基于竞争差分析的单向交易策略

项目名称： 基于竞争差分析的单向交易策略

项目编号： No.71471003

项目类型： 面上项目

立项/批准年度： 2015

项目学科： 管理科学

项目作者： 蓝颖杰

作者单位： 北京大学深圳研究生院

项目金额： 60万元

中文摘要： 单向交易问题是经济和管理活动中十分常见的一类问题，例如：库存采购、商品销售、股票交易、外汇兑换、网上拍卖，等等。传统上针对这类问题的研究一般假设未来的价格服从某种随机分布，并基于贝叶斯法则作出决策。但现实中企业或个人常常需要在只知道历史和当前价格、而对未来的价格知之甚少的情况下就即时作出决策。准确估计未来价格的分布是困难的，我们多数时候并不能很好的提供一个合理的分布模型。对这类问题虽然已经有了很多的研究，但仍然存在许多的不足。我们将从一个新的视角来研究这类问题，并获得新的解决问题的方法，同时对问题的性质获得新的洞察和认识。具体来说，我们在本项目中将对单向交易问题首次引入竞争差分析。这种新的分析问题的方法不仅提供鲁棒的决策，而其还有许多其它鲁棒方法所没有的优点，我们期待这种新的方法的引入能够解决以前难以解决的扩展问题，从而在这类问题的研究上取得一些新的突破。

中文关键词： 运营管理；博弈论；鲁棒优化

英文摘要： One-way trading problems are very commonly seen in everyday business management. For example, procurement, selling, currency exchange, auctions, etc. Traditionally, researches on this problem generally assume that future prices obey some random distribution, and make decisions based on Bayes' rule. But in reality companies or individuals often have very limitied knowledge on the futre prices, despite of their knowledge of history and current prices, yet they must make real-time trading decisions. An accurate estimate of the distribution of future prices is difficult, we are not very good most of the time to provide a reasonable distribution model. Although there has been a lot of research, there are still many shortcomings. We will adopt a new perspective to the study in order to obtain new solutions to such problems , as well as some new insights into the nature of the problems. Specifically, we will introduce in this project for the first time the competitive difference analysis for the one-way trading problem. This new approach not only provides robust decision-making , but also offers many advantages that many other robust methods lack. We look forward to use this new approach to solve some of the extended one-way trading problems that were difficult to solve before , so that we can make some new breakthroughs regarding this research problem.

英文关键词： Operations Management;Game Theory;Robust Optimization