2022年美赛优秀论文集-C题O奖论文-2200401【英文】.pdf

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ProblemChosen2022TeamControlNumber

CMCM/ICM2200401

SummarySheet

Gridtheprofit:AdaptivePeriodicGridModelwith

ARIMAPrediction

Summary

Inthefinancialmarket,higherprofitsandlowerrisksarethegoalsthatpeopleseek,buttheyarealways

contradictory.Therefore,researchersinthefinancialfieldarelookingformoreefficientandversatile

quantitativetradingstrategiestomeettheneedofthemarketandtraders.Basedonthis,ourteam

establishanadaptiveperiodicgridmodeltopredictthepriceofgoldandbitcoin.

First,ourbasemodelinheritsaveryclassictradingstrategy,thegridstrategy.Thegridstrategydivides

theassetintoseveralpartsandthemodelautomaticallytradeswhenthepricecrossesthegrid.Toa

certainextent,thismodelisasrisk-averseaspossible,preventingpeoplefrommakingbaddecisions

inachaoticmarket.However,becausethegridstrategyover-diversifiesrisk,therateofreturnisoften

notveryhigh,justlikeaconservativeinvestmentstrategyorawayofpreservingthevalueofanasset.

Inthispart,weanalyzethepropertyofisometricgridstrategyandproportionalgridstrategy,then

comparetheirprofits.Weconcludethatthelarge-widthisometricgridismoresuitableforbitcoinand

goldtrading.

Next,sincegridtradingistooconservativeandstabletosatisfyourrequirementforhighprofit,wehave

tomakesomeimprovementstoit.Fromalong-termperspective,themovingaverage(MA),whichis

frequentlyusedinstocksorfuturestrading,isintroducedtomakethemodelfollowtheoverallmarket

trend.Tofurtherimproveourmodel,wenoticetheclassicmodel,auto-regressiveintegratedmoving

ave

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