(θ,n)对手策略下的双方向外汇兑换问题及其竞争策略分析

Competitive Analysis on Two-way Trading Problem in Foreign Exchange Transactions with (θ,n) Adversary

外汇兑换是现实中的一个典型占线决策问题。R.El-Yaniv等人将外汇之间的兑换抽象成了一个占线 兑换模型,提出了基于风险的兑换策略。在此研究的基础上,本文考虑汇率每日波动在一定范围内的双方向 外汇兑换问题,运用博弈的分析方法,给出了占线均衡策略和平均分配策略,并在理论上证明了均衡策略是该 问题的最优占线策略,最后通过数值结果对两个策略进行了比较。

Foreign currency trading is a typical online decision problem in our real life. R. El--Yaniv has abstracted it as an online one-way trading problem and proposed the threat-based policy. Different from Yaniv's analysis, we considered the two-way trading problem with daily volatility restriction. By applying game theory, Balanced strategy and Dollar-average strategy are presented. We not only proved the Balanced strategy is the optimal strategy in this model, and also gave some numerical results to compare with DA strategy.