郑州白糖期货价格的模型选择方法

MODEL SELECTION FOR ZHENGZHOU SUGAR FUTURES PRICE

主要利用逐步回归和Lasso 2种方法来讨论郑州白糖期货市场白糖1011远期合约价格模型的问题,对白糖的收盘价格进行建模,在挑选出显著性变量后,根据2种方法确定的模型来分别预测白糖的价格,通过比较预测结果,发现Lasso方法的预测效果明显强于逐步回归方法,从而得到更稳定、更准确的预测模型.

The liner model for price of 1011 sugar futures,traded at Zhengzhou Futures market,with other sugar futures was analyzed by stepwise regression and Lasso methods to select significant variables.Real data were analyzed and compared,which showed that the Lasso method out-performed in prediction,resulting in a more accurate and reliable model for prediction.