基于支持向量回归机的黄金价格短期预测被引量：2

Short-term Prediction of Gold Price Based on SVR

导出

摘要针对黄金价格时间序列的特点,首先结合马尔可夫决策思想对数据集进行相空间重构处理,然后利用支持向量机技术建立黄金价格走势的短期预测模型,最后对上海黄金交易所AU9999的预测结果表明所建模型可以有效地进行黄金价格的短期预测. Short-term prediction of gold prices is studied by means of support vector regression. According to the characteristics of gold price time series, phase space reconstruction of data set is studied by ideas of Markov decision, and then a short-term prediction model of gold price is presented by using support vector regression technology. In addition, an example, price prediction of Shanghai Gold Exchange AU9999, is provided in order to verify validness of our model.

作者李莹高岩范丽亚张凤霞张凡龙

机构地区上海理工大学管理学院聊城大学数学科学学院

出处《数学的实践与认识》 CSCD 北大核心 2011年第24期1-6,共6页 Mathematics in Practice and Theory

基金国家自然科学基金(10871226 11171226)

关键词黄金价格预测支持向量机相空间重构马尔可夫决策 Gold price prediction support vector machine phase space reconstruction Markov decision

分类号 O212.1 [理学—概率论与数理统计]

引文网络
相关文献

参考文献12

1Graham Smith. The Price of Gold and Stock Price Indices for the United States[M]. The World Gold Council, 2001.
2傅瑜.近期黄金价格波动的实证研究[J].产业经济研究,2004(1):30-40. 被引量：80
3Packard N H. Geometry from a time series [J]. Phys RevLett, 1980, 45(9): 712-716.
4Takens F. On the numerical determination of the dimension of an attractor[C]//Dynamical Syst and Tavbulence, Lecture Notes in Mathematics, Berlin: Springer Verlag, 1981: 230-241.
5郁俊莉,王其文,韩文秀.经济时间序列相空间重构与混沌特性判定研究[J].武汉大学学报（理学版）,2004,50(1):33-37. 被引量：18
6马红光,李夕海,王国华,韩崇昭,许剑锋,朱小菲.相空间重构中嵌入维和时间延迟的选择[J].西安交通大学学报,2004,38(4):335-338. 被引量：63
7Fraser A M. Swinney H L. Independent coordinates for strange attractors from mutual information [J]. Phys RevA, 1986, 33: 1134-1140.
8Rechester A, White R B. Symbolic kinetic equation for a chaotic attractor[J]. Physics Review Letters(A), 1991, 156: 419-424.
9Takens F. Dynamical Systems and Turbulence, Lecture Notes in Mathematics[M]. Berlin: Springer, 1981: 366-381.
10Sauer T, Yorke J A, Casdagli M. Embedology[J]. J Stat Phys, 1991, 65:579-616.

二级参考文献31

1张雨,刘少伦.汽油机瞬态排放检测的新实践[J].小型内燃机与摩托车,2004,33(6):28-30. 被引量：13
2[4]世界黄金协会文献-"Average Price of Gold 1900～2002";"demand data";"gold different from other assets";"Switzerland-Market Introduction".
3[10]周洪涛.国际金价再创近六年来新高[N].国际金融报,2003,0123第五版.
4[12]"A BriefIntroduction of London Bullion Market Association"伦敦黄金市场网站(LBMA):www.lbma.org.uk.
5[13]Sarah DaVanzo, "Gold The Fifth Millennium" Anglogold LTD.
6[14]Steve Mathews, "Hedge Fund's Perceptions on Precious Metals" Tudor Investment Corporation.
7[15]Steven C. Kennedy, "A Historical Review" 2002( 1 ).
8[1]Packard N H, Crutchfield J P, Farmer J D. Geometry from a Time Series[J]. Physical Review Letters,1980,45:712-716.
9[2]Takens F. Detecting Strange Attractors in Turbulence[A]. In:Rand D,Young L S eds.Dynamical Systems and Aturbulence, Lecture Notes in Mathematics [C]. New York:Springer-Verlag,1981.336-381.
10[3]Lai Y C, Lerner D. Effective Scaling Regime for Computing the Correlation Dimension from Chaotic Time Series[J]. Physica D,1998,115:1-18.