基于隐马尔可夫模型的黄金期货价格趋势研究  

Study on Gold Futures Price Trend Based on the Hidden Markov Model

作　　者：贾德高 刘春雨[1] 刘家鹏 JIA Degao;LIU Chunyu;LIU Jiapeng(College of Economics&Management,China Jiliang University,Hangzhou,Zhejiang 310000;Business School,Zhejiang Wanli University,Ningbo,Zhejiang 315000)

机构地区：[1]中国计量大学经管学院,浙江杭州310000 [2]浙江万里学院商学院,浙江宁波315000

出　　处：《中国商论》2024年第11期100-103,共4页China Journal of Commerce

摘　　要：本文基于隐马尔可夫模型(HMM)探究黄金期货价格的变动趋势,通过麻雀搜索算法(SSA)对HMM模型初始状态的概率分布进行优化,解决HMM模型容易陷入局部最优的缺陷,得到了改进的模型(SSA-HMM)。文章通过实际应用比较证明了SSA-HMM在黄金期货价格趋势预测中是有效的,同时深入探究HMM模型隐状态与实际问题之间的联系,论证了结合期货价格波动的驱动因素对隐马尔科夫模型的隐状态进行描述是更加合理的。This paper explores the changing trend of the gold futures price based on the hidden Markov model(HMM)and optimizes the probability distribution of the initial state of the HMM through the sparrow search algorithm(SSA)to address the vulnerability of the HMM to falling into local optima,resulting in an improved model(SSA-HMM).Through practical application comparison,it has been proven that SSA-HMM is eff ective in predicting the trend of gold futures prices.In addition,the relationship between the hidden state of the HMM and the actual problem is deeply explored,proving that it is more reasonable to describe the hidden state of the HMM in combination with the driving factors of futures price fl uctuations.

关 键 词：价格趋势 HMM 隐状态 麻雀搜索算法 黄金期货 

分 类 号：F830.94[经济管理—金融学]