金属期货与现货市场价格互动关联规则挖掘研究  

作　　者：郑涛[1] 

机构地区：[1]燕山大学经济管理学院

出　　处：《企业经济》2011年第1期166-169,共4页Enterprise Economy

基　　金：河北省社会科学发展研究课题"金融危机对河北省钢铁行业的影响及对策研究"(批准号:200905005)

摘　　要：期货市场传递的价格信息反映未来供求状况的预期,因此,研究金属期货和现货市场价格互动,对于国民经济发展、企业规避价格风险、投资者进行投资决策及政府进行市场监管都有重要意义。本文将数据挖掘中的关联规则挖掘方法引入金融时间序列分析研究领域,针对挖掘对象期货市场的特点,提出基于时间约束的时间序列关联规则挖掘算法。与传统的忽视数据时间信息的关联规则挖掘算法相比,该算法对期货价格与现货价格间的互动关联规则进行挖掘,能发现反映时间序列局部动态互动关联关系,具有一定的短期预测效果。The price information of futures market reflects an anticipation of the supply and demand in the future.Therefore,the research on the price interactions between metal future and spot is of significance for the development of national economy,enterprises＇ avoiding price risks,inventors＇ investment decision,and governments＇ market supervision.This paper introduces relevant rules related to data mining and mining methods to the analytical fields of financial time-sequence,and proposes the mining algorithm of relevant rules of time sequence,which based on time constrain,aimed at the characteristics of future markets of mining target.Compared with the mining algorithm of traditional relevant rules that ignore the information of data timing,the algorithm digs relevant rules of interaction between future and spot prices,which is able to reflect correlation relationship of dynamic of time sequence and to conduct effective forecasting in short run.

关 键 词：时间序列关联规则挖掘 期货 现货 价格 

分 类 号：F713.35[经济管理—产业经济]