基于Markov状态转换的期货铜价格预测及风险控制模型

Price Forecasting and Risk Control Model of Copper Futures Based on Markov State Transition Model

摘要: 铜作为一种重要的有色金属，对其他有色金属的价格具有较强的影响力，因此期货铜市场的稳定发展不仅对现货铜市场具有重要作用，同时对其他有色金属市场的稳定，促进国民经济的又好又快发展，都具有重大意义。本文运用两状态的Markov状态变换模型对期货铜的收益率和大幅波动情况进行了预测，取得了良好的效果。

Abstract: Copper as a kind of important non-ferrous metals, has a strong influence on other non-ferrous metal prices, so the stable development of the copper futures market not only has an important role in spot copper market development, but also has great significance in other non-ferrous met-als market stability and promoting sound and rapid development of the national economy. In this paper, the two-state Markov state transformation model is used to predict the yield and volatility of copper futures with good results.