应用罚函数方法构建广义指数因子预报模型——黄金价格预测的实证分析

doi:10.7523/j.issn.2095-6134.2012.2.003

中国科学院大学学报 ›› 2012, Vol. ›› Issue (2): 162-168.DOI: 10.7523/j.issn.2095-6134.2012.2.003

应用罚函数方法构建广义指数因子预报模型——黄金价格预测的实证分析

严威, 尹伟, 缪柏其, 叶五一

中国科学技术大学统计与金融系, 合肥 230026

收稿日期:2010-11-15 修回日期:2011-03-24 发布日期:2012-03-15
通讯作者: 严威
基金资助:
国家自然科学基金青年科学基金(71001095)和高等学校博士学科点专项科研基金(20103402120010)资助

Constructing generalized exponential predictors via penalty methods: empirical analysis on gold price

YAN Wei, YIN Wei, MIAO Bai-Qi, YE Wu-Yi

Department of Statistics & Finance, University of Science & Technology of China, Hefei 230026, China

Received:2010-11-15 Revised:2011-03-24 Published:2012-03-15

摘要/Abstract

摘要：

采用不同的损失函数和罚函数构建了广义指数预报因子模型,用该模型来预测国际黄金价格. 构建方法包括:1)岭估计方法;2) 基于L₁、L₂以及二者结合的损失函数L_M,利用LASSO和SCAD 2种罚函数选取不同参数EWMA的线性组合作为预报因子. 实证检验表明,该方法构建的模型有效改进了单参数EWMA预测模型,其预测精度优于已有方法.

关键词: 广义指数因子, 黄金价格预测, 变量选择, 罚函数, 损失函数

Abstract:

We construct generalized exponential predictors for forecasting gold price using different loss and penalty functions. The construction methods include: 1) ridge regression and 2) selection of linear combinations of EWMA predictors with different parameters by adding LASSO and SCAD penalties based on L₁,L₂ and the L_M loss function which combines both L₁ and L₂. Practical data show that our models improve the single parameter EWMA model effectively and they perform better than the models suggested in the literature.

Key words: generalized exponential predictors, gold price forecast, variable selection, penalty functions, loss function

中图分类号:

F224.7

严威, 尹伟, 缪柏其, 叶五一. 应用罚函数方法构建广义指数因子预报模型——黄金价格预测的实证分析[J]. 中国科学院大学学报, 2012, (2): 162-168.

YAN Wei, YIN Wei, MIAO Bai-Qi, YE Wu-Yi. Constructing generalized exponential predictors via penalty methods: empirical analysis on gold price[J]. , 2012, (2): 162-168.

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应用罚函数方法构建广义指数因子预报模型——黄金价格预测的实证分析

Constructing generalized exponential predictors via penalty methods: empirical analysis on gold price

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