| (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 |
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| 引用本文： | 徐寅峰,朱志军.(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[J].系统工程,2004,22(11):62-66. |
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| 作者姓名： | 徐寅峰 朱志军 |
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| 作者单位： | 1. 西安交通大学,管理学院,陕西,西安,710049;西安交通大学,机械制造工程国家重点实验室,陕西,西安,710049
2. 西安交通大学,管理学院,陕西,西安,710049 |
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| 基金项目： | 国家自然科学基金委员会优秀创新群体项目(70121001)
国家自然科学基金资助项目(10371094) |
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| 摘 要： | 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。
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| 关 键 词： | 外汇兑换 占线算法 竞争分析 均衡策略 |
| 文章编号： | 1001-4098(2004)11-0062-05 |
Competitive Analysis on Two-way Trading Problem in Foreign Exchange Transactions with (θ,n) Adversary |
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| XU Yin-feng,ZHU Zhi-jun.Competitive Analysis on Two-way Trading Problem in Foreign Exchange Transactions with (θ,n) Adversary[J].Systems Engineering,2004,22(11):62-66. |
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| Authors: | XU Yin-feng ZHU Zhi-jun |
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| Abstract: | 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. |
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| Keywords: | One-way Trading On-line Algorithm Competitive Analysis Balanced Policy |
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