基于竞争差分析的占线单向交易策略

发布时间：2018-03-25 17:03

本文选题：单向交易　切入点：占线算法　出处：《管理科学学报》2017年09期

【摘要】：针对交易者事先仅知道价格波动范围的占线单向交易问题,基于Savage后悔值准则提出了竞争差分析方法,通过引入一个假想的能够控制价格的"对手"将原来的单人决策问题转化为双人零和博弈问题.与竞争比分析相比,竞争差分析由于目标函数的数学形式更简单,因而可以直接采用逆向归纳法求解获得使最大后悔值(竞争差)最小化的稳健的占线交易策略,并找出对于交易者而言所有可能的最糟糕情况,而不必像竞争比分析那样需要事先猜测最优占线策略的特征;此外,数值模拟结果表明,基于竞争差分析的占线算法更节省计算时间,且在解决收益最大化问题时不像竞争比分析那样过于保守,一般具有更好的期望绩效.
[Abstract]:In order to solve the problem of one-way trading where traders only know the range of price fluctuation in advance, a method of competitive difference analysis based on Savage regret value criterion is proposed. By introducing a hypothetical "opponent" who can control the price, the original single decision problem is transformed into a double zero-sum game problem. Compared with the competition ratio analysis, the competition difference analysis is simpler because of the mathematical form of the objective function. Therefore, we can solve the problem directly by reverse induction method to obtain a robust busy trading strategy that minimizes the maximum regret value (competition difference), and find out all the possible worst cases for the trader. In addition, the numerical simulation results show that the busy algorithm based on competitive difference analysis saves more computation time. And when solving the problem of revenue maximization, it is not as conservative as competitive analysis, and generally has better expected performance.
【作者单位】：南开大学商学院;北京大学汇丰商学院;
【基金】：国家自然科学基金资助项目(71471003)
【分类号】：F224.3;F274

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