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1、摘要較，結(jié)果表明，基于小波變換的期貨銅價格組合預(yù)測模型較之于單個的期貨銅價格預(yù)測模型能更好的對滬銅期貨價格指數(shù)做出短期預(yù)測。關(guān)鍵詞：ADF檢驗；協(xié)整檢驗；小波變換；期貨；組合IIAbstractAbstractWiththeindustrialproductionofnon-ferrousmetalscopperhasamoreextensiveneed,andincreasingproductionandconsumptionofcopper,copperfuturesalsobecominganincreasinglyimportantmeansofhedgingandinvest
2、ment.Buttheactualmarkethidesavarietyofconfoundingfactors,frequentfluctuationsincopperfuturesmarket,resultinginpricemovementsaredifficulttopredict,makingtheriskoffuturedealingalsogrowingbiggerandbigger.Therefore,decisionofproductionandoperationisrightorwrong,dependingonthetransitionofthemarket’sd
3、emandcannotbeproperlygrasp,inparticular,Ifproperlygraspmarketmovementsinthenextstep,andscientificandrationalwaytopredictcopperfuturesprices,soyoucanhelpcompaniestotakeadvantageofsupplyanddemandsituationofthemarket,toavoidtheriskofpricefluctuationsfromcopperfutures.toimproveenterpriseproductionan
4、dmanagementdecision-making’srationalityandscientific,trulygettoquotaaccordingtoneed,therebyenhancingeconomicefficiencyofenterprises.Adviseondecision-makingvaluablytoinvestorsinfuturesandspotdemanders.Thispaperisbasedonalargenumberofmainlyrelatedliteraturereviewandananlysisofthesituationonthefutu
5、resmarketinrecentyearstocarryonwritingandanalysis.Iselectthatvariablesmainlyfromthreeaspectsofhavingsignificantinfluenceoncopperfuturesprices:thecopperfundamentals,industrylevel,macroeconomictopredictandanalyzecopperfutures’stendencyofprice,toestablishthemodelofcopperfutures’spricepredictionbase
6、donwavelettransform.Bockus-Jenkinsoncesaid:"Fornon-stationarytimeseriesbuiltregressionmodeldirectlyisspuriousregression,theresultsofwhichwillbereducedtogetthecredibility."Wellfirstofall,forrawsequencedataandlow-frequencyviaonwavelettransform’sdecompositionandsynthesisdotheADFunitroottestandcoint
7、egrationtest.Becausenon-stationarytimeseriesunderthesameorderintegrationIIIAbstractconditionexistalong-termstablerelationship,accordingtotheresultofunitroottestandcointegrationtest,wegetthesameorderintegrationasShanghaicoppe
