| Egg futures,the first livestock futures product in China’s futures market,was listed on Dalian Commodity Futures Exchange on November 18 th,2013.The listing of egg futures,on the one hand,has opened up the development of animal husbandry in the field of futures and promoted the pace of financial service entity industry;on the other hand,it has a very important role and influence on improving the egg price formation mechanism and promoting the smooth operation of the egg market.In addition,in view of the high correlation between the egg market and ordinary citizens in daily life,the introduction of egg futures has also improved people’s understanding and cognition of the futures market,and greatly expanded the breadth and depth of China’s domestic futures market in terms of financial services for "agriculture,rural areas and farmers".However,due to the large elasticity of supply and demand of eggs,asymmetric information of production and marketing,transportation and other factors,the price of egg futures has been fluctuating violently for a long time,which leads to the problems of low spontaneous pricing power,high proportion of speculators and low contribution to the real economy in the egg market.According to these situations,this paper will focus on the main influencing factors of egg futures market pricing and the prediction of egg futures price.Firstly,this paper combs the development status of domestic egg spot and egg futures in China,and observes that the spot price of eggs in China fluctuates greatly.However,China’s egg futures are highly speculative,and the futures price is easily influenced by the financial environment.Secondly,referring to other agricultural products financial time series problems,this paper summarizes and sorts out a large number of industrial research reports,selects 21 independent variables through comprehensive consideration,and explores the influence degree of these independent variables on egg futures prices by combining ridge regression and lasso regression,and reduces the dimension of the variables.In the end,this paper deletes 11 related factors from the above indexes,and obtains three indexes which have a great influence on the egg futures price,namely,the average price of eggs in the main selling areas in China,the average price of chickens eliminated in the main producing areas and the average price of laying hens in the main producing areas,and seven indexes which have a certain influence but have a relatively small influence,including the laying hens’ breeding profit,the national pork price,the national second-class yellow corn spot price,the OPEC package crude oil price,the egg futures settlement price,the national food PPI and the total population at the end of the year.Finally,this paper takes the 10 main influencing factors selected as explanatory variables of futures price forecast.Long-term and short-term memory model(LSTM)and support vector machine regression model(SVR)are used to predict the continuous closing price of egg futures.The results show that the generalization ability of SVR model is weak in the prediction of egg futures price,which leads to poor prediction effect.However,LSTM performed well in egg futures price forecasting,achieving better forecasting accuracy.In the future,the prediction of the continuous closing price of egg futures can also be further studied based on LSTM model. |
