【摘要】：國(guó)際干散貨航運(yùn)市場(chǎng)的風(fēng)險(xiǎn)主要來源于航運(yùn)價(jià)格的不確定性，隨著世界經(jīng)濟(jì)的不斷發(fā)展，各國(guó)對(duì)基礎(chǔ)原材料和能源需求的不斷增加，全球航運(yùn)業(yè)異常活躍，對(duì)航運(yùn)價(jià)格的研究也越來越受到重視。 通過對(duì)航運(yùn)市場(chǎng)研究綜述，干散貨航運(yùn)市場(chǎng)價(jià)格研究大都以有效市場(chǎng)理論為基礎(chǔ)，以正態(tài)分布為基本假設(shè)條件，不能夠很好地解釋干散貨航運(yùn)價(jià)格波動(dòng)，與航運(yùn)價(jià)格具有相似波動(dòng)性的股票市場(chǎng)價(jià)格研究，多以分形理論為基礎(chǔ)，以分形分布為基本假設(shè)。文章理論基礎(chǔ)部分對(duì)有效市場(chǎng)理論和分形理論在價(jià)格波動(dòng)研究中假設(shè)條件以及局限性進(jìn)行了分析，從理論上證明分形理論更適合價(jià)格波動(dòng)問題研究，分形分布具有更一般的分布形式，能夠更好地對(duì)干散貨航運(yùn)價(jià)格波動(dòng)進(jìn)行擬合。 文章第三章運(yùn)用直方圖檢驗(yàn)方法、JB檢驗(yàn)方法和KS檢驗(yàn)方法對(duì)國(guó)際干散貨運(yùn)價(jià)指數(shù)不同時(shí)間尺度上分布正態(tài)性進(jìn)行檢驗(yàn)，結(jié)果表明國(guó)際干散貨運(yùn)價(jià)指數(shù)在任何時(shí)間尺度上均不服從正態(tài)分布，而具有尖峰厚尾的分形分布特征。運(yùn)用分形分布參數(shù)估計(jì)方法，對(duì)干散貨運(yùn)價(jià)指數(shù)日收益序列分形分布參數(shù)進(jìn)行估計(jì)，進(jìn)一步證明國(guó)際干散貨指數(shù)服從分形分布，并對(duì)其分布進(jìn)行詳細(xì)刻畫。對(duì)比分形分布和正態(tài)分布對(duì)干散貨指數(shù)分布的擬合結(jié)果，分形分布能夠更好地反映價(jià)格波動(dòng)，正態(tài)分布會(huì)高估收益，低估風(fēng)險(xiǎn)。 在確定國(guó)際干散貨運(yùn)價(jià)指數(shù)分形分布結(jié)構(gòu)基礎(chǔ)上，文章對(duì)其分形特征進(jìn)行研究。通過對(duì)比國(guó)際干散貨運(yùn)價(jià)指數(shù)日收益序列、周收益序列和月收益序列分形分布結(jié)構(gòu)，證明運(yùn)價(jià)指數(shù)在不同時(shí)間尺度下具有統(tǒng)計(jì)自相似結(jié)構(gòu)；通過盒維數(shù)反映價(jià)格指數(shù)分形維數(shù)特征，運(yùn)價(jià)指數(shù)在不同時(shí)間尺度下具有相近的盒維數(shù)，表明時(shí)間序列粗糙程度和復(fù)雜程度相似；R/S分析結(jié)果證明，國(guó)際干散貨運(yùn)價(jià)指數(shù)具有長(zhǎng)期記憶性特征。 文章通過對(duì)國(guó)際干散貨航運(yùn)價(jià)格指數(shù)分形分布結(jié)構(gòu)和分形特征研究證明，，國(guó)際干散貨航運(yùn)價(jià)格指數(shù)服從分形分布，具有自相似性、分形維數(shù)和長(zhǎng)期記憶性等分形特征，在此基礎(chǔ)上對(duì)干散貨航運(yùn)價(jià)格的波動(dòng)性和風(fēng)險(xiǎn)性進(jìn)行了分析。
[Abstract]:The risk of international dry bulk shipping market mainly comes from the uncertainty of shipping price. With the development of the world economy and the increasing demand for basic raw materials and energy, the global shipping industry is extremely active. More and more attention has been paid to the research of shipping price. Through the summary of the research on the shipping market, the price research of dry bulk shipping market is mostly based on the efficient market theory and the normal distribution as the basic hypothetical condition, so it can not explain the fluctuation of the dry bulk shipping price. The research on stock market price, which is similar to shipping price, is based on fractal theory and fractal distribution. The theoretical basis of this paper analyzes the hypothetical conditions and limitations of efficient market theory and fractal theory in the study of price volatility, which proves that fractal theory is more suitable for the study of price volatility. Fractal distribution has a more general form of distribution, which can better fit the price fluctuation of dry bulk shipping. The third chapter uses histogram test method, JB test method and KS test method to test the distribution normality on different time scales of international dry bulk freight price index. The results show that the international dry bulk freight price index is not fit for normal distribution on any time scale, but has the fractal distribution characteristic of sharp peak and thick tail. Using the method of fractal distribution parameter estimation, the fractal distribution parameters of daily income series of dry bulk freight rate index are estimated. It is further proved that international dry bulk cargo index service is fractal distribution, and its distribution is described in detail. Compared with the fitting results of fractal distribution and normal distribution to dry bulk index distribution, fractal distribution can better reflect the price fluctuation, normal distribution will overestimate the income and underestimate the risk. On the basis of determining the fractal distribution structure of international dry bulk freight rate index, this paper studies its fractal characteristics. By comparing the fractal distribution structure of international dry bulk freight index daily income series, weekly earnings series and monthly earnings series, it is proved that the freight price index has statistical self-similarity structure under different time scales. The box dimension reflects the fractal dimension characteristics of price index, and the freight price index has similar box dimension in different time scales, which indicates that the roughness and complexity of time series are similar. The results of R / S analysis show that the international dry bulk freight index has long-term memory characteristics. By studying the fractal distribution structure and fractal characteristics of international dry bulk shipping price index, the paper proves that the international dry bulk shipping price index service has fractal characteristics such as self-similarity, fractal dimension and long-term memory. On this basis, the volatility and risk of dry bulk shipping prices are analyzed.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F551;F224

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