国际原油价格拐点分析及统计推断

发布时间：2018-07-10 16:50

本文选题：原油价格 + 拐点　；参考：《中国管理科学》2017年05期

【摘要】：原油具有战略和金融双重属性。原油价格波动分析一直是全球的研究热点,特别是油价大幅波动的拐点对能源金融行业的相关人员至关重要。基于此,本文对国际原油价格拐点分析及统计推断进行了探索性研究,以原油月度价格作为研究对象,集成构建PPM-KM国际原油价格拐点分析模型以适应国际原油价格拐点后验概率的测算、聚类及识别。首先,基于PPM模型测算出国际原油价格序列突变的后验概率,并结合K-Means聚类方法给出原油价格突变后验概率识别阈值,对原油价格的历史突变进行识别和分析。其次,以比较符合描述突变规律的泊松分布,对数-正态分布,幂律分布三种分布,构建国际原油价格拐点统计推断模型,对原油月度价格的突变规律进行概率模拟并比较分析。结果表明,1986年-2015年期间共发生37次显著的油价突变。在不同的时点,市场供需结构的失衡、突发地缘政治事件、美元指数、全球经济发展情况分别成为油价突变的主因。通过对油价突变点时间间隔的分布拟合,本文初步认为国际原油月度价格拐点的时间间隔服从幂律分布的假设是合理的。
[Abstract]:Crude oil has the dual attribute of strategy and finance. The analysis of crude oil price fluctuation has been a global research hotspot, especially the inflection point of oil price volatility is very important to the related personnel of energy finance industry. Based on this, this paper makes an exploratory study on the inflexion point analysis and statistical inference of international crude oil price, taking the monthly crude oil price as the research object. The inflection point analysis model of PPM-KM international crude oil price is integrated to adapt to the calculation, clustering and identification of the posterior probability of international crude oil price inflection point. Firstly, based on the PPM model, the posterior probability of the international crude oil price sequence mutation is calculated, and the threshold value of the oil price mutation posteriori probability identification is given in combination with K-Means clustering method, and the historical mutation of the crude oil price is identified and analyzed. Secondly, by comparing the Poisson distribution, logarithmic normal distribution and power law distribution which accord with the description of mutation law, the statistical inference model of inflection point of international crude oil price is constructed. The probability simulation and comparative analysis of the sudden change rule of monthly crude oil price are carried out. The results show that 37 significant oil price mutations occurred between 1986 and 2015. At different times, the imbalance of market supply and demand structure, the sudden geopolitical events, the dollar index and the global economic development are the main reasons for the sudden change of oil price. By fitting the time interval distribution of the oil price abrupt change point, this paper preliminarily thinks that the time interval distribution of the inflexion point of international crude oil is reasonable.
【作者单位】：西安电子科技大学经济与管理学院;中国科学院大学经济与管理学院;陕西师范大学国际商学院;湖南大学工商管理学院;
【基金】：国家自然科学基金面上项目(71473155) 陕西师范大学中央高校特别资助项目(14SZTZ03) 陕西省青年科技新星计划项目(2016KJXX-14) 西安电子科技大学2016年度基本科研业务费自由控索类项目(JB160603)
【分类号】：F416.22;F764.1

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