jpmorganchase/abides-jpmc-public

Incorrect sigma_t update in ValueAgent

AgataCieslik opened this issue · 0 comments

In ValueAgent.updateEstimates():

self.sigma_t = (self.sigma_n * self.sigma_t) / (self.sigma_n + self.sigma_t)

This line provides incorrect sigma_t estimate, should be:

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).