基于分形理论的国际干散货航运价格指数研究
发布时间：2019-01-16 02:14
【摘要】：国际干散货航运市场的风险主要来源于航运价格的不确定性，随着世界经济的不断发展，各国对基础原材料和能源需求的不断增加，全球航运业异常活跃，对航运价格的研究也越来越受到重视。 通过对航运市场研究综述，干散货航运市场价格研究大都以有效市场理论为基础，以正态分布为基本假设条件，不能够很好地解释干散货航运价格波动，与航运价格具有相似波动性的股票市场价格研究，多以分形理论为基础，以分形分布为基本假设。文章理论基础部分对有效市场理论和分形理论在价格波动研究中假设条件以及局限性进行了分析，从理论上证明分形理论更适合价格波动问题研究，分形分布具有更一般的分布形式，能够更好地对干散货航运价格波动进行拟合。 文章第三章运用直方图检验方法、JB检验方法和KS检验方法对国际干散货运价指数不同时间尺度上分布正态性进行检验，结果表明国际干散货运价指数在任何时间尺度上均不服从正态分布，而具有尖峰厚尾的分形分布特征。运用分形分布参数估计方法，对干散货运价指数日收益序列分形分布参数进行估计，进一步证明国际干散货指数服从分形分布，并对其分布进行详细刻画。对比分形分布和正态分布对干散货指数分布的拟合结果，分形分布能够更好地反映价格波动，正态分布会高估收益，低估风险。 在确定国际干散货运价指数分形分布结构基础上，文章对其分形特征进行研究。通过对比国际干散货运价指数日收益序列、周收益序列和月收益序列分形分布结构，证明运价指数在不同时间尺度下具有统计自相似结构；通过盒维数反映价格指数分形维数特征，运价指数在不同时间尺度下具有相近的盒维数，表明时间序列粗糙程度和复杂程度相似；R/S分析结果证明，国际干散货运价指数具有长期记忆性特征。 文章通过对国际干散货航运价格指数分形分布结构和分形特征研究证明，，国际干散货航运价格指数服从分形分布，具有自相似性、分形维数和长期记忆性等分形特征，在此基础上对干散货航运价格的波动性和风险性进行了分析。
[Abstract]:The risk of international dry bulk shipping market mainly comes from the uncertainty of shipping price. With the development of the world economy and the increasing demand for basic raw materials and energy, the global shipping industry is extremely active. More and more attention has been paid to the research of shipping price. Through the summary of the research on the shipping market, the price research of dry bulk shipping market is mostly based on the efficient market theory and the normal distribution as the basic hypothetical condition, so it can not explain the fluctuation of the dry bulk shipping price. The research on stock market price, which is similar to shipping price, is based on fractal theory and fractal distribution. The theoretical basis of this paper analyzes the hypothetical conditions and limitations of efficient market theory and fractal theory in the study of price volatility, which proves that fractal theory is more suitable for the study of price volatility. Fractal distribution has a more general form of distribution, which can better fit the price fluctuation of dry bulk shipping. The third chapter uses histogram test method, JB test method and KS test method to test the distribution normality on different time scales of international dry bulk freight price index. The results show that the international dry bulk freight price index is not fit for normal distribution on any time scale, but has the fractal distribution characteristic of sharp peak and thick tail. Using the method of fractal distribution parameter estimation, the fractal distribution parameters of daily income series of dry bulk freight rate index are estimated. It is further proved that international dry bulk cargo index service is fractal distribution, and its distribution is described in detail. Compared with the fitting results of fractal distribution and normal distribution to dry bulk index distribution, fractal distribution can better reflect the price fluctuation, normal distribution will overestimate the income and underestimate the risk. On the basis of determining the fractal distribution structure of international dry bulk freight rate index, this paper studies its fractal characteristics. By comparing the fractal distribution structure of international dry bulk freight index daily income series, weekly earnings series and monthly earnings series, it is proved that the freight price index has statistical self-similarity structure under different time scales. The box dimension reflects the fractal dimension characteristics of price index, and the freight price index has similar box dimension in different time scales, which indicates that the roughness and complexity of time series are similar. The results of R / S analysis show that the international dry bulk freight index has long-term memory characteristics. By studying the fractal distribution structure and fractal characteristics of international dry bulk shipping price index, the paper proves that the international dry bulk shipping price index service has fractal characteristics such as self-similarity, fractal dimension and long-term memory. On this basis, the volatility and risk of dry bulk shipping prices are analyzed.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F551;F224
[Abstract]:The risk of international dry bulk shipping market mainly comes from the uncertainty of shipping price. With the development of the world economy and the increasing demand for basic raw materials and energy, the global shipping industry is extremely active. More and more attention has been paid to the research of shipping price. Through the summary of the research on the shipping market, the price research of dry bulk shipping market is mostly based on the efficient market theory and the normal distribution as the basic hypothetical condition, so it can not explain the fluctuation of the dry bulk shipping price. The research on stock market price, which is similar to shipping price, is based on fractal theory and fractal distribution. The theoretical basis of this paper analyzes the hypothetical conditions and limitations of efficient market theory and fractal theory in the study of price volatility, which proves that fractal theory is more suitable for the study of price volatility. Fractal distribution has a more general form of distribution, which can better fit the price fluctuation of dry bulk shipping. The third chapter uses histogram test method, JB test method and KS test method to test the distribution normality on different time scales of international dry bulk freight price index. The results show that the international dry bulk freight price index is not fit for normal distribution on any time scale, but has the fractal distribution characteristic of sharp peak and thick tail. Using the method of fractal distribution parameter estimation, the fractal distribution parameters of daily income series of dry bulk freight rate index are estimated. It is further proved that international dry bulk cargo index service is fractal distribution, and its distribution is described in detail. Compared with the fitting results of fractal distribution and normal distribution to dry bulk index distribution, fractal distribution can better reflect the price fluctuation, normal distribution will overestimate the income and underestimate the risk. On the basis of determining the fractal distribution structure of international dry bulk freight rate index, this paper studies its fractal characteristics. By comparing the fractal distribution structure of international dry bulk freight index daily income series, weekly earnings series and monthly earnings series, it is proved that the freight price index has statistical self-similarity structure under different time scales. The box dimension reflects the fractal dimension characteristics of price index, and the freight price index has similar box dimension in different time scales, which indicates that the roughness and complexity of time series are similar. The results of R / S analysis show that the international dry bulk freight index has long-term memory characteristics. By studying the fractal distribution structure and fractal characteristics of international dry bulk shipping price index, the paper proves that the international dry bulk shipping price index service has fractal characteristics such as self-similarity, fractal dimension and long-term memory. On this basis, the volatility and risk of dry bulk shipping prices are analyzed.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F551;F224
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