OECD国家天然气进口量的动力学及相关性分析

发布时间：2018-04-05 23:37

本文选题：相关系数　切入点：随机矩阵　出处：《江苏大学》2017年硕士论文

【摘要】：天然气凭借其清洁、方便等特点,越来越受到众多国家的重视。天然气的进出口量影响着整个天然气市场。本文首先通过平均相关系数,基于随机矩阵理论对OECD国家天然气进口量的相关系数矩阵进行研究,探索OECD国家天然气进口量市场所隐含的信息。然后通过特征值熵,线性回归和吸收率的方法分析出了OECD国家天然气进口量市场整体的风险性。最后结合聚类的方法,对OECD国家天然气进口量市场进行了同步性研究及区域划分。本文采用七大地区的天然气进口量,即澳大利亚、挪威、德国、荷兰、加拿大、美国和英国在1999年1月至2016年2月的天然气进口量的月度数据,并在对其经过处理之后计算相关系数矩阵tC)(。通过分析矩阵tC)(的相关系数,结合随机矩阵理论的知识,可以发现OECD各国的天然气进口量是有关联的。同时在分析了平均相关系数之后,进一步发现OECD国家天然气进口量市场的风险性和相关性很大。而在通过对矩阵tC)(的特征值熵的分析后,得出不同的特征值对OECD国家天然气进口量市场有不同的影响。结合相关系数矩阵tC)(,特征向量组合以及线性回归的方法,可以按时间顺序对OECD国家天然气进口量市场进行拆分,同时可以准确地预测OECD国家天然气进口量的波动拐点,并且发现矩阵tC)(隐含了超前的市场信息。通过吸收率的方法进一步研究了OECD国家天然气进口量市场的风险性,发现OECD国家天然气进口量市场的风险性很大而且整个市场很不稳定,2013年以来整个市场的风险一直在持续增大。并且通过动态聚类的方法对OECD国家天然气进口量市场进行了同步性研究和区域划分,得出除了德国以外的其他6个国家的天然气进口量市场具有高度同步性,同时可以将这7个国家分成4类。
[Abstract]:Natural gas with its clean, convenient and other characteristics, more and more attention by many countries.The import and export of natural gas affects the whole natural gas market.In this paper, based on the stochastic matrix theory, the correlation coefficient matrix of the natural gas import volume of OECD countries is studied, and the implicit information of the national natural gas import volume market of OECD is explored in this paper.Then, the risk of OECD national natural gas import market is analyzed by means of eigenvalue entropy, linear regression and absorptivity.Finally, the synchronous research and regional division of OECD national natural gas import volume market are carried out with clustering method.This paper uses the monthly data of natural gas imports from Australia, Norway, Germany, the Netherlands, Canada, the United States and the United Kingdom from January 1999 to February 2016.After processing, the correlation coefficient matrix is calculated.By analyzing the correlation coefficient of matrix tcn and combining the knowledge of stochastic matrix theory, it is found that the natural gas import of OECD countries is related.At the same time, after analyzing the average correlation coefficient, it is further found that the risk and correlation of the natural gas import market in OECD countries is very large.Based on the analysis of the eigenvalue entropy of matrix tCn, it is found that different eigenvalues have different effects on the natural gas import market of OECD countries.Combined with correlation coefficient matrix tCnn, eigenvector combination and linear regression, the market of natural gas import volume of OECD countries can be separated in time order, and the inflection point of fluctuation of natural gas import volume in OECD country can be predicted accurately.And found that the matrix tCU (implied market information ahead of time).Through the method of absorptivity, the risk of OECD national natural gas import volume market is further studied.The risk of the OECD country's natural gas import market is high and the whole market is unstable, and the risks have been increasing since 2013.And through the dynamic clustering method to the OECD national natural gas import volume market synchronism research and the regional division, obtains the other six countries except Germany the natural gas import quantity market to have the high synchronism.At the same time, the seven countries can be divided into four categories.
【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】：O212.1

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