不确定环境下的纸黄金占线交易问题的竞争策略研究

发布时间：2018-03-11 08:07

本文选题：纸黄金交易　切入点：占线理论　出处：《北京化工大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着黄金市场的发展，纸黄金交易已成为很多人的重要投资方式，投资者低买高卖，以赚取差价，获得投资收益。面对黄金的无规律波动，投资者需要决定在哪个点买入，哪个点卖出，，才能使这个差价区间足够大，实现收益最大化。而由于其典型的动态性特征，传统的研究方法无法满足研究需求，因此本文采用了占线理论与竞争分析的方法对其展开研究，该方法是在下一步的信息不可知的情况下立即做出实时的决策，且得出的决策与离线情况下的最优决策在一定比例范围内，因此这种方法可以为纸黄金交易在不确定环境下决策的效率提供保证。本文从纸黄金交易投资人的角度出发，研究在一个完整的交易过程中投资者的决策问题，主要从买入和卖出价格以及交易数量方面定量化的做出交易决策，依托占线理论的优势对实时决策提供指导。在研究过程中，主要根据纸黄金交易问题的不同研究背景和假设分别提出了三个理论模型：首先提出了纸黄金投资者在精力有限的情况下采取一次性买卖的占线策略，运用竞争分析的方法搭建模型，调整了经典的最优保留价格，得出新的纸黄金买入和卖出价格。然后，考虑到实际情况，投资者通常对纸黄金未来的价格变动趋势存在一定的预测，而且为了追求更高的收益，他们宁愿担负一定的风险。于是在模型一的基础上加入风险和预期两个参数，提出了纸黄金交易问题的风险补偿收益模型，投资者可以在有风险和无风险的策略中灵活选择。最后，对纸黄金价格呈现持续下跌趋势的情况，结合股票投资中的金字塔投资方法的思想，提出了纸黄金交易问题的二阶段交易策略，使投资者能够利用占线理论与竞争分析方法更有效的规避风险。针对以上三个策略，本文分别证明了其竞争比并将纸黄金交易中的实际数据代入该模型中，得出实际的投资收益在离线情况下投资收益的一定比例之内，而且风险补偿收益模型和二阶段交易策略在纸黄金价格呈现上涨和下跌两种背景下能够更好的满足投资者的需求，具有更强的适用性。
[Abstract]:With the development of gold market, paper gold trading has become an important investment method for many people. Investors buy low and sell high in order to earn the difference and gain the investment income. In the face of the irregular fluctuation of gold, investors need to decide where to buy. Which point to sell can make the price range large enough to maximize the profit. However, because of its typical dynamic characteristics, the traditional research methods can not meet the research needs. Therefore, this paper uses the method of busy line theory and competition analysis to study it. This method is to make real-time decision immediately when the next step information is not knowable. The obtained decision and the optimal decision under offline conditions are in a certain range, so this method can guarantee the efficiency of paper gold trading in uncertain environment. From the point of view of paper gold trading investors, this paper studies the investors' decision making in a complete trading process, mainly from the aspects of buying and selling price and trading quantity to make quantitative trading decisions. Rely on the advantages of busy theory to provide guidance for real-time decision-making. In the research process, According to the different research background and hypothesis of paper gold trading, this paper puts forward three theoretical models: firstly, the paper gold investors take a one-off strategy of buying and selling under the condition of limited energy. Using the method of competitive analysis to build a model, the classical optimal reserve price is adjusted, and the new paper gold buying and selling price is obtained. Then, considering the actual situation, Investors usually predict the price trend of paper gold in the future, and in order to achieve higher returns, they prefer to bear certain risks. Therefore, two parameters, risk and expectation, are added to model one. In this paper, a risk compensation return model for paper gold trading is proposed, in which investors can choose between risk-free and risk-free strategies. Finally, the paper gold price shows a continuous downward trend. Combined with the idea of pyramid investment method in stock investment, a two-stage trading strategy for paper gold trading is proposed, which enables investors to avoid risks more effectively by using busy theory and competitive analysis method. In view of the above three strategies, this paper proves its competitive ratio and puts the actual data of paper gold trading into the model, and draws the conclusion that the actual investment income is within a certain proportion of the investment income under the condition of offline investment. Moreover, the risk compensation return model and the two-stage trading strategy can better meet the demand of investors under the background of paper gold price rising and falling, and have stronger applicability.
【学位授予单位】：北京化工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.94;F224

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