基于多重分形的原油和天然气市场风险研究  

The Risk of Crude Oil Market and Natural Gas Market Based on Multifractal Analysis

作　　者：王仲君[1] 李俊[1] WANG Zhongjun;LI Jun(School of Science,WUT,Wuhan 430070,China)

机构地区：[1]武汉理工大学理学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2018年第1期21-25,共5页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金项目(71540027)

摘　　要：在分析原油和天然气市场整体特征的基础上,结合MF-DFA和时间窗提出滑动时间窗风险度量模型用于研究局部分形特征和风险随时间变化的趋势,既可以分析局部分形特征,又可以反映极端风险对分形特征的影响。研究表明原油短期市场特征受每周波动幅度的影响,当原油价格第一次跌破60美元/桶时造成的恐慌最为严重,引发的羊群效应和市场多重分形强度最大。原油和天然气市场的分形特征随时间的变化呈现相反趋势,且原油市场的投资风险大于天然气市场。Based on the analysis of the overall characteristics of the oil and gas market,this paper proposes a sliding time window risk measurement model based on MF-DFA and time window to study the trend of local fractal features and risk changes with time.It can analyze the local fractal characteristics,but also reflect the impact of extreme risk on fractal characteristics,when the research shows that the short-term market characteristics of crude oil by the weekly fluctuations.Crude oil price fell below MYM60 per barrel for the first time caused the strongest panic,the strongest herding behavior and the strongest multifractalstrength.The fractal characteristics of the crude oil market and the natural gas market present an opposite change over time,and the risk of the crude oil market is greater than that of the natural gas market.

关 键 词：能源市场 时间序列分析 滑动时间窗 多重分形 风险 

分 类 号：F830[经济管理—金融学] N949[自然科学总论—系统科学]