标题:
上海期货黄金的价格走势预测Forecast on the Price Trend of Shanghai Gold Futures
作者:
倪明明, 费宇, 潘建新
关键字:
黄金期货, 支持向量回归, 马尔可夫状态变换模型, 复合似然函数Gold Futures, Support Vector Regression, Markov Transformation Model, Composite Likelihood Function
期刊名称:
《Hans Journal of Data Mining》, Vol.5 No.4, 2015-11-26
摘要:
黄金具有良好的流通、保值和避险等功能，目前是世界各国储备资产的重要组成部分。黄金期货具有规避风险、获取收益的作用。黄金期货市场不仅对黄金现货市场具有重要的导向作用，而且对完善货币市场、外汇市场，对提高金融市场国际吸引力，对国民经济的又好又快发展，都具有重大意义。本文运用两状态的马尔可夫状态变换模型以及支持向量回归模型来分析期货黄金的走势上涨或者下跌的趋势，重要将使用的方法为复合似然函数，可以对国内黄金期货投资者提供一种预测方法。
Gold has good functions of circulation and hedging. It is an important part of the world’s reserve assets. Gold futures have the function of avoiding risk and getting benefits. Gold futures market not only has an important role in the gold spot market, but also has great significance for improving money market and foreign exchange market, national economy and international financial markets. In this paper, we forecast the trend of the gold futures using support vector regression model and the two states of the Markov state transition model, the latter model uses composite likelihood function. This model can provide a good prediction method for the domestic gold futures investors.