| 期货价格的马尔科夫链改进模型 |
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| 引用本文： | 王宝森,王旭智.期货价格的马尔科夫链改进模型[J].青岛大学学报(自然科学版),2009,22(3):59-61. |
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| 作者姓名： | 王宝森 王旭智 |
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| 作者单位： | 河北工程大学经管学院,河北,邯郸,056038 |
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| 摘 要： | 首先引入马尔科夫链模型,以沪铝期市价格为例对商品期货价格进行了预测;再利用期市价格变动的量价关系得到了马尔科夫链改进模型。实证分析表明,相较于传统马尔科夫链模型,改进的模型在预测精度及效率上均有所改进。
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| 关 键 词： | 期货价格 预测 马尔科夫链 |
Application of Improved Markov Chain Model on Futures Price |
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| WANG Bao-sen,WANG Xu-zhi.Application of Improved Markov Chain Model on Futures Price[J].Journal of Qingdao University(Natural Science Edition),2009,22(3):59-61. |
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| Authors: | WANG Bao-sen WANG Xu-zhi |
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| Institution: | College of Economic and Management;Hebei University of Engineering;Handan 056038;China |
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| Abstract: | A Markov chain model was introduced to predict commodity futures prices on Shanghai aluminum futures.A improved Markov chain model was obtained by using of futures price changes the relationship between volume and price.Empirical analysis show that improved model can predict future price more accurately and more effectively. |
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| Keywords: | future price prediction Markov chain |
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