Hull-White模型和二叉树模型在预测油价及油价波动风险上的应用  

Forecasting the fluctuation of oil price based on Hull-White model and binary tree model

作　　者：尚永庆[1,2] 王震[2] 陈冬月 

机构地区：[1]辽东学院经济学院,丹东118001 [2]中国石油大学(北京)中国能源战略研究院,北京102249 [3]振华石油控股有限公司,北京100031

出　　处：《系统工程理论与实践》2012年第9期1996-2002,共7页Systems Engineering-Theory & Practice

基　　金：教育部哲学社会科学研究重大课题攻关项目(09JZD0038)

摘　　要：油价的预测向来是一项具有重要意义而又艰巨的课题.利用Hull-White模型对油价波动进行预测是一种有意义的尝试,在尝试过程中,发现其在实际应用中的缺陷,之后利用二叉树模型对Hull-White模型做了改进,并以1986年1月3日至2010年2月12日共一千两百多周的周油价数据作为参考值,用定量的方法分析了改进模型的应用,从结果可以看出,Hull-White模型和改进模型都能够有效预测油价的波动范围.但是,改进模型在预测油价波动范围上与原先的Hull-White模型相比有更好的效果.并且具有优势.Oil price forecasting has always been an important and difficult issue. In this paper, Hull-White model was used to predict the volatility of oil prices and we found defects in the practical application, then Hull-White model has been improved by use a binary tree model. Weekly oil prices from January 3, 1986 to February 12, 2010 were used as a reference value to test the application of improved model, the results showed the improved model has a great application value and practical significance in forecasting the fluctuation range of oil price.

关 键 词：HULL-WHITE模型 二叉树 油价预测 油价波动风险 

分 类 号：N949[自然科学总论—系统科学]