本文關(guān)鍵詞：綜合周期、均值回復(fù)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(fù) 跳躍 O-U隨機(jī)過程 預(yù)測

【摘要】：BDI指數(shù)的預(yù)測對于航運(yùn)市場經(jīng)營管理具有重要的指導(dǎo)作用。本研究構(gòu)建了基于周期、均值回復(fù)和跳躍特性的BDI指數(shù)O-U隨機(jī)預(yù)測模型,主要?jiǎng)?chuàng)新點(diǎn)有:一是分析了BDI指數(shù)的周期、均值回復(fù)以及跳躍特性,將該三大特性納入BDI指數(shù)隨機(jī)預(yù)測模型,有效提升了BDI指數(shù)預(yù)測理論科學(xué)性。二是借助O-U隨機(jī)過程,建立了基于周期、均值回復(fù)以及跳躍特性BDI指數(shù)預(yù)測模型,同時(shí),利用Fourier級數(shù)函數(shù)估計(jì)周期參數(shù),借助一階自回歸估計(jì)均值回復(fù)參數(shù),以及Gamma分布和雙指數(shù)分布來估計(jì)跳躍參數(shù),解決了參數(shù)較多、估計(jì)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(jìn)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(xué)綜合交通運(yùn)輸協(xié)同創(chuàng)新中心;
【基金】：國家自然科學(xué)基金:自貿(mào)區(qū)港口生態(tài)圈演化、平衡及評價(jià)機(jī)制研究(71672016) 長江學(xué)者和創(chuàng)新團(tuán)隊(duì)發(fā)展計(jì)劃資助:港口協(xié)同發(fā)展與綠色增長(IRT13048) 河北省交通運(yùn)輸廳重點(diǎn)項(xiàng)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(yùn)價(jià),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(yùn)市場風(fēng)向標(biāo),也是全球貿(mào)易情況領(lǐng)先指數(shù)及經(jīng)濟(jì)晴雨表[1]。因此,做好BDI指數(shù)預(yù)測,對判斷航運(yùn)市場發(fā)展趨勢、支持海運(yùn)，

本文編號：1382941