Chapter 446

Chapter 449

game theory, I am afraid many people are familiar with this term.

Its history has been unable to verify, but as a mathematical operational research method, with the continuous changes of the times, has formed a set of mature rules, applied to the economic and trade war.

Such as Nash equilibrium in non cooperative game, akrov commodity market theory in incomplete information market game, etc.

Similarly, for the international futures market, game theory can still play its strong ability.

Therefore, after a long time of thinking, Cheng Nuo decided to use game theory to solve this problem.

First of all, the game in the futures market is a typical game competition.

In a typical game competition, the necessary players, rational assumptions of various countries, optimal selection to ensure the maximization of interests, the constraints of the game, the importance of information game, and the formation of strategy set of optimal choice under certain compromise among all parties are the necessary factors in the typical game market.

The participants in the international futures market are the financial places that take information as the axis, and then buy and sell through the strategy formed by speculation under the agreement of the international futures market.

On the other hand, futures market is a typical "zero sum game".

What is a zero sum game?

From the name, we can see that the zero sum game refers to the sum of the gains of all parties in the transaction process to zero, that is, one party's gain equals to the other party's loss. The typical futures market is generally a "zero sum game". When the futures price rises, when the price rises, the long side will gain profits, the short side will suffer losses, and vice versa.

Finally, the game market is an information oriented market. In other words, there is information asymmetry in futures market.

Knowing these three points, the rest is very simple.

Danton and Joey are still figuring out how to link game theory to futures markets, but Cheng Nuo here has already verified his ideas with a pen and a sketch paper.

Seeing that Cheng Nuo had begun to write, they finished thinking, and their eyes fell on the formula written by Cheng Nuo.

Cheng Nuo's method of operation is very simple.

Since we know that the futures market is a zero sum game, we can simplify the revenue function as follows: Profit = income cost = spread cost - (capital cost + transaction cost).

Next, according to the difference of fund and credit degree (credit status), information and decision-making, the formula is calculated.

Moving his wrist, pondering for a few seconds and lowering his head, Cheng Nuo wrote on the paper in a Shua:

[let P0 be the buying price and P1 the selling price. Generally, the price P and the circulation quantity present a monotonic increasing but concave function, that is, P '(q) > 0, p' '(q) < 0. 】

[suppose Qmax is the maximum trading volume in the market, which represents the price corresponding to the maximum speculation in the futures market. More than the critical trading volume, the price rose again to a "bubble price". When there is only one trading country in the futures market, the country can control the market price, and then the maximum return can be solved:

R1 (Q1) = P * q = (Pt (Q1) - P0) * Q1

where R1 represents the income, Pt represents the current futures market price of the big country in the process of reselling, and P0 represents the purchase price of the futures market. 】

…………

Cheng Nuo in Danton and Joe two people worship under the vision of flowing water of the formula.

On the other side, the big men sitting in the front three rows of the auditorium did not forget the purpose of the trip. After getting up, they gathered in twos and threes to the back row.

The reason why they came to watch the last competition was not to simply come to be mascots and announce the results after sitting for hours.

The more than 40 students here are the top students in the mathematical circles of the two countries.

The big men also want to know what kind of strength the fresh blood of this group of countries can show.

Seeing is better than hearing.

So they plan to observe the process of solving problems by themselves.

Director Aldin and two other old people gathered together and walked back.

It is certainly not an ordinary task to be able to get together with director Aldin. The other two old people, one is the vice president of the mathematics branch of the Royal Academy of Sciences in Yingguo, and the other is the dean of the school of mathematics of Bonn University in degu.

Their position is no less than Aldin, the director of the Institute of mathematics and physics at Cambridge University.

At the same time, these three are also the top three guests who come to watch the game tonight.

Among the 15 teams, Cambridge University is at the back.

The three old people first went to the small group of three at the University of Bonn.

The three PhD students in the University of Bourne made a further discussion on the mathematical model of the international futures market.

The three stopped and watched for a few minutes, then walked back.

"Although the method of solving the problem is conventional, the idea of modeling is relatively clear. It takes half the time than the conventional method, which is good and good." Aldin was the first to judge.Next to him, the deputy dean of the mathematics branch of the Royal Academy of Sciences stroked his beard and nodded again and again, "innovation in safety, Fendi, you have taught a group of good students!"

Fendi, Dean of the school of mathematics at Bonn University, also had two old friends who spoke highly of their students, and also had a sense of pride. "Haha, although they were not trained by me, they are very famous in our school. So, they can be regarded as not falling into their fame."

Dean Fendi turned his head and looked at Augustine. "Augustine, I heard that three of your students from Cambridge University were very brilliant in this exchange activity. We might as well go and have a look at it?"

"Of course." Aldin's sight went around the auditorium, found the location of Cheng Nuo and pointed out to the two old people, "it's over there. Let's go and have a look."

Finish saying, then walk slowly to Cheng Nuo three people side.

Cheng Nuo and others are still Cheng Nuo alone in writing, Danton and Joey are staring at one side. No one spoke, and there was nothing more than the rustle on the paper.

Seeing the working state of Cambridge University, Aldin was puzzled.

But when I saw Cheng Nuo's formula on the paper, I was immersed in it very quickly.

Cheng Nuo didn't know that there were three big men staring at him behind him, and he still wrote in his own rhythm:

[when there is only one big country in the market, the big country will default to the reasonable maximum trading volume and raise the price to the critical price to earn the maximum price difference. When there are many big countries in the futures market, assuming that there are m Powers (m; 1), the return function of the nth largest country is:

R (QM) = QA (Pt (QM) - P)

Pt (QM) is the price represented by the nth largest country in the market, QM is the sum of the trading volume of all big countries, and the trading volume is set as QA when the income of the i-largest country is maximized. According to the maximum condition, the following equation is obtained:

α RA α QA = QA * Pt '(QM *) + Pt (QM *) - P 0 = 0.]

the equation is as follows:

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