波罗的海原油和成品油油船运价指数多重分形特征  

Multifractal characteristics of Baltic exchange dirty tanker index and clean tanker index

作　　者：刘婷婷[1] 林国龙[1] 王直欢[1] 何红弟[1] 

机构地区：[1]上海海事大学科学研究院,上海201306

出　　处：《上海海事大学学报》2016年第1期70-74,共5页Journal of Shanghai Maritime University

基　　金：国家自然科学基金(11302125);上海市教育委员会资助项目(13YZ085)

摘　　要：为更好地把握油船运输市场的动态,提高研究的精确性,基于波罗的海原油油船运价指数(Baltic Exchange Dirty Tanker Index,BDTI)和波罗的海成品油油船运价指数(Baltic Exchange Clean Tanker Index,BCTI)呈现较强的非线性特征,运用多重分形消除趋势波动分析(Multifractal Detrended Fluctuation Analysis,MF-DFA)法对其时间序列进行分析,结果发现BDTI和BCTI均出现明显的多重分形特征,这两个运输市场不遵循有效市场理论.通过对比两者的广义Hurst指数和多重分形谱,发现波罗的海成品油运输市场的分形强度更强.对两个运输市场的多重分形谱进行分析,发现波罗的海成品油运输市场风险更高,需要市场决策者加强关注.该结果可为研究航运市场时间序列的非线性特征提供很好的参考.To better master the development of the tanker transportation market and improve the precision of the research,based on the strong nonlinear characteristics of Baltic Exchange Dirty Tanker Index（ BDTI） and Baltic Exchange Clean Tanker Index（ BCTI）,Multifractal Detrended Fluctuation Analysis（ MFDFA） method is adopted to analyze the time series. It is found that both BDTI and BCTI present obvious multifractal characteristics,and the two transportation markets do not follow the efficient market theory.By comparing the generalized Hurst indexes and multifractal spectrums,it is found that the fractal intensity of the Baltic exchange clean tanker transportation market is stronger than that of the Baltic exchange dirty tanker transportation market. By analyzing the multifractal spectrums of the two transportation markets,it is found that the risk of the Baltic exchange clean tanker transportation market is higher,so poli-cymakers need to strengthen the attention. The results provide good reference for studying the nonlinear characteristics of time series of shipping markets.

关 键 词：多重分形消除趋势波动分析(MF-DFA) 波罗的海原油油船运价指数(BDTI) 波罗的海成品油油船运价指数(BCTI) 多重分形谱 

分 类 号：F551[经济管理—产业经济] F224