| 基于小波分析的LS-SVM—ARIMA组合模型的黄金价格预测 |
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| 引用本文： | 景志刚,施国良.基于小波分析的LS-SVM—ARIMA组合模型的黄金价格预测[J].黄金,2017,38(5). |
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| 作者姓名： | 景志刚 施国良 |
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| 作者单位： | 河海大学商学院 |
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| 摘 要： | 黄金作为一种特殊的金融商品,其价格受国际原油、美元汇率、通货膨胀等多种因素的影响,波动性强。使用单一模型进行黄金价格预测通常效果不佳,只有充分考虑价格变化的各个方面才能更加准确地预测黄金价格。应用小波分析将黄金价格分解为4个不同变化趋势,应用LS-SVM与ARIMA模型对不同变化趋势进行建模预测,并重构黄金价格组合预测的结果。实证结果表明,该组合模型预测精度比单一模型预测精度高。
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| 关 键 词： | 最小二乘支持向量机 差分自回归移动平均法 小波分析 组合模型 黄金价格 |
Gold price prediction using combined LS-SVM and ARIMA model based on wavelet analysis |
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| Jing Zhigang,Shi Guoliang.Gold price prediction using combined LS-SVM and ARIMA model based on wavelet analysis[J].Gold,2017,38(5). |
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| Authors: | Jing Zhigang Shi Guoliang |
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| Abstract: | Gold is a special financial product.Its price is very volatile,collaboratively influenced by the international crude oil,dollar exchange rate,inflation and other factors.One single model usually can not attain satisfactory results in predicting gold price,not bringing every aspect of price changes that is essential to precise prediction into consideration.The paper decomposed gold price into 4 different changing trends by wavelet analysis,modeled these trends and made prediction using combined LS-SVM and ARIMA model,and reconstructed the combined gold price prediction results.Case study shows the combined model prediction is more accurate than single model. |
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| Keywords: | LS-SVM ARIMA wavelet analysis combined model gold price |
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