基于商空间的黄金价格SVM模型预测  

Modelling SVM and Prediction of Gold Price Based on Quotient Space

作　　者：韩旭 杨珊[1] 王喜梅 HAN Xu;YANG Shan;WANG Ximei(School of Resources and Safety Engineering,Central South University,Changsha 410083,Hunan,China)

机构地区：[1]中南大学资源与安全工程学院

出　　处：《黄金科学技术》2020年第1期148-157,共10页Gold Science and Technology

基　　金：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”(编号：51404305);国家自然科学基金项目“基于属性驱动的矿体动态建模及更新方法研究”(编号：51504286);中国博士后科学基金面上项目“辰州矿业采掘计划可视化编制与优化研究”(编号：2015M 572269);湖南省科技计划项目“辰州矿业采掘计划可视化编制与优化研究”(编号：2015RS4060)联合资助

摘　　要：结合商空间理论和支持向量机方法,根据黄金价格的价格因子对我国黄金价格进行预测。采用Person相关系数法,对现阶段黄金价格的9个价格因子与黄金价格的相关性进行比较,筛选出相关系数较大的5个价格因子,并通过Granger因果检验,得出可能导致黄金价格变化的2个价格因子;将Person相关系数法和Granger因果检验选出的7个因子作为黄金价格预测的主要价格因子,结合商空间理论,按照时间属性,将黄金价格论域划分为年、季、月3个粒度,建立3层商空间,并进行粒度的合成和计算。然后建立基于商空间理论的支持向量机预测模型,预测得出年、季、月粒度的黄金价格预测值分别为8122.4,7947.506和8089.5元/金衡盎司,合成结果为8053.1元/金衡盎司。将预测结果与GM(1,1)预测值和实际黄金价格进行对比,证明该模型的预测结果在误差允许范围内,优于传统的价格预测方法。Based on the detailed analysis of the influencing factors of the gold price,the gold price of China was predicted according to the price factor of gold price combined with the quotient space theory and the support vector machine method.Firstly,we used the person correlation coefficient method to compare the correlation between 9 price factors with gold price in the current.Five price factors with larger correlation coefficient were selected,they are US dollar index,WIT crude oil futures,G5 currency index,producer index,consumer index and correlation coefficient with correlation coefficient of-0.46,0.52,0.5,0.59 and 0.55 respectively.Secondly,through the granger causality test,we got the reason that the commodity index and the consumer price of the index lead to the change of the gold price hypotheses are more likely to be established,the odds are 0.83338 and 0.95609 respectively.Then,using the dollar index,the WIT crude oil futures,the G5 currency index,the producer index,the consumer index,the commodity index and the consumer price index as the main price factors for the forecast,combining with the quotient space theory and according to the time attribute,divided the gold price domain into three divisions of year,quarter and month,then established the three-tier quotient space,and conducted the granularity of the synthesis and calculation.The SVM forecasting model based on the quotient space theory was established to forecast the gold price.The forecast value of the gold price for year,quarter and month granularity is 8122.4 CNY/troy ounce,7947.506 CNY/troy ounce and 8089.5 CNY/troy ounce respectively,and the composite result is 8053.1 CNY/troy ounce.Finally,the reliability of the model is verified by comparing the gold price forecast with the GM(1,1)forecast of 9382.2 CNY/troy ounce and the actual gold price of 8306.0 CNY/troy ounce,indicate that the prediction result of the model is within the range allowed by the error,and the model is superior to traditional price prediction methods..

关 键 词：黄金价格 影响因子 商空间 粒度 SVM模型 Person相关系数法 GRANGER因果检验 

分 类 号：X751[环境科学与工程—环境工程]