基于TEI@I方法论的玉米期货价格预测研究

管理评论 ›› 2020, Vol. 32 ›› Issue (7): 293-301.

基于TEI@I方法论的玉米期货价格预测研究

王会娟, 陈红佳, 高思琴, 郭婧一, 关蓉

中央财经大学统计与数学学院, 北京 100081

收稿日期:2019-09-16 出版日期:2020-07-28 发布日期:2020-08-08
通讯作者: 关蓉(通信作者),中央财经大学统计与数学学院副教授,硕士生导师,博士
作者简介:王会娟,中央财经大学统计与数学学院副教授,硕士生导师,博士;陈红佳,中央财经大学统计与数学学院硕士研究生;高思琴,中央财经大学统计与数学学院本科生;郭婧一,中央财经大学统计与数学学院硕士研究生。
基金资助:
教育部人文社会科学青年项目（18YJC790162）；教育部人文社会科学规划项目（18YJA790056）；中央高校基本科研业务费专项资金资助项目（QL18009）；中央财经大学学科建设经费项目。

Forecasting Corn Futures Prices Based on TEI@I Methodology

Wang Huijuan, Chen Hongjia, Gao Siqin, Guo Jingyi, Guan Rong

School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081

Received:2019-09-16 Online:2020-07-28 Published:2020-08-08

摘要/Abstract

摘要： 玉米期货价格的预测预警工作在指导农业生产、调节农业下游市场发展中具有非常重要的作用。针对现有文献在玉米期货价格预测方法的不系统、不全面性，本文基于复杂系统管理方法论，采用TEI@I方法构建了玉米期货价格预测的研究框架，并通过实际数据开展了分析和预测。通过本文的研究结果可以看出，回归模型、VAR模型以及RPROP神经网络预测模型的单独预测效果差异较大且时序上不稳定，而通过Bootstrap集成方法后的TEI@I方法则呈现出较好的预测效果，且优于等权重的集成模型。

关键词: TEI@I方法论, 玉米期货价格, 预测, Bootstrap集成方法

Abstract: The forecasting of corn futures prices is of great significance in instructing agricultural production and regulating the development of agricultural downstream markets. Based on the methodology of complex system management, this paper constructs a research framework for forecasting corn futures prices based on TEI@I methodology, and analyzes and predicts corn futures prices on the basis of actual data, because existing researches lack regularity and integrity. Our research confirms that the individual forecasting results of regression, Var and RPROP neural network prediction models have large difference and are not very stable in terms of time series. However, the forecasting results of TEI@I methodology with the Bootstrap integration outperforms the equal weight integration model.

Key words: TEI@I methodology, corn future prices, forecasting, Bootstrap

王会娟, 陈红佳, 高思琴, 郭婧一, 关蓉. 基于TEI@I方法论的玉米期货价格预测研究[J]. 管理评论, 2020, 32(7): 293-301.

Wang Huijuan, Chen Hongjia, Gao Siqin, Guo Jingyi, Guan Rong. Forecasting Corn Futures Prices Based on TEI@I Methodology[J]. Management Review, 2020, 32(7): 293-301.

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