突发事件对国际石油期货价格波动的时间记忆性分析——基于PPM模型和Hurst指数分析

以国际原油期货价格波动日度数据为样本,通过PPM突变点识别模型,从高频时间序列中出现的众多"跳跃点"中甄别出能够改变时间序列波动趋势的突变点,对相邻两突变点之间样本进行Hurst指数分析,研究突发事件对国际原油期货价格波动的时间记忆性。研究表明,时间序列数据中存在多个"跳跃点",大多数跳跃点并未改变数据波动趋势,少数突变点不但改变数据波动趋势,国际原油期货价格波动受突发事件的影响改变其原有的运动轨迹。此项研究为后续学者提供了一种研究"事件冲击"和"数据时间记忆"的新方法。

International Crude Oil Futures Prices'Mutation Point Identification Research:Based on PPM Change Point Analysis and Hurst Index Analysis

Using the international crude oil futures price fluctuation's day data as samples,by PPM mutation point recognition model,we can find many of the"jump"identify mutations in high frequency time series that can change the variation trend of time series,and then analysis the two adjacent mutation points'Hurst index.This study shows that the time series data has many multiple"hop",most of the jump points did not change the data fluctuation trend,a mutation point not only changed data fluctuation trend, also to change the data dependence.In this paper,the research for subsequent scholars provides a new approach to the study of the"shock".