黄金期货价格短期预测方法研究——基于CEEMDAN与LSTM模型的COMEX黄金期货价格数据分析

Research on Short-term Forecasting Methods of Gold Futures Prices——Analysis of COMEX Gold Futures Price Data Based on CEEMDAN and LSTM Models

黄金期货有较强的风险对冲功能,在全球经济中发挥着重要作用。因此,准确预测黄金期货价格,有利于保障国家经济稳定发展。本文选取2018年1月2日至2023年3月2日共计1340组COMEX黄金期货收盘价数据,使用完全集成经验模态分解和自适应噪声(CEEMDAN)对原始数据进行分解,利用样本熵SE方法将分解所得的子序列重构合并为高频、中频、低频序列,再分别输入步长为1天、7天、30天的LSTM模型进行预测,并建立4种对比模型进行比较分析。研究结果表明:通过比较R2、RMSE、MAE、MAPE值,可以看出CEEMDAN-SE-LSTM三阶段组合模型能够更准确预测黄金期货价格走势;CEEMDAN方法的分解效果优于EMD分解方法;利用SE方法合并分量有利于提高模型预测精度。基于此,建议重视时间步长参数对模型预测精度的影响,完善黄金期货市场价格预测体系以及风险监测预警体系。

Gold futures have a strong risk hedging function and play an essential role in the global economy.Therefore,accurate pre-diction of gold futures prices is conducive to ensuring the stable development of the national economy.This paper selects a total of 1340 groups of COMEX gold futures for the period from January 2,2018 to March 2,2023,decomposes the original data using Complementary Ensemble Empirical Mode Decomposition with Adaptive Noise(CEEMDAN),and then reconstructs and combines the decomposed subse-quences into high-frequency,medium-frequency,and low-frequency sequences by utilizing the sample entropy method,and then input into the LSTM model with the step size of 1 day,7 days and 30 days for prediction,and establish four comparative models for Comparative analysis.The results of the study show that by comparing the R 2,RMSE,MAE and MAPE values,it can be seen that the CEEMDAN-SE-LSTM three-stage combination model can predict gold futures more accurately;the decomposition effect of CEEMDAN method is bet-ter than that of EMD decomposition method;utilizing SE method to combine components is conducive to improving the price trend of gold futures.The use of SE method to combine the components is conducive to improving the model forecasting accuracy.Based on this,it is recommended to pay attention to the influence of the time step parameter on the forecasting accuracy of the model,and improve the price prediction system and risk monitoring and early warning system of gold futures market.