多标度分形特征下碳排放权价格预测算法  

Price forecasting algorithm of carbon emission rights under multiscale fractal characteristics

作　　者：杨星 梁敬丽[1] 蒋金良 米君龙 YANG Xing;LIANG Jing-li;JIANG Jin-liang;MI Jun-long(Economic School, Guangzhou College of South China University of Technology, Guangzhou Guangdong 510800, China;Department of Finance, College of Economics, Jinan University, Guangzhou Guangdong 510630, China)

机构地区：[1]华南理工大学广州学院经济学院,广东广州510800 [2]暨南大学经济学院金融系,广东广州510630

出　　处：《控制理论与应用》2018年第2期224-231,共8页Control Theory & Applications

基　　金：国家社科基金重点项目(15AGJ009)资助~~

摘　　要：在非线性范式下,本文构建了基于多贝西小波三层变换和单支重构的遗传算法径向基函数神经网络模型(daubechies wavelet-genetic algorithm-radial basis function neural network model,Db3-GA-RBF),探讨了欧盟碳排放权市场的价格预测问题.研究表明:1)欧盟碳排放权交易市场配额三阶段的现货价格波动均具有局部尺度多样性特征,且第3阶段碳价格序列多重分形特征最强,本质上碳排放权市场是一个多重分形与混沌市场;2)Db3-GA-RBF模型能有效地提高数据的准确性和模型的泛化能力,使模型的预测精度更强;3)与其他预测模型效果相比,基于施瓦茨信息准则(Schwartz’s information criterion,SIC)的Db3-GA-RBF(SIC)模型的预测精度大约提高70%.In this paper,the daubechies wavelet--genetic algorithm--radial basis function neural network(Db3--GA--RBF)model is constructed by nonlinear paradigm,and the price forecasting problem of European Union carbon emissions market(EU--ETS)is discussed.The research showed that:1)The European Union allowance(EUA)spot price fluctuation in the three stage of the EU carbon emissions market has the characteristics of local scale diversity,and the third stage carbon price series has the strongest multifractal characteristics.Essentially,the carbon emission rights market is a multifractal and chaotic market;2)The Db3--GA--RBF model can effectively improve the accuracy of data and the generalization ability of the model,and make the prediction accuracy of the model stronger;3)Compared with other forecasting models,the prediction accuracy of Db3--GA--RBF(SIC)model based on Schwartz's information criterion(SIC)is improved by about70%.

关 键 词：欧盟碳排放权市场 分形与混沌 小波变换 径向基函数网络 预测分析 

分 类 号：F831.5[经济管理—金融学]