基于非合作博弈的期货市场策略分析

Strategy Analysis of Futures Market based on Non-cooperative Game

本文基于非合作博弈的方法,通过建立非合作博弈模型对期货市场多空双方的行动策略进行分析,分别就完全信息博弈、不完全信息博弈和不完美信息博弈三种不同的博弈环境,讨论了多空双方在不同的市场形势下的行动策略、博弈的均衡及结果。分析结果表明在不同的博弈环境下,无论是均势市场、多头市场还是空头市场,资金和信息对于期货市场多空双方的博弈策略具有至关重要的影响。基于此结论,本文进一步提出,为了获得资金优势和信息优势,建立期货投资基金,形成博弈联盟是一种有效的博弈形式,以此为基础的合作博弈分析方法是分析联盟博弈的有效方法。

Based on the non-cooperative game theory approach,this article analyzed the action strategies of long and short positions in the future market,by setting up a non-cooperative game models.In the conditions of complete game,incomplete game and imperfect game,this paper discussed the action strategies,equilibrium and outcome of game of long and short positions with different market situation.The result of the article showed that capitals and information plays a important roles in the game of long and short positions in the future market.Accordingly,in order to gain the advantage of capitals and information,establishing future funds is an effective game form of union.According to this,cooperative game method is an effective analysis method to analyzing union game.