基于Markov链的国际黄金市场状态分析

his paper focuses on the time series data about the closing price of international gold for 84 trading days between December 2013 and March 2014. The related information is from Shanghai Gold Exchange. Primarily, the analysis concerning fluctuations of return rate about the international gold market is conducted through various descriptive statistics such as skewness, kurtosis and etc. Then, the Markov Chain is applied in distinguishing the five states in the international gold market, as well as the shifts and patterns among them. And these states are reasonably subdivided by the return rate of international market. The analysis implies that, during the stable period of the International Financial Environment, the shock market will take the lead , with the International Gold Market continue to fluctuate. To be specific, 38% of the future will be featured by a fluctuation rate between -0.5% and 0.5%; 28% of the future time the gold price will go down, and 34% of the time it will go up.