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In ValueAgent.updateEstimates():
ValueAgent.updateEstimates()
abides-jpmc-public/abides-markets/abides_markets/agents/value_agent.py
Line 198 in 7b9d605
This line provides incorrect sigma_t estimate, should be:
sigma_t
self.sigma_t = (self.sigma_n * sigma_tprime) / (self.sigma_n + sigma_tprime)
or, equivalentely:
self.sigma_t = sigma_tprime self.sigma_t = (self.sigma_n * self.sigma_t) / (self.sigma_n + self.sigma_t)
This leads to incorrect r_t, sigma_t and r_T estimates (since start value for sigma_t is always 0, sigma_t is always 0).
r_t
r_T
The text was updated successfully, but these errors were encountered:
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In
ValueAgent.updateEstimates()
:abides-jpmc-public/abides-markets/abides_markets/agents/value_agent.py
Line 198 in 7b9d605
This line provides incorrect
sigma_t
estimate, should be:or, equivalentely:
This leads to incorrect
r_t
,sigma_t
andr_T
estimates (since start value forsigma_t
is always 0,sigma_t
is always 0).The text was updated successfully, but these errors were encountered: