 385.269, 383.122, 383.63, 384.507, 380.223, 383.175,
380.333, 382.017, 381.207, 382.063, 378.916, 379.816, 382.359, 381.427,
385.275, 381.879, 384.625, 384.647, 383.81, 383.221, 382.122, 381.7, 382.924,
382.981, 381.61, 382.712, 383.656, 379.865, 381.221, 381.136, 381.155,
381.535, 376.605, 378.395, 380.153, 380.401, 379.584, 379.749, 378.863,
385.968, 383.551, 384.402, 383.654, 384.515, 382.283, 380.149, 379.7,
383.534, 379.977, 380.302, 381.686, 378.077, 379.432, 379.052, 381.614,
380.791, 381.745, 382.77, 382.022, 384.732, 382.806, 383., 382.159, 384.307,
382.31, 385.472, 385.51, 385.621, 385.35, 382.272, 381.986, 385.196, 380.691,
380.337, 378.327, 377.821, 381.736, 378.725, 379.846, 376.336, 379.096,
375.823, 377.2, 376.765, 375.89, 375.212, 373.795, 374.4, 373.976, 380.373,
378.323, 377.981, 379.475, 379.052, 380.951, 378.476, 376.562, 381.123,
377.416, 378.005, 376.877, 381.431, 375.048, 375.191, 376.691, 376.852,
378.782, 379.75, 379.85, 379.767, 381.597, 381.629, 377.771, 378.415,
380.024, 379.177, 378.802, 378.087, 378.192, 379.877, 379.713, 382.687,
382.118, 383.003, 379.816, 377.875, 380.048, 380.976, 376.055, 380.94,
379.457, 382.288, 380.688, 383.115, 374.782, 377.35, 381.297, 381.007,
381.771, 380.843, 381.244, 383.835, 384.189, 381.467, 380.641, 379.425,
378.535, 379.698, 378.08, 378.055, 380.754, 381.056, 382.33, 381.159,
387.178, 380.618, 382.046, 376.327, 380.9, 377.85, 378.822, 377.925, 381.215,
378.629, 378.466, 380.78, 379.174, 381.351, 381.551, 382.586, 378.589,
378.745, 379.414, 377.958, 379.1, 379.246, 376.012, 375.079, 377.25, 377.308,
375.061, 376.888, 377.786, 378.164, 375.551, 376.379, 374.725, 375.78,
378.546, 378.085, 379.179, 380.502, 380.141, 382.33, 382.516, 381.561,
384.317, 383.014, 384.488, 383.439, 387.813, 385.831, 384.559, 387.245,
385.4, 382.679, 382.896, 383.147, 382.836, 383.991, 382.163, 387.228,
382.277, 383.146, 383.72, 377.996, 382.739, 379.554, 379.788, 378.572,
377.742, 381.125, 379.596, 383.356, 381.132, 379.267, 377.784, 378.423,
378.432, 377.847, 380.989, 380.547, 381.001, 378.403, 377.898, 377.716,
380.338, 380.299, 382.355, 376.758, 378.605, 379.053, 376.405, 376.097,
378.133, 378.128, 382.61, 379.644, 379.433, 378.464, 375.591, 374.559,
376.142, 373.134, 372.437, 373.877, 370.85, 375.57, 376.551, 374.672,
375.707, 375.679, 378.628, 375.112, 378.986, 377.887, 380.072, 377.753,
378.098, 378.3, 379.446, 379.588, 379.63, 377.918, 379.401, 378.354, 377.647,
378.935, 378.094, 379.889, 377.649, 377.438, 379.009, 378.259, 380.658,
379.447, 382.192, 381.723, 382.493, 379.452, 379.48, 377.878, 378.856,
380.389, 376.908, 377.608, 379.842, 380.781, 378.338, 378.733, 377.451,
376.544, 377.661, 377.652, 379.284, 378.847, 382.324, 380.223, 380.563,
378.108, 377.748, 379.618, 379.081, 379.466, 381.291, 378.045, 377.68,
26
379.575, 378.737, 378.726, 379.281, 377.853, 376.35, 376.377, 376.161,
375.619, 377.787, 376.343, 377.28, 375.921, 378.675, 376.601, 379.759,
379.875, 376.888, 374.66, 377.03, 373.077, 374.43, 373.203, 375.175, 371.263,
371.805, 372.093, 373.413, 371.525, 372.538, 374.78, 375.025, 374.284,
376.336, 375.043, 378.003, 376.5, 378.556, 374.326, 379.288, 378.166,
378.692, 378.169, 379.288, 378.292, 377.066, 379.84, 376.182, 376.697,
376.942, 370.945, 374.994, 375.223, 376.76, 378.83, 379.73, 380.16, 381.115,
379.961, 381.823, 379.31, 382.864, 379.11, 383.902, 381.178, 382.302,
376.239, 378.12, 376.509, 377.99, 375.449, 377.922, 380.163, 378.924,
381.369, 379.08, 379.075, 382.107, 379.142, 381.347, 378.824, 378.483,
379.16, 377.636, 382.11, 379.786, 382.587, 368.089, 375.131, 375.462,
374.836, 376.027, 374.226, 376.245, 377.983, 375.537, 378.956, 380.72,
379.998, 381.841, 382.921, 381.271, 382.679, 382.318, 379.276, 380.428,
378.881, 378.483, 376.827, 379.398, 375.753, 379.107, 380.188, 377.468,
379.991, 379.09, 380.934, 379.696, 381.683, 376.967, 377.266, 377.961,
380.334, 381.299, 380.228, 381.225, 379.349, 380.23, 380.933, 380.333,
381.065, 382.163, 374.919, 377.241, 378.986, 379.993, 381.92, 382.033,
382.504, 382.313, 383.396, 383.841, 382.144, 380.371, 381.79, 382.493,
382.057, 384.244, 378.329, 378.933, 378.401, 380.078, 379.94, 380.502,
381.018, 380.509, 381.733, 381.417, 382.189, 382.675, 383.341, 382.35,
383.935, 382.587, 383.137, 383.14, 383.658, 383.537, 386.031, 385.484, 387.4,
385.583, 386.188, 383.12, 383.585, 383.041, 383.929, 381.938, 382.019,
380.714, 379.827, 386.279, 383.475, 385.386, 379.323, 386.352, 382.685,
385.224, 383.422, 383.941, 382.312, 386.211, 385.702, 387.874, 387.381,
388.45, 385.772, 383.701, 381.081, 380.237, 381.59, 381.887, 380.754,
386.668, 383.444, 382.076, 382.999, 380.718, 381.592, 381.698, 381.775,
380.558, 381.549, 380.616, 379.398, 382.607, 382.239, 382.503, 381.856,
385.088, 382.455, 385.848, 386.232, 384.097, 385.387, 380.023, 385.098,
383.023, 384.939, 384.812, 387.165, 376.772, 379.194, 381.032, 380.014,
384.309, 381.373, 382.104, 378.093, 379.36, 379.208, 379.632, 380.779,
381.062, 378.148, 377.278, 379.205, 381.139, 380.801, 377.704, 376.698,
379.628, 378.276, 379.845, 377.686, 378.59, 378.915, 377.669, 380.548,
377.991, 378.939, 376.92, 378.318, 375.795, 375.093, 377.857, 375.943,
375.428, 373.411, 375.974, 374.743, 373.301, 374.161, 374.269, 373.857,
373.126, 375.409, 375.324, 376.851, 376.677, 378.168, 378.432, 376.735,
375.581, 379.745, 378.531, 380.982, 378.201, 377.533, 378.068, 380.862,
379.468, 379.596, 379.379, 384.047, 381.131, 381.22, 379.27, 381.263,
379.565, 380.882, 379.072, 380.492, 380.988, 380.365, 382.741, 382.159,
382.309, 383.776, 384.678, 381.896, 382.889, 377.451, 378.262, 378.807,
376.099, 381.549, 378.319, 379.313, 378.1, 377.574, 379.992, 377.905,
380.083, 376.345, 374.519, 374.339, 375.268, 373.873, 375.927, 373.247,
377.774, 376.769, 381.38, 379.902, 378.125, 378.901, 378.795, 385.263,
380.94, 385.561, 380.546, 379.38, 379.833, 379.948, 373.035, 374.997,
372.658, 372.61, 374.169, 370.703, 369.877, 375.276, 374.144, 377.058,
375.828, 378.611, 377.063, 377.732, 376.303, 377.828, 376.468, 378.598,
376.558, 384.064, 379.026, 380.758, 378.365, 378.289, 379.802, 379.347,
381.761, 380.371, 380.121, 381.708, 380.418, 386.343, 382.603, 385.884,
383.345, 383.258, 385.403, 382.448, 381.277, 384.397, 377.663, 378.161,
376.45, 376.429, 378.322, 375.404, 375.943, 379.854, 379.781, 377.984,
374.898, 389.408, 383.606, 382.929, 384.892, 378.54, 378.919, 375.911,
375.35, 375.718, 373.884, 374.478, 373.909, 376.874, 376.017, 373.718,
374.194, 374.585, 375.228, 376.229, 373.097, 373.896, 374.628, 376.293,
376.061, 378.617, 378.958, 378.832, 378.279, 377.861, 377.256, 381.141,
379.738, 385.424, 381.847, 383.763, 381.394, 382.228, 380.08, 381.835,
381.524, 381.414, 384.176, 381.991, 379.202, 381.484, 379.063, 377.859,
379.648, 380.398, 380.275, 386.396, 383.579, 380.576, 381.07, 377.371,
376.662, 380.041, 380.89, 379.566, 381.738, 381.06, 380.241, 377.914,
381.501, 380.992, 384.252, 378.151, 381.59, 379.78, 382.966, 384.745,
382.391, 385.03, 382.208, 381.319, 381.044, 382.863, 383.202, 380.418,
381.144, 382.559, 383.753, 380.057, 379.317, 376.6, 377.16, 377.003, 378.316,
378.451, 378.973, 379.901, 379.879, 382.229, 379.352, 377.576, 379.3,
375.232, 378.335, 375.552, 375.051, 377.537, 375.745, 380.282, 379.148,
378.907, 380.857, 381.483, 379.84, 381.647, 380.34, 378.813, 376.769,
380.809, 380.034, 382.981, 379.09, 381.415, 381.303, 380.523, 380.024,
382.901, 372.789, 377.288, 376.429, 378.553, 378.886, 378.62, 376.977,
379.183, 376.666, 378.607, 375.007, 378.971, 380.74, 380.203, 377.854,
377.906, 379.896, 375.368, 376.114, 377.741, 371.395, 375.468, 376.665,
379.006, 379.428, 374.56, 374.597, 375.184, 375.657, 370.659, 374.802,
374.393, 375.523, 376.648, 375.871, 381.993, 380.143, 382.207, 380.309,
381.918, 382.787, 383.169, 380.324, 381.407, 381.192, 374.772, 375.672,
375.257, 378.571, 379.687, 379.638, 377.899, 377.421, 380.055, 376.639,
383.245, 381.296, 377.607, 378.562, 381.169, 380.992, 382.912, 380.606,
27
379.274, 377.381, 376.709, 376.554, 380.639, 378.753, 377.233, 378.994,
378.773, 377.223, 378.797, 377.276, 378.658, 378.874, 378.089, 381.601,
378.289, 380.258, 375.041, 374.842, 374.036, 373.958, 380.549, 377.635,
375.81, 379.277, 377.043, 380.17, 378.841, 376.435, 374.177, 378.28, 376.38,
380.698, 377.203, 378.686, 377.795, 380.992, 378.608, 376.73, 376.223,
379.401, 378.812, 376.967, 377.794, 377.354, 378.5, 378.258, 377.659,
375.653, 374.835, 376.333, 376.715, 373.223, 375.646, 376.802, 376.094,
375.203, 377.819, 372.779, 372.198, 376.318, 372.661, 376.841, 377.543,
377.629, 377.146, 377.618, 375.162, 377.357, 378.932, 378.245, 382.189,
380.131, 375.977, 377.562, 376.783, 376.839, 375.46, 375.967, 374.122,
377.524, 377.73, 376.248, 379.27, 379.32, 378.043, 381.435, 375.339, 377.346,
377.667, 375.264, 379.308, 377.818, 379.105, 379.07, 382.787, 379.811,
381.293, 377.13, 376.567, 379.311, 376.004, 375.839, 375.109, 376.813,
374.599, 375.612, 377.016, 377.321, 378.474, 375.506, 376.175, 376.199,
375.818, 376.776, 376.602, 374.358, 374.899, 374.844, 375.961, 376.482,
371.754, 373.028, 373.692, 372.095, 373.347, 372.288, 377.629, 376.962,
378.384, 377.859, 376.926, 379.804, 376.581, 376.176, 377.142, 377.065,
378.615, 376.474, 375.733, 378.331, 377.785, 379.732, 377.809, 382.143,
379.602, 377.673, 375.444, 380.721, 380.704, 382.638, 381.54, 385.58, 383.37,
389.521, 384.51, 385.683, 383.9, 385.45, 380.162, 379.979, 382.135, 377.427,
378.831, 380.573, 378.803, 381.837, 380.753, 386.573, 382.748, 382.779,
380.447, 378.575, 381.173, 379.463, 381.284, 377.19, 378.256, 377.842,
378.89, 380.477, 380.607, 381.574, 381.234, 379.966, 379.486, 381.668,
381.949, 379.41, 378.571, 381.778, 380.114, 378.875, 377.448, 377.276,
381.111, 378.302, 383.385, 376.857, 377.589, 376.417, 376.349, 376.453,
374.938, 378.744, 380.382, 380.044, 384.008, 383.878, 382.261, 381.115,
380.455, 379.694, 381.164, 376.011, 375.032, 376.418, 375.38, 379.192,
379.773, 378.525, 380.54, 381.418, 380.366, 382.042, 378.487, 383.411,
382.288, 378.438, 377.648, 383.021, 380.354, 383.317, 383.272, 384.154,
381.939, 380.506, 382.679, 381.91, 380.063, 380.182, 377.717, 376.397,
375.296, 374.706, 377.404, 378.229, 375.038, 374.113, 375.045, 375.721,
377.287, 378.112, 375.022, 378.941, 377.309, 378.434, 377.568, 377.587,
377.237, 378.884, 378.322, 379.738, 380.847, 380.319, 382.818, 381.976,
386.416, 381.963, 383.899, 378.873, 379.7, 378.339, 377.48, 378.125, 380.318,
380.439, 380.274, 381.673, 378.683, 379.968, 378.673, 379.417, 379.405,
378.607, 380.713, 381.655, 378.078, 377.97, 378.395, 376.85
5) The Nikkei 225 index daily opening prices variations between 27 July 2004 and 27 December
2004
0.000648016, 0.00483497, 0.00213546, 0.00564168, -0.00391682, -0.0136034,

-0.00156533, -0.0104492, -0.0106911, 0.00204108, 0.0184429, -0.00404261,
-0.00941107, -0.0158308, 0.00403207, -0.00440206, 0.0127834, -0.000261464,
0.0094695, 0.00152437, -0.00173975, 0.021604, -0.00429428, 0.00296819,
-0.00555839, -0.00128607, 0.00670608, 0.000248673, -0.00853239, 0.0170105,
0.00619408, -0.0060493, -0.0165468, 0.00451492,
0.0155072, -0.00301077, -0.0164878, 0.00354828, 0.00145077, -0.00331085,
-0.0159549, -0.00646331, -0.00531052, 0.00631336, -0.000337506, 0.00211404,
0.0200364, 0.0131171, -0.00316775, 0.0158517, -0.00772057, -0.00144633,
-0.00527576, -0.00755376, -0.0170699, 0.00564403, 0.000568857, -0.00325342,
-0.0100478, -0.00306009, -0.0119664, -0.00620958, 0.00828736, 0.00637299,
-0.000368208, -0.00685786, 0.0040984, 0.0200186, 0.00449107, 0.00502171,
-0.011566, 0.000497849, 0.00448844, -0.016372, 0.0219288, 0.0140399,
-0.00913864, 0.00449513, -0.00546857, -0.0147946, -0.0113532, 0.00194608,
0.00657416, -0.00733126, 0.00598376, -0.0108898, 0.0122442, 0.0129713,
-0.00389453, -0.00453219, -0.0148361, 0.0113273, -0.0183416, 0.00882355,
0.00163879, 0.0101367, -0.00396432, 0.0027417, 0.0122815, 0.00466607,
0.00725379, 0.00861509, 0.0063756
6) The Nikkei 225 index daily opening prices between 27 July 2004 and 27 December 2004
11126.3, 11133.5, 11187.3, 11211.2, 11274.5, 11230.3, 11077.5, 11060.2,

10944.6, 10827.6, 10849.7, 11049.8, 11005.1, 10901.6, 10729., 10772.2,
10724.8, 10861.9, 10859.1, 10961.9, 10978.6, 10959.5, 11196.3, 11148.2,
11181.3, 11119.2, 11104.9, 11179.3, 11182.1, 11086.7, 11275.3, 11345.1,
11276.5, 11089.9, 11140., 11312.7, 11278.7, 11092.7, 11132.1, 11148.2,
11111.3, 10934., 10863.4, 10805.7, 10873.9, 10870.2, 10893.2, 11111.5,
11257.2, 11221.5, 11399.4, 11311.4, 11295.1, 11235.5, 11150.6, 10960.3,
11022.1, 11028.4, 10992.5, 10882.1, 10848.8, 10718.9, 10652.4, 10740.7,
10809.1, 10805.1, 10731., 10775, 10990.7, 11040.1, 11095.5, 10967.2, 10972.6,
28
11021.9, 10841.4, 11079.2, 11234.7, 11132.1, 11182.1, 11120.9, 10956.4,
10832., 10853.1, 10924.5, 10844.4, 10909.3, 10790.5, 10922.6, 11064.3,
11021.2, 10971.2, 10808.4, 10930.9, 10730.4, 10825.1, 10842.8, 10952.7,
10909.3, 10939.2, 11073.6, 11125.2, 11205.9, 11302.5, 11374.5
7) Second simulation price variations per time tick
0.00251288, -0.0136055,
0.00578835, 0.00228871, 0.00501239, 0.000202718, -0.0137441, 0.0171823,
-0.00720104, 0.00682166, -0.00174398, 0.00447185, -0.00505981, -0.00109736,
0., 0.0107126, -0.00905989, -0.000373942, 0.00913318, -0.00280637,
0.00206441, -0.0196743, 0.0218309, 0., -0.00582976, -0.00660633, 0.00330935,
0., 0.00424119, 0.00258209, 0.00205103, -0.0000695189, -0.00041496,
0.0114059, -0.0062842, 0., -0.0142889, 0.000102147, -0.00229026, 0.0020989,
-0.0061941, -0.00122596, -0.00659162, 0.00641506, 0.000371597, -0.0196157,
0.0155132, 0.00108407,
0.00318924, 0.00374374, -0.000769282, -0.00322508, -0.0026384, 0.0296579,
-0.0111341, 0.000766057, -0.00748185, 0.0306606, -0.0329234, 0.00895452,
0.000550093, 0.000194438, 0.0028756, -0.0163547, 0.0251693, -0.0109422,
0.00306881, 0.00292443, 0.0021537, 0.000878957, -0.00216753, -0.00664049,
0.00665064, -0.00421255, 0.00968413, -0.00638443, -0.00240221, 0.00139713,
-0.0205952, 0.00866815, 0.00373153, 0.0000299195, -0.00191104, -0.00183452,
0.00813283, 0.00234247, 0.00905274, -0.00469916, -0.0101031, -0.0042518,
0.0173132, -0.013577, -0.00866604, 0.010691, -0.000669449, 0.00768126,
-0.00466843, -0.00551403,
0.00763694, 0.00107216, 0.000312429, -0.00953073, 0.0103485
8) Second simulation prices per time tick
11.3745, 11.4031, 11.248, 11.3131, 11.339, 11.3958, 11.3981, 11.2414,

11.4346, 11.3523, 11.4297, 11.4098, 11.4608, 11.4028, 11.3903, 11.3903,
11.5123, 11.408, 11.4037, 11.5079, 11.4756, 11.4993, 11.273, 11.5191,
11.5191, 11.452, 11.3763, 11.414, 11.414, 11.4624, 11.492, 11.5156, 11.5148,
11.51, 11.6413, 11.5681, 11.5681, 11.4028, 11.404, 11.3779, 11.4017, 11.3311,
11.3172, 11.2426, 11.3148, 11.319, 11.0969, 11.2691, 11.2813, 11.3173,
11.3596, 11.3509, 11.3143, 11.2844, 11.6191, 11.4897, 11.4985, 11.4125,
11.7624, 11.3752, 11.477, 11.4833, 11.4856, 11.5186, 11.3302, 11.6154,
11.4883, 11.5236, 11.5573, 11.5821, 11.5923, 11.5672, 11.4904, 11.5668,
11.5181, 11.6296, 11.5554, 11.5276, 11.5437, 11.306, 11.404, 11.4465,
11.4469, 11.425, 11.404, 11.4968, 11.5237, 11.628, 11.5734, 11.4565, 11.4078,
11.6053, 11.4477, 11.3485, 11.4698, 11.4621, 11.5502, 11.4963, 11.4329,
11.5202, 11.5325, 11.5361, 11.4262, 11.5444, 11.4848
9) Crash simulation prices per time tick
11.3745, 11.4031, 11.248, 11.3131, 11.339, 11.3958, 11.3981, 11.2414,

11.4346, 11.3523, 11.4297, 11.4098, 11.4608, 11.4028, 11.3903, 11.3903,
11.5123, 11.408, 11.4037, 11.5079, 11.4756, 11.4993, 11.273, 11.5191,
11.5191, 11.452, 11.3763, 11.414, 11.414, 11.4624, 11.492, 11.5156, 11.5148,
11.51, 11.6413, 11.5681, 11.5681, 11.4028, 11.404, 11.3779, 11.4017, 11.3311,
11.3172, 11.2426, 11.3148, 11.319, 11.0969, 11.2691, 11.2813, 11.3173,
11.3596, 11.3509, 11.3143, 11.2844, 11.6191, 11.4897, 11.4985, 11.4125,
11.7624, 11.3752, 11.477, 11.4833, 11.4856, 11.5186, 11.3302, 11.6154,
11.4883, 11.5236, 11.5573, 11.5821, 11.5923, 11.5672, 11.4904, 11.5668,
11.5181, 11.6296, 11.5554, 11.5276, 11.5437, 11.306, 11.404, 11.4465,
11.4469, 11.425, 11.404, 11.4968, 11.5237, 11.628, 11.5734, 11.4565, 11.4078,
11.6053, 11.4477, 11.3485, 11.4698, 11.4621, 11.5502, 11.4963, 11.4329,
11.5202, 11.5325, 11.5361, 11.4262, 11.5444, 11.4848
Appendix B: java code of the software (by class)
package com.guilherme.historyRelated;
import java.util.*;
import javax.swing.JTextArea;
import com.guilherme.math.Calculator;
public class TransactionsHistoryArray {
29
public ArrayList<Integer> theArray;
public boolean goingUp=false;
public int timeInThisDirection=0;
public TransactionsHistoryArray() {
theArray=new ArrayList<Integer>();
}
public Integer[] getArray() {
Integer[] res=new Integer[theArray.size()];
int i=0;
while(i<theArray.size())
{
res[i]=theArray.get(i);
i++;}
return res;
}
public boolean getGoingUp() {
return goingUp;
}
public int getTimeInThisDirection() {
return timeInThisDirection;
}
public void addTransactionsValue(int passedValue) {
if (passedValue<theArray.get(theArray.size()-1))
{ if (goingUp) {goingUp=false; timeInThisDirection=1;}
else
{timeInThisDirection=timeInThisDirection+1;}
}
else
{ if (!goingUp) {goingUp=true; timeInThisDirection=1;}
else
}
theArray.add(passedValue);
}
public void addFirstTransactionValue(int passedValue) {
theArray.add(passedValue);
}
public void clearHistory() {
theArray.clear();
}
public void showHistoryT(JTextArea text) {
int i=0;
text.setText("");
{
text.append(String.format("Time; %d Transactions %1.3f\n",i,theArray.get(i)));i++;}
}
public int getSize() {
return theArray.size();
}
public int getValueAtTime(int i) {
return theArray.get(i);
public void showInfoW(JTextArea text) {
if (goingUp)
text.append("The number of transactions has been going up for "+timeInThisDirection+" time ticks\n\n");
else
text.append( "The number of transactions has been going down for "+timeInThisDirection+" time ticks\n
\n");
}
public double highestPrice() {
return Calculator.getIntMaxFromArrayList(theArray);
}
public double lowestPrice() {
return Calculator.getIntMinFromArrayList(theArray); }
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public class Global {
public static void showAllHistoryT(StockHistoryArray passedSH, TransactionsHistoryArray passedHA,JTextArea text) {
int i=0;
text.setText("");
while(i<passedSH.theArray.size())
{
text.append(String.format("Time: %5d Stock price: %1.3f Transactions: %d\n",i,passedSH.theArray.get
(i),passedHA.theArray.get(i)));i++;}
}
}
import java.util.*;
public class StockHistoryArray {
public ArrayList<Double> theArray;
public boolean goingUp=false;
public int timeInThisDirection=0;
public StockHistoryArray() {
theArray=new ArrayList<Double>();
}
public double[] getArray() {

double res[]=new double[theArray.size()];
int i=0;
{
res[i]=theArray.get(i);
i++;}
return res;
}
public boolean getGoingUp() {
return goingUp;
}
public int getTimeInThisDirection() {
return timeInThisDirection;
}
public void addStockPrice(Double passedPrice) {
if (passedPrice<theArray.get(theArray.size()-1))
{ if (goingUp) {goingUp=false; timeInThisDirection=1;}
else
}
else
{ if (!goingUp) {goingUp=true; timeInThisDirection=1;}
else
}
theArray.add(passedPrice);
}
public void addFirstStockPrice(Double passedPrice) {
theArray.add(passedPrice);
}
public void clearHistory() {
theArray.clear();
}
public void showInfo() {
if (goingUp)
System.out.println(" The market has been going up for "+timeInThisDirection+" time ticks");
else
System.out.println(" The market has been going down for "+timeInThisDirection+" time ticks");
}
public void showHistory() {
int i=0;
{
System.out.println(" Time: "+i+" Stock Price: "+theArray.get(i));i++;}
}
public void showHistoryT(JTextArea text) {
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int i=0;
text.setText("");
{
text.append(String.format("Time; %d Stock price %1.3f\n",i,theArray.get(i)));i++;}
}
}
public Double getValueAtTime(int i) {
return theArray.get(i);
}
public void showInfoW(JTextArea text) {
if (goingUp)
text.append("The market has been going up for "+timeInThisDirection+" time ticks\n");
else
text.append( "The market has been going down for "+timeInThisDirection+" time ticks\n");
}
public double highestPrice() {
return Calculator.getMaxFromArrayList(theArray);
}
public double lowestPrice() {
return Calculator.getMinFromArrayList(theArray); }
package com.guilherme.investorRelated;
import java.util.ArrayList;
import javax.swing.DefaultListModel;
import javax.swing.JComboBox;
import javax.swing.JList;
public class ArrayOfInvestors {
public ArrayList<Investor> theArray;
private double lastPrice;
public ArrayOfInvestors() {
theArray=new ArrayList<Investor>();
}
public int getNumberOfInvestors() {
}
public Investor getInvestorAtIndex(int number) {
return theArray.get(number);
}
public void addInvestor(Investor startInvestor) {
theArray.add(startInvestor);
}
public void removeInvestor(Investor passedInvestor) {
theArray.remove(passedInvestor);
}
public void removeAll() {
theArray.clear();
}
public double getLastPrice() {
return lastPrice;
}
public void showAll() {
int i=0;
while(i<theArray.size()) {
theArray.get(i).showTagedInfo(i);
i++;
}
}
public void clearArray() {
theArray.clear();
}
public void displayAllI(DefaultListModel items) {
int i=0;
items.clear();
while(i<theArray.size()) {
items.addElement("Investor "+i);
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i++;
}
}
}
package com.guilherme.investorRelated;
import javax.swing.JComboBox;
import com.guilherme.main.Parameters;
import com.guilherme.orderRelated.*;
public class Investor{
public double money;
public int numberOfStocks;
public BuyingOrder currentBuyingOrder;
public SellingOrder currentSellingOrder;
public Integer strategy;
public Investor(double startMoney, int startNumberOfStocks, BuyingOrder startBuyingOrder, SellingOrder startSellingOrder) {
money=startMoney;
numberOfStocks=startNumberOfStocks;
currentBuyingOrder=startBuyingOrder;
currentSellingOrder=startSellingOrder;
strategy=0;
}
public void addStrategy(int passedStrategy) {
strategy=passedStrategy;
}
public void addMoney(double newValue) {
money=money+newValue;
}
public void takeMoney(double newValue) {
money=money-newValue;
}
public void addStocks(int newValue) {
numberOfStocks=numberOfStocks+newValue;
}
public void takeStocks(int newValue) {
numberOfStocks=numberOfStocks-newValue;
}
public double getMoney() {
return this.money;
}
public float getNumberOfStocks() {
return this.numberOfStocks;
}
}
public void showTagedInfo(int tag) {
System.out.print(" Investor "+tag+" --> Money: "+money+" Number of stocks: "+numberOfStocks);
if (currentBuyingOrder.doesNothing) {System.out.print(" Buying orders: doesn't buy");}
if (currentBuyingOrder.negotiatesAtBestPrice) {System.out.print(" Buying orders: buys at best price");}
if (!currentBuyingOrder.doesNothing && !currentBuyingOrder.negotiatesAtBestPrice) {System.out.print(" Buying orders:
buys for "+currentBuyingOrder.orderPrice);}
if (currentSellingOrder.doesNothing) {System.out.print(" and doesn't sell");}
if (currentSellingOrder.negotiatesAtBestPrice) {System.out.print(" and sells at best price");}
if (!currentSellingOrder.doesNothing && !currentSellingOrder.negotiatesAtBestPrice) {System.out.print(" and sells for
"+currentSellingOrder.orderPrice);}
System.out.print(" Strategies:");
if (strategyQ(1)) {System.out.print(" 1");}
if (strategyQ(2)) {System.out.print(" 2 ");}
if (strategyQ(3)) {System.out.print(" 3 ");}
System.out.println("");
}
public BuyingOrder getCurrentBuyingOrder() {
return currentBuyingOrder;
}
public SellingOrder getCurrentSellingOrder() {
return currentSellingOrder;
}
public void replaceCurrentBuyingOrder(BuyingOrder passedOrder) {
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this.currentBuyingOrder=passedOrder;
}
public void replaceCurrentSellingOrder(SellingOrder passedOrder) {
this.currentSellingOrder=passedOrder;
}
public boolean strategyQ(int passedStrategy) {
return strategy==passedStrategy;
}
public int getStrategiesTag() {
int res=0;
if (strategyQ(1)) res=res+100;
return res;
}
public void actualize(double passedStockPrice, boolean passedGoingUp, int passedTimeInThisDirection, boolean
passedTransactionGoingUp, int passedTTimeInThisDirection) {
if (strategyQ(1)) {
Double aux=Calculator.randomExponentialInteger(Parameters.exponentialLambda);
if (passedGoingUp && passedTimeInThisDirection>aux) {currentBuyingOrder.change(false, true,
currentBuyingOrder.orderPrice); currentSellingOrder.change(true, false, currentSellingOrder.orderPrice);}
else
if (!passedGoingUp && passedTimeInThisDirection>aux) {currentSellingOrder.change(false, true,
currentSellingOrder.orderPrice); currentBuyingOrder.change(true, false, currentBuyingOrder.orderPrice);}
else
{currentSellingOrder.change(true, false, currentSellingOrder.orderPrice); currentBuyingOrder.change(true, false,
currentBuyingOrder.orderPrice);}
}
if (strategyQ(2)) {
Double aux=Calculator.randomExponentialInteger(Parameters.exponentialLambda);
if (passedGoingUp && passedTimeInThisDirection<aux) {currentBuyingOrder.change(false, true,
currentBuyingOrder.orderPrice); currentSellingOrder.change(true, false, currentSellingOrder.orderPrice);}
else
if (!passedGoingUp && passedTimeInThisDirection<aux) {currentSellingOrder.change(false, true,
currentSellingOrder.orderPrice); currentBuyingOrder.change(true, false, currentBuyingOrder.orderPrice);}
else
{currentSellingOrder.change(true, false, currentSellingOrder.orderPrice); currentBuyingOrder.change(true, false,
currentBuyingOrder.orderPrice);}
}
if (strategyQ(3)) {
Double a=Calculator.randomChopedNormal(passedStockPrice,Parameters.variance,Parameters.choppingParameter);
Double realPip=Parameters.pip*a;
Double b=a+realPip;
currentBuyingOrder.change(false,false,a);
currentSellingOrder.change(false,false,b);
}
if (strategyQ(4)) {
Double a=Calculator.randomChopedNormal
(Parameters.firstStockPrice,Parameters.variance,Parameters.choppingParameter);
Double realPip=Parameters.pip*a;
Double b=a+realPip;
currentBuyingOrder.change(false,false,a);
currentSellingOrder.change(false,false,b);
}
if (money<0) {currentBuyingOrder.change(true, false, currentBuyingOrder.orderPrice);}
if (numberOfStocks==0) {currentSellingOrder.change(true, false, currentSellingOrder.orderPrice);}
}
public void showTagedInfoT(int tag, JTextArea text) {
String res=String.format("INVESTOR %d\nMoney: %1.3f\nNumber of stocks: %d\n",tag,money,numberOfStocks);
if (currentBuyingOrder.doesNothing) {res=res.concat("Buying orders: doesn't buy");}
if (currentBuyingOrder.negotiatesAtBestPrice) {res=res.concat("Buying orders: buys at best price");}
if (!currentBuyingOrder.doesNothing && !currentBuyingOrder.negotiatesAtBestPrice) {res=res.concat(String.format("Buying
orders: buys for %1.3f\n",currentBuyingOrder.orderPrice));}
if (currentSellingOrder.doesNothing) {res=res.concat(" and doesn't sell\n");}
if (currentSellingOrder.negotiatesAtBestPrice) {res=res.concat(" and sells at best price\n");}
if (!currentSellingOrder.doesNothing && !currentSellingOrder.negotiatesAtBestPrice) {res=res.concat(String.format(" and
sells for %1.3f\n",currentSellingOrder.orderPrice));}
res=res.concat("Strategy:");
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if (strategyQ(1)) {res=res.concat(" 1 ");}
res=res.concat("\n\n");
text.append(res);
}
public Investor copy() {
Investor res=new Investor(money, numberOfStocks, currentBuyingOrder, currentSellingOrder);
int i=1;
while(i<4)
{if (strategyQ(i)) {res.addStrategy(i);} i++;}
return res;
}
}
package com.guilherme.IO;
import java.io.BufferedReader;
import java.io.FileReader;
import java.io.IOException;
public class BufferedInputFile {
public static String read(String filename) throws IOException {
BufferedReader in = new BufferedReader(
new FileReader(filename));
String s;
StringBuilder sb = new StringBuilder();
while((s = in.readLine())!= null)
sb.append(s + "\n");
in.close();
return sb.toString();
}
}
import java.io.File;
import com.guilherme.historyRelated.StockHistoryArray;
public class Exporter {
public static void write(String text,StockHistoryArray historyInUse, String filename) throws IOException {
java.io.File exportFile=new File(filename);
java.io.FileWriter fw = new java.io.FileWriter( exportFile, false );
java.io.PrintWriter pw = new java.io.PrintWriter( fw, true );
int i=0;
pw.println(text);
pw.println("\n\nHISTORY");
while(i<historyInUse.getSize())
{pw.println("Time:"+i+" stock price:"+historyInUse.getValueAtTime(i)); i++;}
pw.close();
}
public static void writeForWork(StockHistoryArray historyInUse, String filename) throws IOException {
java.io.File exportFile=new File(filename);
java.io.FileWriter fw = new java.io.FileWriter( exportFile, false );
int i=1;
while(i<historyInUse.getSize())
{pw.println((historyInUse.getValueAtTime(i)-historyInUse.getValueAtTime(i-1))/historyInUse.getValueAtTime(i-1)); i++;}
pw.close();
}
}
public class graphicsWriter {
public static void write(StockHistoryArray passedArray) throws IOException {
java.io.FileWriter fw = new java.io.FileWriter( "graphics.txt", false );
int i=0;
while(i<passedArray.getSize())
{pw.println(passedArray.getValueAtTime(i)); i++;}
pw.close();
}
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}
package com.guilherme.main;
public class Parameters {
public static Double firstStockPrice=1.0;
public static Double exponentialLambda=1.0;
public static Double variance=0.1;
public static Double choppingParameter=0.999999;
public static Double pip=0.01;
public static Double percentage=0.1;
public static void show() {

System.out.println(" First stock price: "+firstStockPrice);
System.out.println(" Exponential lambda: "+exponentialLambda);
System.out.println(" Variance: "+variance);
System.out.println(" Chopping parameter: "+choppingParameter);
System.out.println(" Pip: "+pip);
}
}
public class Preferences {
public static Boolean showTransactions=false;
public static Boolean showTransactorsInfo=false;
public static Boolean showDirection=true;
public static Boolean showTransactionsDirection=true;
public static void show() {
if (showTransactions) {System.out.println(" Show transactions: yes");} else {System.out.println("Show transactions:
no");}
if (showTransactorsInfo) {System.out.println(" Show transactors's info: yes");} else {System.out.println(" Show
transactor's info: no");}
}
import javax.swing.*;
import javax.swing.border.BevelBorder;
import javax.swing.border.Border;
import javax.swing.border.LineBorder;
import javax.swing.event.ListSelectionEvent;
import javax.swing.event.ListSelectionListener;
import javax.swing.plaf.basic.BasicBorders;
import javax.swing.plaf.metal.MetalBorders;
import com.guilherme.GUI.Painter;
import com.guilherme.IO.BufferedInputFile;
import com.guilherme.IO.Exporter;
import com.guilherme.IO.graphicsWriter;
import com.guilherme.historyRelated.Global;
import com.guilherme.historyRelated.TransactionsHistoryArray;
import com.guilherme.investorRelated.ArrayOfInvestors;
import com.guilherme.investorRelated.Investor;
import com.guilherme.marketRelated.Statistics;
import com.guilherme.marketRelated.StockMarket;
import com.guilherme.orderRelated.BuyingOrder;
import com.guilherme.orderRelated.MapOfBuyingOrdersValues;
import com.guilherme.orderRelated.MapOfSellingOrdersValues;
import com.guilherme.orderRelated.SellingOrder;
import java.awt.*;
import java.awt.event.ActionEvent;
import java.awt.event.ActionListener;
import java.awt.event.MouseEvent;
import java.awt.event.MouseListener;
import java.awt.event.MouseMotionListener;
import java.util.*;
public class Program {

private static void init(MapOfBuyingOrdersValues mapInUseB,MapOfSellingOrdersValues mapInUseS,StockHistoryArray
historyInUse,TransactionsHistoryArray transactionsHistoryInUse,StockMarket marketInUse) {
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mapInUseB.theMap.clear();
mapInUseS.theMap.clear();
historyInUse.clearHistory();
marketInUse.stockPrice=Parameters.firstStockPrice;
marketInUse.time=0;
historyInUse.addFirstStockPrice(marketInUse.stockPrice);
transactionsHistoryInUse.addFirstTransactionValue(0);
}
private static void addStrategiesFromText(Investor passedInvestor, JTextField passedField) {
Integer k=0;
String aux=passedField.getText();
while (k<aux.length())
{passedInvestor.addStrategy(aux.codePointAt(k)-48);
k=k+2;}
}
public static void main(String[] args) {
//SET LOOK AND FEEL
try {
UIManager.setLookAndFeel(UIManager.
getSystemLookAndFeelClassName());
} catch(Exception e) {
}
//SET LOOK AND FEEL
//INIT
final ArrayOfInvestors arrayInUse=new ArrayOfInvestors();
final MapOfBuyingOrdersValues mapInUseB=new MapOfBuyingOrdersValues();
final MapOfSellingOrdersValues mapInUseS=new MapOfSellingOrdersValues();
final StockHistoryArray historyInUse=new StockHistoryArray();
final TransactionsHistoryArray transactionsHistoryInUse=new TransactionsHistoryArray();
final Statistics statisticsInUse=new Statistics();
final StockMarket marketInUse=new StockMarket
(arrayInUse,mapInUseB,mapInUseS,historyInUse,transactionsHistoryInUse,statisticsInUse);
marketInUse.stockPrice=Parameters.firstStockPrice;
marketInUse.time=0;
historyInUse.addFirstStockPrice(marketInUse.stockPrice);
transactionsHistoryInUse.addFirstTransactionValue(0);
//INIT
//ORDERS WINDOW
final JFrame ordersWindow=new JFrame();
ordersWindow.setTitle("Orders");
ordersWindow.setBounds(20,50,451,380);
ordersWindow.setBackground(Color.white);
ordersWindow.setLayout(new FlowLayout());
ordersWindow.setResizable(false);
final JTextArea ordersT=new JTextArea();
ordersT.setSize(438,342);
ordersT.setLineWrap(true);
ordersT.setEditable(false);
final JScrollPane scrollPaneH = new JScrollPane(ordersT);
scrollPaneH.setPreferredSize(new Dimension(438,342));
ordersWindow.add(scrollPaneH);
//ORDERS WINDOW
//HISTORY WINDOW
final JFrame historyWindow=new JFrame();
historyWindow.setTitle("History");
historyWindow.setBounds(20,50,391,380);
historyWindow.setBackground(Color.white);
historyWindow.setLayout(new FlowLayout());
historyWindow.setResizable(false);
final JTextArea historyT=new JTextArea();
historyT.setSize(378,342);
historyT.setLineWrap(true);
historyT.setEditable(false);
final JScrollPane scrollPane3 = new JScrollPane(historyT);
scrollPane3.setPreferredSize(new Dimension(378,342));
historyWindow.add(scrollPane3);
//HISTORY WINDOW
//MAIN WINDOW
final JFrame mainWindow=new JFrame();
mainWindow.setTitle("Main");
mainWindow.setBounds(10,30,600,730);
37
mainWindow.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
mainWindow.setBackground(Color.white);
mainWindow.setLayout(new FlowLayout());
mainWindow.setResizable(false);
final JTextField inputText=new JTextField("0",10);
inputText.setToolTipText("Number of time ticks to pass");
final JTextArea mainText=new JTextArea();
mainText.setSize(370,380);
mainText.setLineWrap(true);
mainText.setEditable(false);
mainText.setWrapStyleWord(true);
final JScrollPane scrollPane = new JScrollPane(mainText);
scrollPane.setPreferredSize(new Dimension(370,380));
scrollPane.setBorder(new LineBorder(Color.BLACK,1));
final JTextArea statisticsText=new JTextArea();
statisticsText.setSize(193,380);
statisticsText.setLineWrap(true);
statisticsText.setEditable(false);
statisticsText.setWrapStyleWord(true);
statisticsText.setFont(new Font("Plain",0,12));
final JScrollPane scrollPaneStatistics = new JScrollPane(statisticsText);
scrollPaneStatistics.setPreferredSize(new Dimension(193,380));
scrollPaneStatistics.setBorder(new LineBorder(Color.BLACK,1));
JButton button10=new JButton("Show orders book");
class histButtonListener implements ActionListener {
public void actionPerformed(ActionEvent e) {
ordersT.setText("BUYING ORDERS\n");
mapInUseB.showInfoT(ordersT);
ordersT.append("\nSELLING ORDERS\n");
mapInUseS.showInfoT(ordersT);
ordersWindow.setVisible(true);
}
}
histButtonListener listener10=new histButtonListener();
button10.addActionListener(listener10);
JButton button6=new JButton("Show history");
class difButtonListener implements ActionListener {
Global.showAllHistoryT(historyInUse,transactionsHistoryInUse,historyT);
historyWindow.setVisible(true);
}
}
difButtonListener listener7=new difButtonListener();
final JTextArea coordinates=new JTextArea();
coordinates.setSize(50,10);
coordinates.setEditable(false);
double[] testValues={0,0,0,0};
final Painter panel=new Painter(testValues);
panel.setPreferredSize(new Dimension(580,200));
panel.setBorder(new LineBorder(Color.BLACK,1));
class myMouseListener implements MouseMotionListener {
public void mouseDragged(MouseEvent arg0) {
}
public void mouseMoved(MouseEvent arg0) {
if (marketInUse.time>0)
{int x=arg0.getX()*panel.getNumberOfPoints()/5800+1;
double y=(200-arg0.getY())*(panel.showMax()-panel.showMin())/200+panel.showMin();
coordinates.setText("Time passed "+x+" Money "+y);}
else
{coordinates.setText("");}
}
}
myMouseListener myListener=new myMouseListener();
panel.addMouseMotionListener(myListener);
//Statistics window
final JFrame statisticsWindow=new JFrame();
statisticsWindow.setTitle("Statistics configuration");
statisticsWindow.setBounds(80,100,500,115);
statisticsWindow.setBackground(Color.white);
statisticsWindow.setLayout(new FlowLayout());
38
statisticsWindow.setResizable(false);
statisticsWindow.setAlwaysOnTop(true);
JTextArea label1=new JTextArea("Select first strategy to follow: ");

label1.setEditable(false);
String[] data3={"Strategy 1","Strategy 2","Strategy 3","Strategy 4"};
final JComboBox comboStrategy2=new JComboBox(data3);
comboStrategy2.addActionListener(new ActionListener() {
String aux=(String) comboStrategy2.getSelectedItem();
if (0==aux.compareTo("Strategy 1"))
StatisticsPrefs.strategyToFollow=1;
}
});
JTextArea label2=new JTextArea("Select second strategy to follow: ");
label2.setEditable(false);
final JComboBox comboStrategy3=new JComboBox(data3);
comboStrategy3.addActionListener(new ActionListener() {
String aux=(String) comboStrategy3.getSelectedItem();
StatisticsPrefs.strategyToFollow2=1;
}
});
JTextArea label3=new JTextArea("Dimension of interval (to use in sharpest rise and sharpest fall): ");
Integer auxInteger=new Integer(StatisticsPrefs.scale);
final JTextField scale=new JTextField(auxInteger.toString());
statisticsWindow.add(label1);
statisticsWindow.add(comboStrategy2);
statisticsWindow.add(comboStrategy3);
statisticsWindow.add(scale);
//Statistics window
JButton button=new JButton("Pass time");
class ButtonListener implements ActionListener {
if (inputText.getText().compareTo("0")!=0 && inputText.getText().compareTo(" ")!=0) {
int aux=new Integer(0).decode(inputText.getText());
int i=0;
while(i<aux) {
marketInUse.passTimeT(mainText);
panel.repaint();
statisticsInUse.actualize(historyInUse,marketInUse.time);
i++;
}
marketInUse.showMarketStateW(mainText);
statisticsInUse.showStatisticsT(arrayInUse,marketInUse.stockPrice,historyInUse,statisticsText);
panel.setValues(historyInUse.getArray());
panel.repaint();
try {
graphicsWriter.write(historyInUse);
} catch (IOException e1) {
e1.printStackTrace();
}
}
else
{JOptionPane.showMessageDialog(null,"Please enter the number of time ticks to pass
","Error",JOptionPane.ERROR_MESSAGE);}
}
39
}
ButtonListener listener=new ButtonListener();
button.addActionListener(listener);
class menuItemListener0 implements ActionListener {
JOptionPane.showMessageDialog(null, "Guilherme Ferreira da Costa
\nguilhermesfc@gmail.com",null,JOptionPane.PLAIN_MESSAGE);
}
}
menuItemListener0 myMenuListener0=new menuItemListener0();
JOptionPane optionPane=new JOptionPane();
String aux2=JOptionPane.showInputDialog("Enter 'first stock price'",Parameters.firstStockPrice);
if (aux2!=null) Parameters.firstStockPrice=new Double(aux2);
JOptionPane optionPane2=new JOptionPane();
String aux3=JOptionPane.showInputDialog("Enter 'pip'",Parameters.pip);
if (aux3!=null) Parameters.pip=new Double(aux3);
String aux4=JOptionPane.showInputDialog("Enter 'precentage'",Parameters.percentage);
if (aux4!=null) Parameters.percentage=new Double(aux4);
}
}
statisticsWindow.setVisible(true);
}
}
JOptionPane optionPane=new JOptionPane();
String file=JOptionPane.showInputDialog("Type in a name for the file","exported.txt");
try {
Exporter.write(mainText.getText().concat("\n\nSTATISTICS\n"+statisticsText.getText
()),historyInUse,file);
Exporter.writeForWork(historyInUse, "/Users/GI/Desktop/Important data/work.txt");
}
}
}
JMenu myMenu=new JMenu("Other actions");
JMenu helpMenu=new JMenu("Help");
JMenuItem item0=new JMenuItem("Show credits");
JMenuItem item1=new JMenuItem("See/Change global parameters");
JMenuItem item2=new JMenuItem("Configure statistics");
JMenuItem item3=new JMenuItem("Export data");
JMenuItem item4=new JMenuItem("How the market works");
item0.addActionListener(myMenuListener0);
myMenu.add(item0);
myMenu.add(item1);
myMenu.add(item2);
myMenu.add(item3);
helpMenu.add(item4);
JMenuBar mb=new JMenuBar();
mb.add(myMenu);
mb.add(helpMenu);
mainWindow.setJMenuBar(mb);
mainWindow.add(button);
mainWindow.add(inputText);
mainWindow.add(scrollPane);
mainWindow.add(scrollPaneStatistics);
mainWindow.add(button10);
mainWindow.add(button6);
mainWindow.add(panel);
mainWindow.add(coordinates);
//MAIN WINDOW
40
//INVESTORS WINDOW
final JFrame investorsWindow=new JFrame();
investorsWindow.setTitle("Investors");
investorsWindow.setBounds(620,37,380,260);
investorsWindow.setBackground(Color.white);
investorsWindow.setLayout(new FlowLayout());
investorsWindow.setResizable(false);
final JTextField numberOfInvestorsT=new JTextField("0",3);
numberOfInvestorsT.setToolTipText("Number of investors to create ")
final JTextField moneyT=new JTextField("0",3);
moneyT.setToolTipText("Money");
final JTextField numberOfStocksT=new JTextField("0",3);
numberOfStocksT.setToolTipText("Number of stocks");
final JTextField strategy=new JTextField("1");
String[] data2={"Strategy 1","Strategy 2","Strategy 3","Strategy 4"};
final JComboBox comboStrategy=new JComboBox(data2);
comboStrategy.addActionListener(new ActionListener() {
String aux=(String) comboStrategy.getSelectedItem();
strategy.setText("1");
}
});
final JTextArea readerT=new JTextArea();
readerT.setSize(250,150);
readerT.setLineWrap(true);
readerT.setEditable(false);
readerT.setWrapStyleWord(true);
readerT.setBorder(new LineBorder(Color.BLACK,1));
final DefaultListModel lItems=new DefaultListModel();

final JList list=new JList(lItems);
list.setFixedCellWidth(80);
class ListListener implements ListSelectionListener {
public void valueChanged(ListSelectionEvent arg0) {
if (list.getSelectedIndex()>-1) {
readerT.setText("");
arrayInUse.getInvestorAtIndex(list.getSelectedIndex()).showTagedInfoT(list.getSelectedIndex(),readerT);
readerT.append(String.format("Gains: %1.3f",statisticsInUse.getGainsFromInvestor(arrayInUse,
marketInUse.stockPrice, list.getSelectedIndex())));
}
}
}
ListListener listener3=new ListListener();
list.addListSelectionListener(listener3);
JScrollPane scrollPane2 = new JScrollPane(list);
JButton button2=new JButton("Add investors");
class ButtonListener2 implements ActionListener {
if (numberOfInvestorsT.getText().compareTo("0")!=0 && inputText.getText().compareTo(" ")!=0) {
int number=new Integer(0).decode(numberOfInvestorsT.getText());
int i=0;
while(i<number) {
int money=new Integer(0).decode(moneyT.getText());
int numberOfStocks=new Integer(0).decode(numberOfStocksT.getText());
Investor auxInvestor=new Investor(money, numberOfStocks,new BuyingOrder(true,false,1), new
SellingOrder(true,false,1));
auxInvestor.addStrategy(new Integer(0).decode(strategy.getText()));
arrayInUse.addInvestor(auxInvestor);
i++;
}
arrayInUse.displayAllI(lItems);
init(mapInUseB,mapInUseS,historyInUse,transactionsHistoryInUse,marketInUse);
statisticsInUse.reset(arrayInUse);
mainText.setText("");
41
panel.repaint();
}
else
{JOptionPane.showMessageDialog(null,"Please enter the number of investors to create
","Error",JOptionPane.ERROR_MESSAGE);}
}
}
ButtonListener2 listener2=new ButtonListener2();
JButton button3=new JButton("Delete investors");
int[] values=list.getSelectedIndices();
int i=0;
while(i<values.length) {
arrayInUse.removeInvestor(arrayInUse.getInvestorAtIndex(values[i]-i));
i++;
}
}
}
JButton button5=new JButton("Clear all");
int[] values = new int[arrayInUse.getNumberOfInvestors()];
int j=0;
while(j<arrayInUse.getNumberOfInvestors()) {values[j]=j;j++;}
j=0;
while(j<values.length) {
arrayInUse.removeInvestor(arrayInUse.getInvestorAtIndex(values[j]-j));
j++;
}
}
}
investorsWindow.add(numberOfInvestorsT);
investorsWindow.add(button2);
investorsWindow.add(moneyT);
investorsWindow.add(numberOfStocksT);
investorsWindow.add(comboStrategy);
investorsWindow.add(scrollPane2);
investorsWindow.add(readerT);
//INVESTORS WINDOW
//DISPLAY WINDOW
final JFrame displayWindow=new JFrame();
displayWindow.setTitle("Display options");
displayWindow.setBounds(620,307,380,106);
displayWindow.setBackground(Color.white);
displayWindow.setLayout(new FlowLayout());
displayWindow.setResizable(false);
JCheckBox checkBox1=new JCheckBox("Show transactions",false);

checkBox1.addActionListener(new ActionListener() {
if (Preferences.showTransactions)
Preferences.showTransactions=false;
42
else
Preferences.showTransactions=true;
}
});
JCheckBox checkBox2=new JCheckBox("Show transactor's info",false);
if (Preferences.showTransactorsInfo)
Preferences.showTransactorsInfo=false;
else
Preferences.showTransactorsInfo=true;
}
});
JCheckBox checkBox3=new JCheckBox("Show if the market is going up/down",true);
if (Preferences.showDirection)
Preferences.showDirection=false;
else
Preferences.showDirection=true;
}
});
JCheckBox checkBox4=new JCheckBox("Show if the number of transactions is going up/down",true);
if (Preferences.showTransactionsDirection)
Preferences.showTransactionsDirection=false;
else
Preferences.showTransactionsDirection=true;
}
});
displayWindow.add(checkBox1);
//DISPLAY WINDOW
//STRATEGIES WINDOW
final JFrame strategiesWindow=new JFrame();
strategiesWindow.setTitle("Strategies");
strategiesWindow.setBounds(620,420,380,338);
strategiesWindow.setBackground(Color.white);
strategiesWindow.setLayout(new FlowLayout());
strategiesWindow.setResizable(false);
final JTextArea strategyDisplayerT=new JTextArea();
strategyDisplayerT.setSize(350,150);
strategyDisplayerT.setLineWrap(true);
strategyDisplayerT.setEditable(false);
strategyDisplayerT.setWrapStyleWord(true);
strategyDisplayerT.setBorder(new LineBorder(Color.BLACK,1));
try {
strategyDisplayerT.setText(BufferedInputFile.read("strategy1.txt"));
}
String[] data={"Strategy 1","Strategy 2","Strategy 3","Strategy 4"};
final JComboBox comboBox=new JComboBox(data);
comboBox.addActionListener(new ActionListener() {
String aux=(String) comboBox.getSelectedItem();
try {
}
try {
}
43
try {
}
try {
}
}
});
final JTextArea inputT=new JTextArea();

JButton button4=new JButton("See/Change parameters");
String aux=(String) comboBox.getSelectedItem();
{JOptionPane optionPane=new JOptionPane();
String aux2=JOptionPane.showInputDialog("Enter 'exponential lambda'",Parameters.exponentialLambda);
if (aux2!=null) Parameters.exponentialLambda=new Double(aux2);
}
{JOptionPane optionPane2=new JOptionPane();
String aux3=JOptionPane.showInputDialog("Enter 'variance'",Parameters.variance);
if (aux3!=null) Parameters.variance=new Double(aux3);
String aux4=JOptionPane.showInputDialog("Enter 'chopping parameter'",Parameters.choppingParameter);
if (aux4!=null) Parameters.choppingParameter=new Double(aux4);
}
if (aux4!=null) Parameters.choppingParameter=new Double(aux4);}
if (aux6!=null) Parameters.choppingParameter=new Double(aux6);}
}
}
strategiesWindow.add(comboBox);
strategiesWindow.add(button4);
strategiesWindow.add(strategyDisplayerT);
//STRATEGIES WINDOW
//SETTING WINDOWS VISIBLE
investorsWindow.setVisible(true);
mainWindow.setVisible(true);
displayWindow.setVisible(true);
strategiesWindow.setVisible(true);
mainWindow.toFront();
//SETTING WINDOWS VISIBLE
}
}
public class StatisticsPrefs {
public static int strategyToFollow=1;
public static int strategyToFollow2=1;
public static int scale=10;
}
package com.guilherme.marketRelated;
44
import com.guilherme.main.StatisticsPrefs;
public class Statistics {
public ArrayOfInvestors initialArray;
public int transactions;
public int maxGoingUp;
public int maxGoingUpTime;
public int maxGoingDown;
public int maxGoingDownTime;
public double sharpestRise;
public int riseTime;
public double sharpestFall;
public int fallTime;
public Statistics() {
transactions=0;
maxGoingUp=0;
maxGoingUpTime=0;
maxGoingDown=0;
maxGoingDownTime=0;
sharpestRise=0;
riseTime=0;
sharpestFall=0;
fallTime=0;
}
public void actualize(StockHistoryArray passedHistory,int passedTime) {
if (passedHistory.goingUp && passedHistory.timeInThisDirection>maxGoingUp)
{maxGoingUp=passedHistory.timeInThisDirection; maxGoingUpTime=passedTime;}
if (!passedHistory.goingUp && passedHistory.timeInThisDirection>maxGoingDown)
{maxGoingDown=passedHistory.timeInThisDirection; maxGoingDownTime=passedTime;}
if (passedTime-StatisticsPrefs.scale>=0) {
double aux=passedHistory.getValueAtTime(passedTime)-passedHistory.getValueAtTime(passedTime-
StatisticsPrefs.scale);
if (aux>sharpestRise)
{sharpestRise=aux;
riseTime=passedTime;
}
if (aux<sharpestFall)
{sharpestFall=aux;
fallTime=passedTime;
}
}
}
public void reset(ArrayOfInvestors passedArray) {
initialArray=new ArrayOfInvestors();
int i=0;
while(i<passedArray.getNumberOfInvestors()) {
initialArray.addInvestor(passedArray.getInvestorAtIndex(i).copy());
i++;
}
transactions=0;
maxGoingUp=0;
maxGoingUpTime=0;
maxGoingDown=0;
maxGoingDownTime=0;
sharpestRise=0;
sharpestFall=0;
}
public double getGains(ArrayOfInvestors currentArray,double currentStockPrice,int passedStrategy) {
double res=0;
int i=0;
int end=initialArray.getNumberOfInvestors();
Investor oldInvestor;
Investor newInvestor;
while (i<end) {
oldInvestor=initialArray.getInvestorAtIndex(i);
newInvestor=currentArray.getInvestorAtIndex(i);
if (newInvestor.strategyQ(passedStrategy))
45
{res=res+((newInvestor.money-oldInvestor.money)-
(oldInvestor.numberOfStocks-newInvestor.numberOfStocks)*currentStockPrice);}
i++;
}
return res;
}
public Double getGainsFromInvestor(ArrayOfInvestors currentArray,double currentStockPrice,int tag) {
double res=0;
Investor oldInvestor;
Investor newInvestor;
oldInvestor=initialArray.getInvestorAtIndex(tag);
newInvestor=currentArray.getInvestorAtIndex(tag);
res=res+((newInvestor.money-oldInvestor.money)-(oldInvestor.numberOfStocks-newInvestor.numberOfStocks)
*currentStockPrice);
return res;
}
public void showStatisticsT(ArrayOfInvestors currentArray,Double currentStockPrice,StockHistoryArray currentHistory,
JTextArea passedText) {
passedText.setText("");
passedText.append(String.format("'First strategy to follow' net gains: %1.3f\n",getGains
(currentArray,currentStockPrice,StatisticsPrefs.strategyToFollow)));
passedText.append(String.format("'Second strategy to follow' net gains: %1.3f\n\n",getGains
(currentArray,currentStockPrice,StatisticsPrefs.strategyToFollow2)));
passedText.append("Total transactions:"+transactions+"\n\n");
passedText.append(String.format("Highest price: %1.3f\n",currentHistory.highestPrice()));
passedText.append(String.format("Lowest price: %1.3f\n\n",currentHistory.lowestPrice()));
passedText.append(String.format("Maximum time going up: %d (end time:%d)\n",maxGoingUp,maxGoingUpTime));
passedText.append(String.format("Maximum time going down: %d (end time:%d)\n
\n",maxGoingDown,maxGoingDownTime));
passedText.append(String.format("Sharpest rise in a %3d time ticks interval: %1.3f (end time: %d)
\n",StatisticsPrefs.scale,sharpestRise,riseTime));
passedText.append(String.format("Average value (per time tick): %1.3f\n",sharpestRise/
StatisticsPrefs.scale,sharpestRise,riseTime));
passedText.append(String.format("Sharpest fall in a %3d time ticks interval: %1.3f (end time: %d)
\n",StatisticsPrefs.scale,sharpestFall,fallTime));
passedText.append(String.format("Average value (per time tick): %1.3f\n\n",sharpestFall/
StatisticsPrefs.scale,sharpestRise,riseTime));
}
}
package com.guilherme.marketRelated;
import com.guilherme.historyRelated.TransactionsHistoryArray;
import java.util.Random;
import com.guilherme.main.Preferences;
import com.guilherme.orderRelated.*;
public class StockMarket {
public int time;
public double stockPrice;
public int thisTickTransactions;
public double totalPrice;
public int pricesCount;
public ArrayOfInvestors associatedArrayOfInvestors;
public MapOfBuyingOrdersValues associatedMapOfBuyingOrdersValues;
public MapOfSellingOrdersValues associatedMapOfSellingOrdersValues;
public StockHistoryArray associatedStockHistoryArray;
public TransactionsHistoryArray associatedTransactionsHistoryArray;
public Statistics associatedStatistics;
public StockMarket(ArrayOfInvestors passedArray,MapOfBuyingOrdersValues passedBMap,MapOfSellingOrdersValues
passedSMap,StockHistoryArray passedSHArray,TransactionsHistoryArray passedTHArray,Statistics passedStatistics) {
time=0;
stockPrice=0;
thisTickTransactions=0;
associatedArrayOfInvestors=passedArray;
associatedMapOfBuyingOrdersValues=passedBMap;
46
associatedMapOfSellingOrdersValues=passedSMap;
associatedStockHistoryArray=passedSHArray;
associatedTransactionsHistoryArray=passedTHArray;
associatedStatistics=passedStatistics;
}
public void showMarketState() {
System.out.println("\n Time:"+time+" Stock price: "+stockPrice+" Numer of transactions: "+thisTickTransactions);
associatedStockHistoryArray.showInfo();
}
public void showMarketStateW(JTextArea text) {
text.append(String.format("Time: %d Stock price %1.3f Transactions:%d\n",time,stockPrice,thisTickTransactions));
if (Preferences.showDirection)
{associatedStockHistoryArray.showInfoW(text);}
else {text.append("\n");}
if (Preferences.showTransactionsDirection) {associatedTransactionsHistoryArray.showInfoW(text);}
else {text.append("\n");};
}
public void passTime() {
time=time+1;
actualizeOrders();
matchAll();
associatedStockHistoryArray.addStockPrice(stockPrice);
}
public boolean matchOrders(){
if (associatedMapOfBuyingOrdersValues.checkForTransaction(associatedMapOfSellingOrdersValues))
{
if (Preferences.showTransactorsInfo){associatedArrayOfInvestors.getInvestorAtIndex
(associatedMapOfBuyingOrdersValues.bestBuyer()).showTagedInfo(associatedMapOfBuyingOrdersValues.bestBuyer());
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfSellingOrdersValues.bestSeller
()).showTagedInfo(associatedMapOfSellingOrdersValues.bestSeller());}
if (associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer
()).currentBuyingOrder.negotiatesAtBestPrice && !associatedArrayOfInvestors.getInvestorAtIndex
(associatedMapOfSellingOrdersValues.bestSeller()).currentSellingOrder.negotiatesAtBestPrice)
{stockPrice=associatedMapOfSellingOrdersValues.bestPrice();}
if (!associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer
()).currentBuyingOrder.negotiatesAtBestPrice && associatedArrayOfInvestors.getInvestorAtIndex
{stockPrice=associatedMapOfBuyingOrdersValues.bestPrice(); }
{stockPrice=(associatedMapOfSellingOrdersValues.bestPrice()+associatedMapOfBuyingOrdersValues.bestPrice
())/2;}
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer()).takeMoney
(stockPrice);
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer()).addStocks
(1);
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfSellingOrdersValues.bestSeller()).addMoney
(stockPrice);
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfSellingOrdersValues.bestSeller()).takeStocks
(1);
associatedStatistics.transactions++;
if (Preferences.showTransactions) {System.out.println(" Investor
"+associatedMapOfBuyingOrdersValues.bestBuyer()+" bought a stock from investor
"+associatedMapOfSellingOrdersValues.bestSeller()+ " for "+stockPrice);}
(associatedMapOfBuyingOrdersValues.bestBuyer()).showTagedInfo(associatedMapOfBuyingOrdersValues.bestBuyer());
()).showTagedInfo(associatedMapOfSellingOrdersValues.bestSeller());
System.out.println("\n");}
associatedMapOfBuyingOrdersValues.removeOrderWithKey(associatedMapOfBuyingOrdersValues.bestPrice());
associatedMapOfSellingOrdersValues.removeOrderWithKey(associatedMapOfSellingOrdersValues.bestPrice());
return true;
}
else
return false;
}
public void matchAll() {
while(matchOrders());
}
public void actualizeOrders() {
47
int j=0;
while (j<associatedArrayOfInvestors.getNumberOfInvestors()*Parameters.percentage) {
Random gerador=new Random();
int i=gerador.nextInt(associatedArrayOfInvestors.getNumberOfInvestors());
associatedArrayOfInvestors.getInvestorAtIndex(i).actualize(stockPrice,associatedStockHistoryArray.getGoingUp
(),associatedStockHistoryArray.getTimeInThisDirection(),associatedTransactionsHistoryArray.getGoingUp
(),associatedTransactionsHistoryArray.getTimeInThisDirection());
associatedMapOfBuyingOrdersValues.placeOrderValue(i,associatedArrayOfInvestors.getInvestorAtIndex
(i).getCurrentBuyingOrder());
associatedMapOfSellingOrdersValues.placeOrderValue(i,associatedArrayOfInvestors.getInvestorAtIndex
(i).getCurrentSellingOrder());
j++;
}
}
public void passTimeT(JTextArea text) {
time=time+1;
actualizeOrders();
thisTickTransactions=0;
totalPrice=0;
pricesCount=0;
matchAllT(text);
if (pricesCount!=0)
{stockPrice=totalPrice/pricesCount;}
associatedStockHistoryArray.addStockPrice(stockPrice);
associatedTransactionsHistoryArray.addTransactionsValue(thisTickTransactions);
}
private void matchAllT(JTextArea text) {
while(matchOrdersT(text));
}
private boolean matchOrdersT(JTextArea text) {
if (associatedMapOfBuyingOrdersValues.checkForTransaction(associatedMapOfSellingOrdersValues))
{
()).currentBuyingOrder.doesNothing) {System.out.println("\nERRO!\n");}
if (Preferences.showTransactorsInfo)
{associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer
()).showTagedInfoT(associatedMapOfBuyingOrdersValues.bestBuyer(),text);
()).showTagedInfoT(associatedMapOfSellingOrdersValues.bestSeller(),text);}
{stockPrice=associatedMapOfSellingOrdersValues.bestPrice(); }
()).currentBuyingOrder.negotiatesAtBestPrice && associatedArrayOfInvestors.getInvestorAtIndex
{stockPrice=associatedMapOfBuyingOrdersValues.bestPrice(); }
{stockPrice=(associatedMapOfSellingOrdersValues.bestPrice()+associatedMapOfBuyingOrdersValues.bestPrice
())/2;}
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer()).takeMoney
(stockPrice);
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfBuyingOrdersValues.bestBuyer()).addStocks
(1);
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfSellingOrdersValues.bestSeller()).addMoney
(stockPrice);
associatedArrayOfInvestors.getInvestorAtIndex(associatedMapOfSellingOrdersValues.bestSeller()).takeStocks
(1);
totalPrice=totalPrice+stockPrice;
pricesCount++;
thisTickTransactions++;
associatedStatistics.transactions++;
if (Preferences.showTransactions) {text.append(String.format("Investor %d bought a stock from investor %d for
%1.3f\n\n",associatedMapOfBuyingOrdersValues.bestBuyer(),associatedMapOfSellingOrdersValues.bestSeller(),stockPrice));}
(associatedMapOfBuyingOrdersValues.bestBuyer()).showTagedInfoT(associatedMapOfBuyingOrdersValues.bestBuyer(),text);
()).showTagedInfoT(associatedMapOfSellingOrdersValues.bestSeller(),text);
text.append("\n");}
associatedMapOfBuyingOrdersValues.removeOrderWithKey(associatedMapOfBuyingOrdersValues.bestPrice());
48
associatedMapOfSellingOrdersValues.removeOrderWithKey(associatedMapOfSellingOrdersValues.bestPrice());
return true;
}
else
return false;
}
}
package com.guilherme.math;
import java.util.Random;
public class Calculator {
public static Double randomExponentialInteger(Double parameter) {
Double i=gerador.nextDouble();
return (-Math.log(i/parameter)/parameter);
}
public static Double randomNormal(double expectedValue, double variance) {
return expectedValue+variance*gerador.nextGaussian();
}
public static Double randomChopedNormal(double expectedValue, double variance, double choppingParameter) {
Double a=(1-choppingParameter)*expectedValue;
Double b=(1+choppingParameter)*expectedValue;
Double i=a-1;
while(i<a || i>b)
{
i=randomNormal(expectedValue, variance);}
return i;
}
public static Boolean bernoulli() {
return gerador.nextBoolean();
}
public static double getMaxFromArrayList(ArrayList<Double> passedArray) {
double res=passedArray.get(0);
int i=1;
while (i<passedArray.size()) {
if (passedArray.get(i)>res) res=passedArray.get(i);
i++;}
return res;
}
public static double getMinFromArrayList(ArrayList<Double> passedArray) {
double res=passedArray.get(0);
int i=1;
if (passedArray.get(i)<res) res=passedArray.get(i);
i++;}
return res;
}
public static Integer getIntMaxFromArrayList(ArrayList<Integer> passedArray) {
Integer res=passedArray.get(0);
int i=1;
if (passedArray.get(i)>res) res=passedArray.get(i);
i++;}
return res;
}
public static Integer getIntMinFromArrayList(ArrayList<Integer> passedArray) {
Integer res=passedArray.get(0);
int i=1;
if (passedArray.get(i)<res) res=passedArray.get(i);
i++;}
return res;
}
}
package com.guilherme.orderRelated;
public class BuyingOrder extends Order{
public BuyingOrder(boolean startDoesNothing,
49
boolean startNegotiatesAtBestPrice, double startOrderPrice) {
super(startDoesNothing, startNegotiatesAtBestPrice, startOrderPrice);
}
}
public class MapOfBuyingOrdersValues extends MapOfOrdersValues {
public int bestBuyer() {
return theMap.get(theMap.lastKey());
}
public Double bestPrice() {
if (theMap.size()!=0)
return theMap.lastKey();
else
return (double) 0;
}
public boolean checkForTransaction(MapOfSellingOrdersValues sellingMap) {
if (bestPrice()>sellingMap.bestPrice() && theMap.size()!=0&&sellingMap.getSize()!=0)
{return true;}
else
{return false;}
}
public void placeOrderValue(int investorsPosition,Order passedOrder) {
removeOrderOfInvestor(investorsPosition);
if (!passedOrder.doesNothing && !passedOrder.negotiatesAtBestPrice)
{theMap.put(passedOrder.orderPrice,investorsPosition);}
if (!passedOrder.doesNothing && passedOrder.negotiatesAtBestPrice)
{theMap.put(Double.MAX_VALUE,investorsPosition);}
}
}
import java.util.*;
import com.guilherme.GUI.TextArea;
public class MapOfOrdersValues {
public TreeMap<Double,Integer> theMap;
public MapOfOrdersValues() {
theMap=new TreeMap<Double,Integer>();
}
public void removeOrderOfInvestor(int investorsPosition) {
if (theMap.size()!=0 && theMap.containsValue(investorsPosition))
{TreeMap<Double,Integer> aux=(TreeMap<Double, Integer>) theMap.clone();
while (aux.size()!=0) {
if (aux.get(aux.lastKey())==investorsPosition) {theMap.remove(aux.lastKey()); aux.clear();} else {aux.remove
(aux.lastKey());}
}
}
}
public void removeOrderWithKey(double passedKey) {
theMap.remove(passedKey);
}
return theMap.size();
}
System.out.println("Number of orders: "+theMap.size());
}
public void showInfoT(JTextArea passedText) {
int i=0;
Set<Double> aux=theMap.keySet();
Object[] aux2=aux.toArray();
while(i<aux2.length)
{passedText.append(String.format("Investor %d buying order for %f1.3\n",theMap.get(aux2[i]),aux2[i]));
i++;
}
}
}
public class MapOfSellingOrdersValues extends MapOfOrdersValues{
50
public int bestSeller() {
return theMap.get(theMap.firstKey());
}
public Double bestPrice() {
if (theMap.size()!=0)
return theMap.firstKey();
else
return (double) 0;
}
public void placeOrderValue(int investorsPosition,Order passedOrder) {
removeOrderOfInvestor(investorsPosition);
if (!passedOrder.doesNothing && !passedOrder.negotiatesAtBestPrice)
{theMap.put(passedOrder.orderPrice,investorsPosition);}
if (!passedOrder.doesNothing && passedOrder.negotiatesAtBestPrice)
{theMap.put(Double.MIN_VALUE,investorsPosition);}
}
}
public class Order {
public boolean doesNothing;
public boolean negotiatesAtBestPrice;
public double orderPrice;
public Order(boolean startDoesNothing,boolean startNegotiatesAtBestPrice, double startOrderPrice) {
doesNothing=startDoesNothing;
negotiatesAtBestPrice=startNegotiatesAtBestPrice;
orderPrice=startOrderPrice;
};
public void change(boolean passsedDoesNothing,boolean passedNegotiatesAtBestPrice, double passedOrderPrice) {
doesNothing=passsedDoesNothing;
negotiatesAtBestPrice=passedNegotiatesAtBestPrice;
orderPrice=passedOrderPrice;
}
System.out.println("Does nothing? "+doesNothing+" Negotiates at best price? "+negotiatesAtBestPrice+" Order price:
"+orderPrice);
}
public void showTagedInfoT(int tag,JTextArea passedText) {
passedText.append("Order from investor "+tag+": Does nothing? "+doesNothing+" Negotiates at best price?
"+negotiatesAtBestPrice+" Order price: "+orderPrice);
}
}
public class SellingOrder extends Order{
public SellingOrder(boolean startDoesNothing,
boolean startNegotiatesAtBestPrice, double startOrderPrice) {
super(startDoesNothing, startNegotiatesAtBestPrice, startOrderPrice);
}
}
package com.guilherme.GUI;
import java.awt.Color;
import java.awt.Dimension;
import java.awt.Graphics;
import javax.swing.JPanel;
public class Painter extends JPanel{
public int numberOfPoints;
public double[] values={5,6};
int[] points;
double maxValue;
public static double getMax(double[] passedArray) {
double res=passedArray[0];
int i=1;
while(i<passedArray.length)
{if (passedArray[i]>res) res=passedArray[i];
i++;}
return res;
}
public static double getMin(double[] passedArray) {
double res=passedArray[0];
int i=1;
51
while(i<passedArray.length)
{if (passedArray[i]<res) res=passedArray[i];
i++;}
return res;
}
public Painter(double[] a) {
numberOfPoints=values.length;
values=a;
}
public void paintComponent(Graphics g) {
super.paintComponent(g);
int maxWidth=getWidth();
double hstep=(double)maxWidth/(double)numberOfPoints;
int maxHeigth=getHeight();
points=new int[numberOfPoints];
double max=getMax(values);
double min=getMin(values);
for(int i=0;i<numberOfPoints;i++) points[i]=(int) ((maxHeigth)-Math.abs(values[i]-min)*(maxHeigth)/Math.abs(max-min));
g.setColor(Color.RED);
for (int i=1;i<numberOfPoints;i++) {
int x1=(int) ((i-1)*hstep);
int x2=(int) (i*hstep);
int y1=points[i-1];
int y2=points[i];
g.drawLine(x1,y1,x2,y2);
}
}
public void setValues(double[] passedValues) {
values=passedValues;
numberOfPoints=values.length;
}
public int getNumberOfPoints() {
return numberOfPoints;
}
public double showMax() {
return getMax(values);
}
public double showMin() {
return getMin(values);
}
52

Simulating A Stock Market: Report: Guilherme Costa Instituto Superior Técnico 2008

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Simulating A Stock Market: Report: Guilherme Costa Instituto Superior Técnico 2008

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Simulating a stock market: report

2. The artificial stock market

1.2 Review of previous literature

2. Our artificial stock market

2.1 In what it consists

2.2 How it works

3.1 Does the artificial market resembles a real stock market?

Figure 1 (a) histogram showing the relative frequencies of

first stock price=376.08 exponential lambda=1.0 10 strategy 1 investors with

pip=0.01 variance=25 100 strategy 3 investors with

percentage=10% chopping parameter=0.99 100 strategy 4 investors with

1 Numerical data can be fond at at the end of this report

first stock price=11.37452 exponential lambda=1.0 10 strategy 1 investors with

pip=0.01 variance=0.15 10 strategy 2 investors with

percentage=10% chopping parameter=0.99 10 strategy 3 investors with

10 strategy 4 investors with

1 Numerical data can be fond at at the end of this report

3.2 In particular, do crashes happen in this artificial market?

Global parameters Strategies parameters Investors

first stock price=11.37452 exponential lambda=1.0 100 strategy 1 investors with

pip=0.01 variance=1 10 strategy 2 investors with

percentage=10% chopping parameter=0.99 10 strategy 3 investors with

10 strategy 4 investors with

Figure 5. Simulated prices with a “crash” (located in the red rectangle)

1 Numerical data can be found at the end of this report

Appendix A: numerical data (all results are presented in chronological order)

375.53, 376.08, 378.81, 373.7, 376.32, 365.58, 368.85, 373.56, 361.17,

4) First simulation prices per time tick

0.000648016, 0.00483497, 0.00213546, 0.00564168, -0.00391682, -0.0136034,

11126.3, 11133.5, 11187.3, 11211.2, 11274.5, 11230.3, 11077.5, 11060.2,

7) Second simulation price variations per time tick

8) Second simulation prices per time tick

11.3745, 11.4031, 11.248, 11.3131, 11.339, 11.3958, 11.3981, 11.2414,

9) Crash simulation prices per time tick

11.3745, 11.4031, 11.248, 11.3131, 11.339, 11.3958, 11.3981, 11.2414,

Appendix B: java code of the software (by class)

public double[] getArray() {

public static void show() {

public class Program {

JTextArea label1=new JTextArea("Select first strategy to follow: ");

final DefaultListModel lItems=new DefaultListModel();

JCheckBox checkBox1=new JCheckBox("Show transactions",false);

final JTextArea inputT=new JTextArea();

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