本文關(guān)鍵詞：綜合周期、均值回復和跳躍的BDI指數(shù)預(yù)測研究　出處：《科研管理》2017年05期 　論文類型：期刊論文

  更多相關(guān)文章： BDI指數(shù) 周期 均值回復 跳躍 O-U隨機過程 預(yù)測

【摘要】：BDI指數(shù)的預(yù)測對于航運市場經(jīng)營管理具有重要的指導作用。本研究構(gòu)建了基于周期、均值回復和跳躍特性的BDI指數(shù)O-U隨機預(yù)測模型,主要創(chuàng)新點有:一是分析了BDI指數(shù)的周期、均值回復以及跳躍特性,將該三大特性納入BDI指數(shù)隨機預(yù)測模型,有效提升了BDI指數(shù)預(yù)測理論科學性。二是借助O-U隨機過程,建立了基于周期、均值回復以及跳躍特性BDI指數(shù)預(yù)測模型,同時,利用Fourier級數(shù)函數(shù)估計周期參數(shù),借助一階自回歸估計均值回復參數(shù),以及Gamma分布和雙指數(shù)分布來估計跳躍參數(shù),解決了參數(shù)較多、估計難度較大的問題。三是采集2013年-2015年BDI指數(shù)日數(shù)據(jù)進行擬合,并借助蒙特卡羅方法對2016年上半年BDI指數(shù)開展了預(yù)測,結(jié)果表明本模型預(yù)測精確度較高。
[Abstract]:The prediction of BDI index plays an important role in the management of shipping market. In this study, the O-U stochastic prediction model of BDI index based on the characteristics of cycle, mean recovery and jump is constructed. The main innovations are as follows: first, the period, mean recovery and jump characteristics of BDI index are analyzed, and these three characteristics are incorporated into the stochastic prediction model of BDI index. The prediction theory of BDI exponent is improved effectively. Secondly, with the help of O-U stochastic process, the prediction model of BDI exponent based on period, mean recovery and jump characteristics is established, and at the same time. By using Fourier series function to estimate periodic parameters, first order autoregressive estimation of mean recovery parameters, and Gamma distribution and double exponential distribution to estimate jump parameters, many parameters are solved. The third is to collect the daily data of BDI exponent from 2013 to 2015 and to forecast the BDI index in the first half of 2016 by Monte Carlo method. The results show that the prediction accuracy of this model is high.
【作者單位】： 大連海事大學綜合交通運輸協(xié)同創(chuàng)新中心;
【基金】：國家自然科學基金:自貿(mào)區(qū)港口生態(tài)圈演化、平衡及評價機制研究(71672016) 長江學者和創(chuàng)新團隊發(fā)展計劃資助:港口協(xié)同發(fā)展與綠色增長(IRT13048) 河北省交通運輸廳重點項目:河北港群綠色增長發(fā)展模式研究(ZJT2015037)
【分類號】：F224;F552
【正文快照】： 1引言波羅的海干散貨指數(shù)(Baltic Dry Index,簡稱BDI)主要由國際若干條傳統(tǒng)干散貨船航線的運價,按照各自重要程度和所占比重構(gòu)成的綜合性指數(shù)。BDI指數(shù)是國際航運市場風向標,也是全球貿(mào)易情況領(lǐng)先指數(shù)及經(jīng)濟晴雨表[1]。因此,做好BDI指數(shù)預(yù)測,對判斷航運市場發(fā)展趨勢、支持海運，

本文編號：1382941