波罗的海原油和成品油油船运价指数多重分形特征

发布时间：2018-04-30 06:23

本文选题：多重分形消除趋势波动分析(MF-DFA) + 波罗的海原油油船运价指数(BDTI)　；参考：《上海海事大学学报》2016年01期

【摘要】：为更好地把握油船运输市场的动态,提高研究的精确性,基于波罗的海原油油船运价指数(Baltic Exchange Dirty Tanker Index,BDTI)和波罗的海成品油油船运价指数(Baltic Exchange Clean Tanker Index,BCTI)呈现较强的非线性特征,运用多重分形消除趋势波动分析(Multifractal Detrended Fluctuation Analysis,MF-DFA)法对其时间序列进行分析,结果发现BDTI和BCTI均出现明显的多重分形特征,这两个运输市场不遵循有效市场理论.通过对比两者的广义Hurst指数和多重分形谱,发现波罗的海成品油运输市场的分形强度更强.对两个运输市场的多重分形谱进行分析,发现波罗的海成品油运输市场风险更高,需要市场决策者加强关注.该结果可为研究航运市场时间序列的非线性特征提供很好的参考.
[Abstract]:In order to better understand the dynamics of the oil tanker transportation market and improve the accuracy of the research, the Baltic Exchange Dirty Tanker Index (BDTI) and the Baltic Exchange Clean Tanker Index BCTI (Baltic Exchange Clean Tanker Index BCTI) show strong nonlinear characteristics. The multifractal Detrended Fluctuation analysis and MF-DFAA are used to analyze the time series. The results show that both BDTI and BCTI have obvious multifractal characteristics, and the two transport markets do not follow the efficient market theory. By comparing the generalized Hurst exponent and multifractal spectrum, it is found that the fractal intensity of the Baltic oil transportation market is stronger. By analyzing the multifractal spectrum of the two transport markets, it is found that the Baltic oil transport market is riskier and needs more attention by market decision makers. The results can provide a good reference for the study of nonlinear characteristics of time series in shipping market.
【作者单位】：上海海事大学科学研究院;
【基金】：国家自然科学基金(11302125) 上海市教育委员会资助项目(13YZ085)
【分类号】：F416.22

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