本文關(guān)鍵詞：國內(nèi)外原油市場(chǎng)的多重分形性與交互相關(guān)性分析　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 原油市場(chǎng) 收益率序列 多重分形性 交互相關(guān)性 多重分形譜

【摘要】：隨著我國對(duì)國際原油進(jìn)口量的增大,國內(nèi)的原油價(jià)格對(duì)國際的原油價(jià)格存在很大的依附性,國際上原油價(jià)格的劇烈波動(dòng)必然會(huì)影響我國原油市場(chǎng)的價(jià)格波動(dòng)。因此,研究國內(nèi)外原油市場(chǎng)結(jié)構(gòu)特征及價(jià)格波動(dòng)規(guī)律對(duì)于我國原油市場(chǎng)的政策制定與風(fēng)險(xiǎn)管理具有重要意義.本文首先運(yùn)用多重分形消除趨勢(shì)波動(dòng)分析法(MF-DFA),研究中石油和中石化兩個(gè)上市公司股票收益率的多重分形特征,并結(jié)合多重分形譜方法,比較兩股票收益率序列的多重分形性的強(qiáng)弱及風(fēng)險(xiǎn)大小.結(jié)果表明,兩個(gè)公司的股票收益率序列均具有明顯的多重分形特征,且中石化收益率序列的多重分形性更強(qiáng),波動(dòng)復(fù)雜程度更高.總體上相比,買入中石化股票獲利的空間更大,但風(fēng)險(xiǎn)也較買入中石油的更高.其次運(yùn)用交互相關(guān)統(tǒng)計(jì)量和多重分形分析方法研究國內(nèi)和國際代表性原油市場(chǎng)的價(jià)格收益率序列,證實(shí)了原油市場(chǎng)間存在交互相關(guān)關(guān)系,且這種關(guān)系具有多重分形特征.同時(shí),比較分析了收益率序列之間交互相關(guān)關(guān)系的多重分形性的強(qiáng)弱.研究了引起多重分形性的主要原因,發(fā)現(xiàn)小波動(dòng)的交互相關(guān)性強(qiáng)于大波動(dòng)交互相關(guān)性,小波動(dòng)和大波動(dòng)的長(zhǎng)程相關(guān)性及收益率序列的胖尾分布均是形成多重分形性的主要原因.本文結(jié)構(gòu)主要如下：第一章為緒論,介紹了本文的選題背景及研究意義,說明了研究國內(nèi)外原油市場(chǎng)特征的必要性,綜述了近年來國內(nèi)外原油市場(chǎng)分形分析的一些研究成果.第二章簡(jiǎn)要介紹了MF-DFA和MF-DCCA兩種多重分形分析方法.第三章首先運(yùn)用MF-DFA方法,研究中石油和中石化兩個(gè)上市公司股票收益率序列的多重分形性,研究表明兩個(gè)公司的股票收益率序列均具有明顯的多重分形特征,且中石化收益率序列的多重分形性更強(qiáng),波動(dòng)復(fù)雜程度更高.其次運(yùn)用MF-DCCA方法研究了WTI/Brent, WTI/大慶,WTI/勝利,大慶/勝利四對(duì)原油市場(chǎng)的價(jià)格收益率序列,證實(shí)了原油市場(chǎng)間存在交互相關(guān)關(guān)系,且這種關(guān)系具有多重分形特征.同時(shí),比較分析了收益率序列之間交互相關(guān)關(guān)系的多重分形性的強(qiáng)弱.分析表明市場(chǎng)間小波動(dòng)的交互相關(guān)性是持續(xù)的,而大波動(dòng)的交互相關(guān)性是反持續(xù)的.比較收益率序列的多重分形譜寬度,發(fā)現(xiàn)資產(chǎn)組合序列的金融風(fēng)險(xiǎn)測(cè)度小于自相關(guān)序列的風(fēng)險(xiǎn)測(cè)度.第四章研究WTI/Brent, WTI/大慶,WTI/勝利,大慶/勝利四對(duì)原油市場(chǎng)的價(jià)格收益率序列形成多重分形的成因,發(fā)現(xiàn)長(zhǎng)程相關(guān)和胖尾分布均是形成多重分形的原因,并分別指明了四個(gè)原油市場(chǎng)之間收益率序列多重分形形成的主要原因.第五章為本文研究成果的總結(jié)與進(jìn)一步研究的展望.
[Abstract]:With the increase of China's international crude oil import, the domestic crude oil price has a great dependence on the international crude oil price. The sharp fluctuation of the international crude oil price will inevitably affect the price fluctuation of our country's crude oil market. It is of great significance to study the structural characteristics and price fluctuation law of crude oil market at home and abroad for the policy formulation and risk management of China's crude oil market. MF-DFA). This paper studies the multifractal characteristics of stock returns of two listed companies in PetroChina and Sinopec, and compares the multifractal property and the risk of the two stock returns series with the multifractal spectrum method. The results show that. The stock return series of the two companies have obvious multifractal characteristics, and Sinopec yield series has stronger multifractal and more complex volatility. There is more room for profit from buying Sinopec shares. But the risk is also higher than that of buying PetroChina. Secondly, we use the interactive correlation statistics and multifractal analysis method to study the price return series of domestic and international representative crude oil market. It is proved that there is an interactive correlation between the crude oil market, and this relationship has multifractal characteristics. At the same time. In this paper, we compare and analyze the multifractal relationship between the return series, and study the main causes of multifractal. It is found that the interaction correlation of small volatility is stronger than that of large volatility. The long range correlation of small volatility and large volatility and the fat tail distribution of yield series are the main reasons for multifractal. The structure of this paper is as follows: chapter one is introduction. The background and significance of this paper are introduced, and the necessity of studying the characteristics of crude oil market at home and abroad is explained. This paper summarizes some research achievements of fractal analysis in crude oil market at home and abroad in recent years. Chapter 2 briefly introduces two multifractal analysis methods, MF-DFA and MF-DCCA. Chapter 3 uses MF-DF firstly. A method. This paper studies the multifractal character of the stock return sequence of the two listed companies of petroleum and Sinopec. The research shows that the stock return series of the two companies have obvious multifractal characteristics. And Sinopec yield sequence is more multifractal, more complex volatility. Secondly, the MF-DCCA method is used to study WTI / WTI / Daqing WTI / victory. The price return sequence of Daqing / Shengli four pairs of crude oil market confirmed the existence of interactive correlation between the crude oil market, and this relationship has multifractal characteristics. At the same time. The multifractal correlation between the return series is compared and analyzed. The results show that the interrelation between the small volatility of the market is continuous. The cross-correlation of large volatility is anti-persistent. The multifractal spectrum width of the yield series is compared. It is found that the financial risk measurement of portfolio series is smaller than that of autocorrelation series. Chapter 4th studies WTI / Brent, WTI / Daqing WTI / Victory. Four pairs of Daqing / Shengli crude oil market price yield series of the formation of multifractal causes, it is found that long-term correlation and fat tail distribution are the reasons for the formation of multifractal. The main reasons of multifractal formation of yield series between four crude oil markets are pointed out respectively. Chapter 5th is the summary of the research results and the prospect of further research.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F416.22
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本文編號(hào)：1396091