新马尔科夫模型的黄金价格短期预测

Short-term prediction of new markov forecasting model on gold price

对黄金价格建立了ARMA-马尔科夫预测模型,该模型将数据统计特征与灰色理论密切结合。ARMA部分用来揭示预测序列的线性变化趋势,而马尔科夫状态转移概率矩阵用来确定状态转移的规律。实证研究表明,该模型预测精度优于ARMA模型以及灰色马尔科夫模型的预测精度。

An ARMA-markov forecasting model is established for gold price which associates data statistical features closely with grey theory.The ARMA is used to reveal the linear variation trend of prediction sequence while,markov state transition probability matrix is used to find out the transition regularities.Practices indicate that the model manifests better prediction accuracy than ARMA and grey markov model.