石油期货价格多重分形特征及其奇异性分析
|
摘要
国际石油价格波动问题,已经成为近几十年来各国政府和各界人士关注的重点。不论是从宏观上保障国家经济安全的角度,还是从微观上有效规避价格风险、减小交易损失的角度,对石油期货价格的波动性进行深入研究与分析都具有重要的现实意义。
首先,应用多重分形结构测试方法对石油价格时间序列进行分析,证明了石油期货价格序列具有随机多重分形结构,揭示石油价格持续波动过程的分形测度的非均匀特征。其次,将石油价格时间序列细分为多个阶段,计算出表征石油期货价格波动程度的多重分形谱f(α)-α曲线,通过分析该曲线开口跨度、顶部尖锐程度和f(αmin)或f(αmax)的值变化,判断石油价格波动趋势。该方法揭示了石油价格在未来不同价格水平下出现的可能性,在一定程度上刻画了石油期货价格在持续剧烈运动过程中,动力系统所表现出来的复杂性,为预测石油期货价格的走势提供了有价值的信息。
其次,针对石油价格中的奇异点或不规则的突变部分携带重要信息的特点,利用小波函数具有“自适应”、“可变焦”,可进行空间局部化分析的特性,检测石油价格的奇异性,包括自动追踪价格序列中奇异点的位置和计算突变的程度大小。最后结合现实中影响石油期货价格的重大政治、经济事件,给出合理的解释,提高了对国际石油价格波动规律性的认识。以上研究对分析国际经济形势和石油价格的变化趋势,制定国内的石油宏观
调控政策,加强行业预测都具有重要的指导意义。
The volatility of oil prices has been the attention focus of governments and all walks of the society. From the macro perspective of ensuring the national economic security,and the micro perspective of avoiding price risk effectively to reduce the loss of the transaction, the in-depth research and analysis to the volatility of oil futures price is of important practical significance.
First, based on the basic idea of multifractal spectrum, normalizing the oil futures price to demonstrate its multifractal structure,and revealing the non-uniform of fractal characteristics in the process of oil price volatility.then dividing the oil price time series into three stages, and calculating the multifractal spectrum curves respectively,by analyzing the open span and the acute degree of top of the curve and the value changes of main parameters in various stages,we can determine the trend of oil price fluctuations. This method reveals the complex nature of oil futures prices in continued and strenuous exercise process and provides some valuable information in predicting the trend of the volatility of oil future price.
Second, the irregular singular points of the oil futures price often carry more important information, to detect the location and mutation degree of these points is important for the study of prices fluctuation, therefore, in addition to the multifractal characteristics analysis of the continuous time series, this paper also uses wavelet transform modulus maxima method to detect the singularity of the price series, tracking the location of singular points and calculating thee mutation degree , then makes a reasonable explanation of the singular points of oil futures prices with major political, economic events.
The above-mentioned research is of important guiding significance in analyzing the international economic situation and trend of oil prices and making domestic macro-control policies.
首先,应用多重分形结构测试方法对石油价格时间序列进行分析,证明了石油期货价格序列具有随机多重分形结构,揭示石油价格持续波动过程的分形测度的非均匀特征。其次,将石油价格时间序列细分为多个阶段,计算出表征石油期货价格波动程度的多重分形谱f(α)-α曲线,通过分析该曲线开口跨度、顶部尖锐程度和f(αmin)或f(αmax)的值变化,判断石油价格波动趋势。该方法揭示了石油价格在未来不同价格水平下出现的可能性,在一定程度上刻画了石油期货价格在持续剧烈运动过程中,动力系统所表现出来的复杂性,为预测石油期货价格的走势提供了有价值的信息。
其次,针对石油价格中的奇异点或不规则的突变部分携带重要信息的特点,利用小波函数具有“自适应”、“可变焦”,可进行空间局部化分析的特性,检测石油价格的奇异性,包括自动追踪价格序列中奇异点的位置和计算突变的程度大小。最后结合现实中影响石油期货价格的重大政治、经济事件,给出合理的解释,提高了对国际石油价格波动规律性的认识。以上研究对分析国际经济形势和石油价格的变化趋势,制定国内的石油宏观
调控政策,加强行业预测都具有重要的指导意义。
The volatility of oil prices has been the attention focus of governments and all walks of the society. From the macro perspective of ensuring the national economic security,and the micro perspective of avoiding price risk effectively to reduce the loss of the transaction, the in-depth research and analysis to the volatility of oil futures price is of important practical significance.
First, based on the basic idea of multifractal spectrum, normalizing the oil futures price to demonstrate its multifractal structure,and revealing the non-uniform of fractal characteristics in the process of oil price volatility.then dividing the oil price time series into three stages, and calculating the multifractal spectrum curves respectively,by analyzing the open span and the acute degree of top of the curve and the value changes of main parameters in various stages,we can determine the trend of oil price fluctuations. This method reveals the complex nature of oil futures prices in continued and strenuous exercise process and provides some valuable information in predicting the trend of the volatility of oil future price.
Second, the irregular singular points of the oil futures price often carry more important information, to detect the location and mutation degree of these points is important for the study of prices fluctuation, therefore, in addition to the multifractal characteristics analysis of the continuous time series, this paper also uses wavelet transform modulus maxima method to detect the singularity of the price series, tracking the location of singular points and calculating thee mutation degree , then makes a reasonable explanation of the singular points of oil futures prices with major political, economic events.
The above-mentioned research is of important guiding significance in analyzing the international economic situation and trend of oil prices and making domestic macro-control policies.
引文
[1]李畅,杨再斌,国际石油价格波动特点及影响因素的实证分析[J],资源科学,2007,29(1):45-48
[2]余乐安,汪寿阳,黎建强,外汇汇率与国际石油价格波动预测,湖南大学出版社,2006年6月第一版
[3]王礼茂,中国资源安全战略——以石油为例[J],资源科学,2002,24(1)
[4]王立杰,苟三权,上海燃料油期货市场有效性的随机游走检验[J],煤炭经济研究,2006(10):37-39
[5]韩冬炎,陈蕊,崔立瑶,对石油价格走势预测的数理研究——基于分形方法的应用[J],价格理论与实践,2004(5):51-52
[6]梁强,魏一鸣,范英,基于小波分析的石油价格长期趋势预测方法及其实证研究[J],中国管理科学,2005(1):30-36
[7]赵笑宇,石油价格变动对价格总水平的影响分析[J],中央财经大学学报,2006[2]:92-96
[8]潘慧峰,张金水,基于ARCH类模型的国内油价波动分析[J],统计研究,2005(4):16-20
[9]冯春山,吴家春,蒋馥,国际石油市场的ARCH效应分析[J],石油大学学报:社会科学版,2003(2):18-20
[10]冯春山,吴家春,蒋馥,上海理工大学学报[J],2005(6):539-542
[11]文志英,竹君,分形几何和分维数,数学的实践与认识,1995
[12]张永东,毕秋香,中国股票市场多标度行为的实证分析[J],预测,2002(4):56-591
[13]胡雪明,宋学锋,深沪股票市场的多重分形分析[J],数量经济技术经济研究,2003(8):124-127
[14]施锡铨,艾克凤,股票市场风险的多重分形分析[J],统计研究,2004 (9):33-361
[15]孙霞,傅竹西,吴自勤.薄膜生长的多重分形谱的计算[J],计算物理,2001,18 (3):247-2521
[16] Xia Sun,Huiping Chen,Ziqin Wu,Yongzhuang Yuan,Multifractal analysis of Hang Seng index in Hong Kong stock market [J],Physica A,2001,291:553-5621
[17] Hiroaki Katsuragi,Evidence of multi-affinity in the Japanese stock market[J],Physica A,2000(278):275-281
[18] K.Matia , Y.Ashkenazy , H.E.Stanley , Multifractal Properties of Price Fluctuations of stock commodities[J],Europhys,Lett.,2003,61(3),422-428
[19] P.Norouzzadeh,B.Rahlnani,A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate[J],Physica A,367(2006)328-336
[20] Mandelbrot B.B.,New methods in statistical economics [J],Journal of political economy,1963(71):421-440
[21] Fama.E.F.,The behavior of stock market prices [J],Journal of business,1965
[22]周蓓,齐中英,周春伟,沪铜期货收益波动性的分阶段实证研究[J],技术经济与管理研究,2006(3):42-45
[23]张帆,我国大显期货收益波动性分析[J],统计教育,2005(6):44-47
[24] MayR.M.,Simple mathematical models with very complicated dynamics [J] ,Nature,1976,261:459-467
[25]王祖林,周荫清,多重分形谱及计算[J],北京航空航天大学学报,2000,26(3):256-258
[26]陈莹,徐友鹏,长江干流日径流序列的多重分形特征[J],地理研究,2008,7(4):820-826
[27]林勇,赵国庆,喻祖国,多重分形分析在经济中的应用[J],中国管理科学,2002,10:233-235
[28]周孝华,宋坤,高频金融时间序列的异象特征分析及应用—基于多重分谱及其参数的研究[J],财经研究,2005,7:123-132
[29] B.B.Mandelbrot,Fractals:Form,Chance and Dimension[M],San Francisco,1995
[30]樊智,张世英,金融市场的效率与分形市场理论[J],系统工程理论与实践2002,3:13-19
[31]周炜星,吴韬,于遵宏,多重分形奇异谱的几何特征——配分函数法[J],华东理工大学学报,2000,26(4):390-395
[32]王炳雪,史忠科,吴方向,时间序列曲线盒维数的一种快速算法[J],系统工程,2000,7:68-72.
[33]王祖林,周荫清,多重分形谱及计算[J],北京航空航天大学学报,2000,26(3):256-258
[34] J.Kwaplen,P.Oswiecimka and S.Drozdz,Components of multifractality in high-frequency stock returns[J], PhysieaA,2005,350:466-474.
[35]乐友喜,王荣宗,多重分形特征参数的提取及应用,石油物探,1997,9:89-93
[36] Silchenko A. , Hu C.K. , Multifractal characterization of stochastic resonance[J],Phys Rev E,2001(63):041105-041115
[37] Bacry E.,Delour J.,Muzy J.,Multifractal random walks [J],Phys Rev E,2001(64):26103-26106
[38] Anning Wei,Raymond Mleuthold,Agriculture futures prices and long memory process[R],Working paper,New York,SSRN,2000
[39]袁海英,陈光福,小波分析在信号奇异性检测中的应用[J],电视技术,2006,(3):24—34
[40]普运伟,朱明,金炜东,胡来招,小波基和噪声对信号奇异性检测性能的影响[J],计算机应用研究,2007,(1):23—24
[41]王效瑞,方茸,皖北地区年雨量的小波分析[J],安徽师范大学学报,自然科学版,2003,23(1):69—71
[42]彭玉华,小波变换与工程应用[M],北京,科学出版社,1999,5
[43]徐晨,赵瑞珍,甘小冰,小波分析应用算法[M],北京,科学出版社,2004
[2]余乐安,汪寿阳,黎建强,外汇汇率与国际石油价格波动预测,湖南大学出版社,2006年6月第一版
[3]王礼茂,中国资源安全战略——以石油为例[J],资源科学,2002,24(1)
[4]王立杰,苟三权,上海燃料油期货市场有效性的随机游走检验[J],煤炭经济研究,2006(10):37-39
[5]韩冬炎,陈蕊,崔立瑶,对石油价格走势预测的数理研究——基于分形方法的应用[J],价格理论与实践,2004(5):51-52
[6]梁强,魏一鸣,范英,基于小波分析的石油价格长期趋势预测方法及其实证研究[J],中国管理科学,2005(1):30-36
[7]赵笑宇,石油价格变动对价格总水平的影响分析[J],中央财经大学学报,2006[2]:92-96
[8]潘慧峰,张金水,基于ARCH类模型的国内油价波动分析[J],统计研究,2005(4):16-20
[9]冯春山,吴家春,蒋馥,国际石油市场的ARCH效应分析[J],石油大学学报:社会科学版,2003(2):18-20
[10]冯春山,吴家春,蒋馥,上海理工大学学报[J],2005(6):539-542
[11]文志英,竹君,分形几何和分维数,数学的实践与认识,1995
[12]张永东,毕秋香,中国股票市场多标度行为的实证分析[J],预测,2002(4):56-591
[13]胡雪明,宋学锋,深沪股票市场的多重分形分析[J],数量经济技术经济研究,2003(8):124-127
[14]施锡铨,艾克凤,股票市场风险的多重分形分析[J],统计研究,2004 (9):33-361
[15]孙霞,傅竹西,吴自勤.薄膜生长的多重分形谱的计算[J],计算物理,2001,18 (3):247-2521
[16] Xia Sun,Huiping Chen,Ziqin Wu,Yongzhuang Yuan,Multifractal analysis of Hang Seng index in Hong Kong stock market [J],Physica A,2001,291:553-5621
[17] Hiroaki Katsuragi,Evidence of multi-affinity in the Japanese stock market[J],Physica A,2000(278):275-281
[18] K.Matia , Y.Ashkenazy , H.E.Stanley , Multifractal Properties of Price Fluctuations of stock commodities[J],Europhys,Lett.,2003,61(3),422-428
[19] P.Norouzzadeh,B.Rahlnani,A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate[J],Physica A,367(2006)328-336
[20] Mandelbrot B.B.,New methods in statistical economics [J],Journal of political economy,1963(71):421-440
[21] Fama.E.F.,The behavior of stock market prices [J],Journal of business,1965
[22]周蓓,齐中英,周春伟,沪铜期货收益波动性的分阶段实证研究[J],技术经济与管理研究,2006(3):42-45
[23]张帆,我国大显期货收益波动性分析[J],统计教育,2005(6):44-47
[24] MayR.M.,Simple mathematical models with very complicated dynamics [J] ,Nature,1976,261:459-467
[25]王祖林,周荫清,多重分形谱及计算[J],北京航空航天大学学报,2000,26(3):256-258
[26]陈莹,徐友鹏,长江干流日径流序列的多重分形特征[J],地理研究,2008,7(4):820-826
[27]林勇,赵国庆,喻祖国,多重分形分析在经济中的应用[J],中国管理科学,2002,10:233-235
[28]周孝华,宋坤,高频金融时间序列的异象特征分析及应用—基于多重分谱及其参数的研究[J],财经研究,2005,7:123-132
[29] B.B.Mandelbrot,Fractals:Form,Chance and Dimension[M],San Francisco,1995
[30]樊智,张世英,金融市场的效率与分形市场理论[J],系统工程理论与实践2002,3:13-19
[31]周炜星,吴韬,于遵宏,多重分形奇异谱的几何特征——配分函数法[J],华东理工大学学报,2000,26(4):390-395
[32]王炳雪,史忠科,吴方向,时间序列曲线盒维数的一种快速算法[J],系统工程,2000,7:68-72.
[33]王祖林,周荫清,多重分形谱及计算[J],北京航空航天大学学报,2000,26(3):256-258
[34] J.Kwaplen,P.Oswiecimka and S.Drozdz,Components of multifractality in high-frequency stock returns[J], PhysieaA,2005,350:466-474.
[35]乐友喜,王荣宗,多重分形特征参数的提取及应用,石油物探,1997,9:89-93
[36] Silchenko A. , Hu C.K. , Multifractal characterization of stochastic resonance[J],Phys Rev E,2001(63):041105-041115
[37] Bacry E.,Delour J.,Muzy J.,Multifractal random walks [J],Phys Rev E,2001(64):26103-26106
[38] Anning Wei,Raymond Mleuthold,Agriculture futures prices and long memory process[R],Working paper,New York,SSRN,2000
[39]袁海英,陈光福,小波分析在信号奇异性检测中的应用[J],电视技术,2006,(3):24—34
[40]普运伟,朱明,金炜东,胡来招,小波基和噪声对信号奇异性检测性能的影响[J],计算机应用研究,2007,(1):23—24
[41]王效瑞,方茸,皖北地区年雨量的小波分析[J],安徽师范大学学报,自然科学版,2003,23(1):69—71
[42]彭玉华,小波变换与工程应用[M],北京,科学出版社,1999,5
[43]徐晨,赵瑞珍,甘小冰,小波分析应用算法[M],北京,科学出版社,2004