基于季节性调整的农产品期货价格预测模型  

Forecasting Model of Agricultural Futures Price Based on Seasonal Adjustment

作　　者：曾艺林 ZENG Yi-lin(School of Economics and Finance,South China University of Technology,510000,Guangzhou,Guangdong,China)

机构地区：[1]华南理工大学经济与金融学院,广东广州510000

出　　处：《特区经济》2022年第5期110-113,共4页Special Zone Economy

摘　　要：为提高农产品期货价格模型预测效率,本文在期货价格基础模型的基础上发展了期货价格季节模型,并根据当期季节因素是否对下一期期货价格形成影响,将季节模型分为季节累积模型和季节即期模型。根据2013年至2020年棉花期货价格数据,本文首先验证了棉花期货价格序列遵循几何布朗运动,并分析和比较了各模型对2021年期货价格的预测结果,得出期货价格季节模型表现整体上优于基础模型的结论,但定价效率在不同季度存在差异。In order to improve the prediction efficiency of agricultural products futures price model, this paper develops the futures price seasonal model based on the basic price model. According to whether the current seasonal factors affect future price, the seasonal model is divided into seasonal accumulation model and seasonal immediate model. According to the cotton futures price data from 2013 to 2020, this paper first verifies that the cotton futures price series follows the geometric Brownian motion. Next, this paper compares the prediction results of various futures price models, and concludes that the seasonal models of futures price are better than the basic model, but the pricing efficiency of different seasonal models differ in quarters.

关 键 词：农产品期货价格 价格预测 季节性 

分 类 号：F832[经济管理—金融学]