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Indexed by:期刊论文

Date of Publication:2014-06-01

Journal:ICIC Express Letters, Part B: Applications

Included Journals:EI、Scopus

Volume:5

Issue:3

Page Number:657-662

ISSN No.:21852766

Abstract:In stock index futures market, success of speculative trading largely depends on accurately forecasting the price of stock index futures. As far as emerging stock index futures markets such as China are concerned, establishing forecast model under a small sample is of great significance to emerging stock index futures markets. According to grey model and Markov model, this paper firstly establishes two small samples' forecast models including grey model and grey-Markov model. Moreover, this paper uses paired sample t-test method and average relative error method to establish the rationality determinant criterion and the superiority-inferiority determinant criterion of forecast models. At last, the result proves that grey model and grey-Markov model are the rational forecast model and grey-Markov model is superior to grey model in terms of prediction accuracy. ? 2014 ICIC International.