Study On Trading Strategy Of China's Fuel Oil Futures Market Based On Complex Adaptive System

The fuel oil futures market is an important energy futures market in China.Research on investment of the fuel oil futures market is very important.However,the current research on investment strategies utilizes a static market and does not consider the impact of a large number of investors on the market.Therefore,this paper studies how to optimize the investment strategy of China's fuel oil futures market considering the impact of investment behavior on the market and builds a multi-agent simulation trading model of China's fuel oil futures market based on complex adaptive theory.Different market scenarios were set up,and the comparison of the preferred trading results of investors under various scenarios was analyzed.The main research work and innovative results are as follows:(1)Based on the Complex Adaptive System,a multi-agent fuel oil futures market trading simulation model including trader agent,supervision agent and market environment agent was constructed.Trader agents trade through trading strategies.The supervision agent limits the market by giving regulatory policies.Market environment agent gives market information and do the market clearing work.At the same time,traders update their own trading strategies through the evolution process.Based on the multi-agent fuel oil futures market simulation model,the main components in the real fuel oil futures market are simulated,which provides a basic environment for trading strategy optimization simulation.(2)This paper integrates various types of investment strategies based on fuzzy logic rules and use the buy or sell signal given by the investment strategy based on historical data to determine the fuzzy degree of the current signal strength.The rule gives the recommended investment volume based on the signal strength.Based on this method,we can solve the problem that the investment strategy can only give investment signal guidance but can not give the amount of investment.(3)Based on MATAB,we developed the trading simulation system of China's fuel oil futures market.The data of China's fuel oil futures and spot price are inputed as simulation data.This system can test the interaction of the three main agents in the model and can simulate the market behavior such as trading,supervision and market clearing.We completed the development of the simulation system and test the simulation results.(4)Based on the China's fuel oil futures market simulation experiment,four market scenarios have been set up.After the simulation was completed,the results were analyzed.From the four aspects of market price fluctuations,market transaction volume changes,investor returns,and investor strategy optimization results,we analyzed the behaviors of the principals under various scenarios and the behaviors of the principals caused by the market,and then come up with investment strategy recommendations in different market conditions.The final investment strategy recommendations are: choose the Williams Index strategy when the market does not have the up and down limit,margin 10% and margin 20%;choose Time Range Break strategy when the market up and down limit is 3% or 7% or the holding limit is 80 hands;choose fundamental strategy when it is benchmark scenario or the margin is 5% or the transaction fee is 1‰ or the holding limit is 120 hands;choose Moving Average Convergence / Divergence strategy when the transaction fee is 5‰;choose Moving Average Strategy in the unknown market.