能源期货价格的演化分析及定价效率实证研究  

Empirical Analysis on Evolution Characteristics and Pricing Efficiency of Energy Futures Prices

作　　者：王明刚[1,2,3] 田立新[1,2] 许华[3] 

机构地区：[1]南京师范大学数学科学学院,江苏南京210042 [2]江苏大学能源发展与环境保护战略研究中心,江苏镇江212013 [3]南京师范大学泰州学院,江苏泰州225300

出　　处：《数学的实践与认识》2016年第4期60-73,共14页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71503132;51276081;91546118);国家社会科学基金重大项目(12&ZD062);江苏省青蓝工程资助(SJ201423);江苏省高校自然科学重大项目(14KJA110001);江苏省高校自然科学面上项目(14KJD110005)

摘　　要：选取国际原油、汽油和取暖油期货价格收益率数据序列,利用相空间重构技术论证能源期货市场是一复杂的非线性系统,通过最大Lyapunov指数,Hurst指数,关联维度和Kolmogorov熵的计算,得出能源期货价格的混沌特征和混沌程度的估计.利用相空间重构数据,基于多种计量经济学模型,定义了价格发现和风险转移系数,对能源期货市场定价效率进行实证分析,研究发现:原油、汽油、取暖油期货和现货市场中,期货价格分别承担了86.30%、83.48%和80.30%的价格发现功能;原油与取暖油期货市场中,原油期货价格承担了65.20%的价格发现功能;计算得到,原油、汽油、取暖油期货市场的风险转移系数分别为0.6807、0.9740和0.8940,说明原油期货市场的风险转移功能远高于汽油、取暖油期货市场的风险转移功能,同时得到,原油与取暖油期货市场间的风险转移功能较低.This paper empirically investigates the evolution characteristics and pricing efficiency of energy futures prices using some complexity theories and some econometric models.Firstly,based on phase space reconstruction,it is proved that the energy prices time series have the chaotic behavior by calculating the Lyapunov exponents,Hurst exponents,correlation dimension and Kolmogorov entropy.Secondly,by calculating the price discovery and risk transfer coefficients and the results indicate that,first,86.30%,83.48%and 80.30%of the price discovery function is performed by futures in crude oil,gasoline and heating oil markets respectively,implying the greater contribution of the futures markets compared with that of the spot markets.Second,crude oil futures price performs the risk transfer function much better than gasoline and heating oil futures prices in interactions with their respective spot prices.And the risk transfer function between crude oil and heating oil futures markets is not well performed.

关 键 词：能源期货市场 相空间 混沌特征 价格发现 风险转移 

分 类 号：F724.5[经济管理—产业经济] F764.1