基于跳跃时间和幅度的BDI指数波动幂律分布特性研究

发布时间：2018-06-22 07:30

本文选题：BDI指数 + 幂律分布特性　；参考：《系统工程理论与实践》2017年03期

【摘要】：BDI指数是国际航运市场的风向标,摸清BDI指数波动幂律分布特性,对于进一步掌握运费规律、预测BDI趋势、协助航运决策等方面具有重要意义.基于此,本文对已运行30年BDI指数的波动幂律分布特性进行了详细研究,主要特色有:一是借助Pareto、Exponential以及Fokker-Planck函数首次深入探讨了BDI指数波动幂律分布特性.二是在跳跃识别的基础上,构建了基于跳跃时间和跳跃幅度两标度的BDI指数波动幂律分布特性分析模型,并转化成最小二乘法的线性回归测算模型.三是对BDI指数日、周和月增长率的跳跃时间和跳跃幅度幂律分布特性进行了实证分析.结果表明:BDI指数具有尖峰薄尾的增长率分布和波动聚集性;Fokker-Planck函数拟合BDI指数增长率跳跃时间更合适;Exponential函数拟合BDI指数增长率跳跃幅度更合适;BDI指数增长率跳跃时间和跳跃幅度都具有薄尾幂律特性,且向上、向下幂律呈现对称性.
[Abstract]:BDI index is the wind vane of the international shipping market. It is of great significance to find out the distribution characteristics of the power law of the fluctuation of the BDI index for further understanding the freight law, forecasting the BDI trend and assisting the shipping decision. Based on this, the characteristics of the power law distribution of the BDI index have been studied in detail in this paper. The main characteristics are as follows: firstly, the distribution characteristics of the power law of the BDI index are discussed for the first time with the help of the Pareto exponential and the Fokker-Planck function. Secondly, on the basis of jump recognition, a BDI exponent power law distribution model based on the two scales of jump time and jump amplitude is constructed and transformed into a linear regression model based on the least square method. Thirdly, the paper makes an empirical analysis on the distribution of jump time and power law of jump amplitude of the growth rate of BDI index per day, week and month. The results show that the Fokker-Planck function fitting the jump time of BDI index growth rate is more suitable to fit the jump amplitude of BDI index growth rate when the growth rate of BDI index jumps. The interval and jump amplitude have the characteristics of thin tail power law, And upward and downward power law presents symmetry.
【作者单位】：大连海事大学交通运输管理学院;
【基金】：国家自然科学基金(71273037) 交通运输部交通软科学项目(2013-322-225-240) 辽宁省高校创新团队支持计划资助(LT2013011) 长江学者和创新团队发展计划资助(IRT13048)~~
【分类号】：F551

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