Prediction of Futures Price Fluctuation: Modeling, Computing and Analysis System

With the development of global market and information network, international futures markets have become integrated. Price fluctuation of one futures market may cause related price fluctuation in another exchange. Many researches have shown that there is high correlation between international and domestic futures price fluctuation. However, quantitative research and the information system for analyzing and forecasting the fluctuation based on that correlation are still expected to be further explored. This paper studied the price fluctuation and its correlation between two different futures markets, and presented a quantitative model for the prediction in a following market by using spectrum analysis of time series. Based on those researches, an analysis system was developed on .net platform to realize the prediction of price fluctuation. In this system, we explored the computing technology with mathematical programming language R, and integrated it with .net platform, thereof making the prediction calculation precise and convenient. Test by this system has shown the accurate result of prediction in the guided market.