证券市场中ARA的建模算法及实证研究

项目名称： 证券市场中ARA的建模算法及实证研究

项目编号： No.71201051

项目类型： 青年科学基金项目

立项/批准年度： 2013

项目学科： 管理科学与工程

项目作者： 邓浏睿

作者单位： 湖南大学

项目金额： 19万元

中文摘要： 当存在理性对手和其产生的不确定结果时，通过构建对手决策模型，识别、测算风险的决策分析新方法，称之为对抗性风险分析（ARA）。它克服了传统的风险识别只考虑自然等中立因素的缺陷。结合传统统计方法与博弈论，建立更具现实价值的风险管理机制。 ARA技术是当今国际上最为前沿的风险分析方法之一。但ARA的研究在国内还是一片空白。为了在实际问题中更加广泛有效的应用ARA，本项目拟从原有的完全理性静态ARA模型出发，在对ARA的机理进行系统研究后，构建有限理性动态演化ARA模型，然后通过仿真研究，测算并优化模型和算法。对股票交易数据进行实证分析，最终设计有效、实用、合理的投资决策机制。 本项目将为国际前沿的ARA技术引入国内提供一个良好的开端，为深入研究证券市场中投资者的操作机理提供良好的理论平台，为个人投资者理性投资提供清晰的理论框架和可靠的决策依据。

中文关键词： 对抗性风险分析；Monte Carlo 模拟；灰系统模型；Hilbert-Huang 变换；层次分析法

英文摘要： When there are intelligent opponents and uncertain outcomes, through building strategic model of opppnents, we identify and measure risk by a new method for the analysis of decision making, which is called adversarial risk analysis (ARA). It overcome the shortcomings，which is the traditional risk identification only considering nature and others neutral factors. ARA combines traditional statistics with game theory to create the risk management mechanism, which is of greater practical significance. ARA technology is one of the leading methods for risk analysis in tne present world. But, the study on ARA is still blank in China. After systematically reseaching on mechanism of ARA, this project will creat dynamic evolution model with limited rationality based on the static ARA model with complete rationality, in order to apply ARA to practical problems extensively. Then, we test and optimize model and algorithm through simulation research. With empirical analysis on stock exchange data, we design an available, practical and reasonable investment decision mechanism ultimately. This project will be a good starting point for introducing the advanced international ARA technology to China. Besides,it will provide a favorable theroy flat for deeply studying operation mechasim of investors in the stock market. It wil

英文关键词： Adversarial Risk Analysis；Monte Carlo Simulation；Grey System Model；Hilbert-Huang Transform；Analytic Hierarchy Process