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B. Evaluation
We have evaluated this system by a series of tests. For
example, the copper futures price data of SHFE and LME
from 1 April to 20 May in the year 2008 are chosen to
predict the price trend of 21 May in the guided market.
Fig. 4 shows the prediction of copper price trend in
guided market LME on 21 May, 2008. The leading time
turns out to be 1 hour.
not only used to predict price fluctuation of the futures
mentioned in this paper but also other futures and
provides theoretical support to other price fluctuation
researches. Meanwhile, we realize the price fluctuation
correlation model by using information system and
introduce R for statistics calculation on programming
platform, making the prediction so simple and convenient.
Mechanism of futures price fluctuation prediction and
arbitrage is still at the starting stage. More analysis
methods can be introduced into the price fluctuation
study because of the imperfect of spectrum analysis used
in our research. Higher precision of price data which will
make the prediction more accurate and more study on the
analysis system for arbitrage program or even transaction
robot are all further research work.
ACKNOWLEDGMENT
This research was supported by National High-tech R
& D Program (863 Program) of China
(No.2008AA04Z127) and Shanghai Leading Academic
Discipline Project (No.B210).
REFERENCES
Figure 4. Prediction of Copper Price Trend on 21 May, 2008
To test the effectiveness of the prediction, we compare
the observed data and the prediction data as Fig. 5 shows.
Figure 5. Deviation of Copper Price in LME on 21 May, 2008
The prediction of price trend and peak position is
essentially consistent with the observed data.
By simple operation, this analysis system has
accurately found the correlation between two price
fluctuation data and well predicted the futures price trend
in the guided market.
V. CONCLUSION
Our research applies spectrum analysis to international
futures price fluctuation prediction, offering a new
thinking to quantitative study in this field. The method is
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