Analysis Of Factors Affecting The Price Of Iron Ore Futures And Research On Price Forecast

Since the reform and opening up more than 40 years ago,China’s economy has been in a stage of rapid development and has made remarkable achievements in the world.The industrial expansion of iron and steel and other bulk commodities with iron ore as an important raw material has become one of the important foundations for China’s economic prosperity and rapid development.China is currently a major iron ore consumer in the world,consuming more than half of the world’s iron ores every year.The value of iron ores for China is self-evident.In recent years,the price of iron ore fluctuates frequently,and the risk of iron ore market increases gradually.More and more iron ore industry chains and related enterprises choose to participate in the iron ore futures market and hedge by buying and selling iron ore futures.This paper selects the iron ore futures price of Dalian Commodity Exchange as the main research object,analyzes the influencing factors of iron ore futures price,and uses relevant models to predict the price.Specifically,this paper first summarizes the influencing factors of financial market and futures market,as well as the important literature related to futures price forecasting;Secondly,according to the basic theory of futures prices,the relationship between them and iron ore futures prices is studied and analyzed from different aspects such as macro factors,iron ore supply and demand,and iron ore upstream and downstream industrial chains.In the part of empirical research,on the one hand,it mainly discusses the relationship between the selected fundamental variables and the iron ore futures price through the establishment of VAR model,and then comes to the conclusion after empirical research:(1)Compared with other fundamental factors,the spot price of iron ore is the main factor affecting the iron ore futures price in China;(2)China’s RMB real exchange rate index and Steel rebar futures prices have a certain impact on China’s iron ore futures prices.On the other hand,the traditional linear regression prediction model ARIMA model and the random forest model are constructed respectively,and three combined prediction models are established according to the two single prediction models constructed to compare the prediction effects of the two single prediction models and the combined prediction model;The results show that the prediction error of random forest after introducing the influencing factor(iron ore spot index)is far lower than ARIMA model,while the prediction trend of combined model is more consistent with the real value.Through the analysis of influencing factors of iron ore futures price and the research of price prediction,this paper can help steel enterprises better judge the change trend of iron ore futures price according to the changes of various factors,so as to do a good job in hedging transactions and locking production costs.