This 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. Firstly, 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 international gold market, as well as the shifts and patterns among them. And these states ...