小麦期货价格预测的马尔可夫模型

Prediction of Wheat Futures Price Based on Markov Model

[目的]为小麦期货交易者提供参考。[方法]以郑州期货交易所硬小麦为例,将1997～2007年小麦期货价格划分为3个状态。建立马尔可夫预测模型,对小麦期货价格的长期走势进行预测。[结果]经长期运行后,郑州硬麦期货价格以0.149 9的概率稳定在状态1,即期货价格为861～1 160元/t;以0.533 2的概率稳定在状态2,即期货价格为1 160～1 459元/t;以0.316 7的概率稳定在状态3,即期货价格为1 459～1 758元/t。经过相当一段时间后,郑州硬麦期货价格以最大的可能性处于中位区,以较大的可能性处于高位区,而处于低位区的可能性很小。[结论]马尔可夫模型能较好地预测小麦期货价格的长期走势,方法简单实用,结果有一定的参考价值。

[Objective] The aim of the research was to provide references for wheat futures traders. [Method] Taking hard wheat in Zhengzhou Futures Exchange as an example, wheat futures price in 1997-2007 was divided into 3 states. Markov prediction model was set up to predict the long-term trend of wheat futures price. [Result] After long-term operation, the futures price of Zhengzhou hard wheat was stable in State 1 （with the futures price of 861-1 160 yuan/t） with the probability of 0.149 9, that was stable in State 2 （with the futures price of 1 160-1 459 yuan/t ） with the probability of 0.533 2 and that was stable in State 3 （with futures price of 1 459 - 1 758 yuan/t） with the probability of 0,533 2, After quite a long time, the futures price of Zhengzhou hard wheat would be in middle region with the greatest possibility and that would be in high region with the greater possibility, But its possibility in low region was little, [Conclusion] Markov model could predict the long-term trend of wheat futures price with simple and practical method, and its results had some reference values.