原油价格时间序列自回归子模式传输特征分析
Characteristics Analysis of the Transmission of Autoregressive Sub-Patterns in Crude Oil Price Time Series
为了更好地分析原油现货价格的波动规律,文章以大庆原油日现货价时间序列为研究对象,把计量经济模型与复杂网络方法结合起来,定量地定义自回归模式,运用时间滑动窗的思想设置合理的窗体长度和步长,将时间序列划分为多个子模块,建立了多个自回归子模式.将自回归子模式设置为节点,各子模式之间的传输设置为边,建立自回归子模式传输复杂网络,利用复杂网络的特征与性质,研究大庆原油现货价格时间序列传输特性.文章发现少数自回归子模式和传输模式驱动大庆原油现货价时间序列的振荡,在传输过程中出现对波动的聚类效应,并且某些非主要自回归子模式在原油时间序列中具有高中介能力等.这项研究不仅为分析原油价格时间序列提出了独特的视角,而且为投资者提供了重要信息.
In order to analyse the trend of crude oil prices more effectively, this paper takes Daqing crude oil daily spot price time series as the research object, combines the econometric model with the complex network method, defines the autoregressive mode quantitatively, uses the sliding window idea to set the reasonable form length and the step number, divides the time series into several sub-patterns, and establishes several autoregressive sub-patterns. The autoregressive sub-patterns is set as a node, the transmission between the sub-patterns is set to the edge, the autoregressive sub-pattern transmission complex network is established, and the characteristics and properties of the complex network are used to study the spot price time series characteristics of Daqing crude oil. We find that a small number of autoregressive sub-patterns and transmission modes drive the oscillation of spot price time series of Daqing crude oil, and the clustering effect on fluctuation appears in the transmission process, and some non-main autoregressive sub-models have high intermediary ability in crude oil time series. This work not only proposes a new analysis for the crude oil prices time series but also provides important information for investors.
大庆原油 / 复杂网络 / 自回归子模式 / 时间滑动窗. {{custom_keyword}} /
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