收稿日期: 2019-06-26
修回日期: 2019-08-08
网络出版日期: 2020-02-26
基金资助
国家自然科学基金青年基金项目“基于人工智能的矿山技术经济指标动态优化研究”(51404305)
Gold Price Forecast Based on the Equal Dimensional Dynamic Markov SCGM(1,1)C Model
Received date: 2019-06-26
Revised date: 2019-08-08
Online published: 2020-02-26
为了提高黄金价格预测精度,提出等维动态马尔可夫
王梅 , 陈建宏 , 杨珊 . 基于等维动态马尔科夫SCGM(1,1)C模型的黄金价格预测[J]. 黄金科学技术, 2020 , 28(1) : 158 -166 . DOI: 10.11872/j.issn.1005-2518.2020.01.095
In order to improve the accuracy of gold price prediction,an equal dimensional dynamic Markov SCGM(1,1)C forecasting model was proposed.Prediction has high requirements for the selection of data,and the latest data can improve the prediction accuracy.The equal dimensional dynamic Markov SCGM(1,1)C model is a composite model which combines the equal dimensional dynamic SCGM(1,1)C model with the Markov chain.On the basis of the prediction results of the equal dimensional dynamic SCGM(1,1)C,the grey fitting accuracy index is divided into states,and the state of the monthly gold price is determined.On this basis,the next transition direction is determined according to the transition probability matrix,and finally the predicted data is obtained.In this paper,the data processing method of take the new one and remove the old one was introduced,and the equal dimension dynamic data optimization was used.Because the grey SCGM(1,1)Cprediction model is also a grey model,the grey model is characterized by less original data,so a large number of original values are not needed in this paper.A total of 16 groups of gold price data from January 2018 to April 2019 were selected,and the dimension of dynamic equal dimension was determined to be 13.When SCGM(1,1)Cmodel data were processed,13 gold price data from January 2018 to January 2019 were selected to predict the gold price in February 2019,and then the gold price of March 2019 and April 2019 was predicted as above.The prediction data from February 2019 to April 2019 were used as fitting data to observe whether the accuracy of the prediction model is the best.The grey SCGM(1,1)Cmodel was predicted directly with all 16 known data.By comparing the grey SCGM(1,1)Cprediction model,the equal dimensional dynamic SCGM(1,1)Cmodel and the equal dimensional dynamic Markov SCGM(1,1)Cprediction model it is know that the accuracy of the equal dimensional dynamic SCGM(1,1)Cmodel is higher than the SCGM(1,1)Cmodel.The fitting accuracy of the equal dimensional dynamic Markov SCGM(1,1)Cis the highest,reaching the first order,the average relative error is 0.85%,which meets the prediction requirements,and the gold price in May 2019 is predicted to be $1 314.78.Although the grey SCGM(1,1)Cmodel has the lowest accuracy,it is simple to calculate and all the predicted values can be obtained by one calculation.The equal dimensional dynamic Markov SCGM(1,1)Cmodel is the most complex,but its predict results are the most accurate.Compared with the neural network and other methods,the equal dimensional dynamic Markov SCGM(1,1)Cmodel is simpler,so the model can be used to predict the gold price.The gold price in May 2019 is $1 295.55.Which Contrast with the predict is very close.
Key words: gold price; equal dimensional dynamic; Markov; SCGM(1,1)C; forecast precision; gray model
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