不同时期国际天然气期货、现货价格波动网络演化特征分析

发布时间：2018-03-03 22:29

本文选题：复杂网络　切入点：天然气期货价格　出处：《江苏大学》2017年硕士论文　论文类型：学位论文

【摘要】：天然气作为新世纪新能源的典范,其价格与能源市场的稳定性紧密相关。因此,科学地认识天然气价格波动的特征具有十分重要的现实意义。本文主要从复杂网络的角度探索和分析天然气期货、现货价格的演化规律。本文主要分为两个部分:第一部分以NYHR天然气期货、现货价格数据为基础,利用粗粒化数据处理方法,把天然气期货、现货价格波动序列转化为符号序列,以5天为一个模态,作为网络的节点,以模态间的转换为边,构建天然气期货价格波动网络和天然气现货价格波动网络模型。第二部分着重于分析整体和不同时期天然气期货、现货价格波动网络的拓扑性质,包括强度与强度分布、集聚系数、介数以及网络直径和平均路径长度,探索并分析其波动演化规律。研究发现天然气期货、现货价格网络的核心波动状态集中在度值范围在中间的节点上。天然气期货价格波动网络在整体和不同时期内都服从幂律分布,但是幂律分布的程度不一样,而且天然气现货价格波动网络的幂律分布情况比天然气期货价格波动网络的更繁杂。另外,天然气期货、现货价格网络的集聚性既会发生在强度小的集团中,也会发生在强度大的集团中。我们还发现节点的中介能力不仅和节点强度有关,还和时期的划分有关,而且天然气期货、现货价格网络表现出短程的相关性。最后,我们从网络相似性角度,对比分析了天然气期货价格和现货价格之间具体的联动关系。
[Abstract]:As a model of new energy in the new century, the price of natural gas is closely related to the stability of the energy market. It is very important to understand the characteristics of natural gas price fluctuation scientifically. This paper is mainly divided into two parts: the first part is based on NYHR natural gas futures, spot price data, the use of coarse granulation data processing method, natural gas futures, The spot price fluctuation series is transformed into a symbol sequence, taking 5 days as a modal, as the node of the network, and taking the conversion between modes as the edge. The second part focuses on the analysis of the topological properties of the whole and different periods of natural gas futures, including the distribution of strength and intensity. Gathering coefficient, medium, network diameter and average path length, to explore and analyze its fluctuation evolution law. The core fluctuation state of spot price network is concentrated in the middle node. Natural gas futures price fluctuation network is distributed according to power law in the whole and in different periods, but the degree of power law distribution is different. Moreover, the power law distribution of the spot price fluctuation network of natural gas is more complicated than that of the natural gas futures price fluctuation network. In addition, the agglomeration of the spot price network in natural gas futures occurs in groups with small intensities. We also find that the intermediary capacity of the nodes is not only related to the strength of the nodes, but also to the division of time, and the network of natural gas futures and spot prices shows a short-range correlation. Finally, From the point of network similarity, we compare and analyze the specific linkage between natural gas futures price and spot price.
【学位授予单位】：江苏大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.35;F416.22

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