原油价格预测及其波动对航运业影响分析

发布时间：2018-05-18 00:01

本文选题：原油价格预测 + SVM　；参考：《大连海事大学》2012年硕士论文

【摘要】：原油作为国际大宗商品,是当今世界最为重要的基础能源,对一个国家政治的稳定和经济的发展至关重要,原油作为一种战略物资,往往成为大国博弈的焦点。国际原油的价格由于受突发事件的影响,常常偏离了正常的市场价格水平,原油价格预测十分困难。原油价格预测问题是关系到原油生产企业、原油消费企业和国家利益的重大问题,是国内企业参与国际竞争的重要支撑,原油价格的巨幅波动对国家的政治安全和经济安全产生很大的冲击,因此能否精确的预测原油价格显得尤为重要。本文首先从供需角度分析了国际原油的供给与需求对石油价格波动的影响；接着分析了历年发生的地缘政治等突发事件对原油价格的影响,并对其进行了结构断点检测,发现在那些突发事件发生的月份,原油价格都会明显的偏离正常的市场价格,因此可以认为这些突发事件影响下的原油价格不是反映真实的市场的价格,有理由认定为奇异样本；在此基础上,运用SVM对原油价格指数进行预测,利用遗传算法对SVM中的核函数g、惩罚参数c和损失函数epsilon值p进行优化,然后对预测得到的结果进行ARMA修正,尽可能消除由于信息误差对于预测结果的影响；实证分析表明,基于模糊粒子GA-SVM-ARMA模型能够很好的预测原油价格。文章最后还分析了原油价格指数波动对航运业的影响,发现原油价格通过航运成本、航运需求、航运效率三个方面来影响航运市场；为了进一步的分析这种影响,建立了原油价格指数与BDI指数的VAR模型,用冲击响应函数和方差分解方法得到了油价波动对BDI的冲击以及贡献度,结果表明在航运需求周期性不明显的时间段里,油价对BDI的影响是比较显著的。
[Abstract]:Crude oil, as an international commodity, is the most important basic energy in the world, which is very important to the political stability and economic development of a country. As a strategic material, crude oil often becomes the focus of the game between big countries. The price of international crude oil is often deviated from the normal market price level because of the sudden events, so it is very difficult to predict the price of crude oil. The prediction of crude oil prices is a major issue related to the interests of crude oil production enterprises, crude oil consuming enterprises and the state. It is also an important support for domestic enterprises to participate in international competition. The huge fluctuation of crude oil price has a great impact on the political and economic security of the country, so it is very important to predict the crude oil price accurately. This paper first analyzes the impact of international crude oil supply and demand on oil price fluctuation from the point of view of supply and demand, and then analyzes the impact on crude oil price caused by unexpected events such as geopolitical events over the years, and carries out structural breakpoints detection. It is found that crude oil prices deviate significantly from normal market prices in the months in which unexpected events occur, so it can be considered that the crude oil prices under the influence of these emergencies do not reflect the true market prices. On this basis, SVM is used to predict the crude oil price index, and genetic algorithm is used to optimize the kernel function g, the penalty parameter c and the epsilon value p of the loss function in SVM. Then the predicted results are modified by ARMA to eliminate the influence of the information error on the prediction results as far as possible. The empirical analysis shows that the oil price can be predicted well based on the fuzzy particle GA-SVM-ARMA model. Finally, the paper analyzes the impact of the fluctuation of crude oil price index on shipping industry, and finds that crude oil price affects the shipping market through three aspects: shipping cost, shipping demand and shipping efficiency. The VAR model of crude oil price index and BDI index is established, and the impact and contribution of oil price fluctuation to BDI are obtained by means of shock response function and variance decomposition method. The results show that the periodicity of shipping demand is not obvious in the time period. The effect of oil price on BDI is significant.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F416.22;F551;F224

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