| 基于多重分形理论的原油市场耦合关系研究 |
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| 引用本文： | 张德园,王雪飞.基于多重分形理论的原油市场耦合关系研究[J].成都理工大学学报(社会科学版),2014(5):58-64. |
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| 作者姓名： | 张德园 王雪飞 |
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| 作者单位： | 成都理工大学 商学院,成都,610051 |
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| 基金项目： | 国家社会科学基金项目“典型事实、极值理论与金融市场风险传染的定量分析方法研究”(12BGL024)；四川省科技计划项目“投资组合极值风险度量方法及应用”，成都理工大学金融与投资优秀科研创新团队培育资助项目 |
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| 摘 要： | 以美国西德克萨斯轻质原油现货价格（WTI）、英国北海布伦特原油现货价格（Brent）、中东迪拜原油现货价格（Dubai）和中国大庆原油现货价格（Daq）为代表性的研究对象,运用耦合消除趋势波动分析法（CDFA）对国内外原油市场之间耦合关系的多重分形特征进行实证分析。实证结果表明：原油市场之间的耦合关系具有明显的多重分形特征;厚尾分布和长记忆性是产生多重分形特征的主要原因;无论就长记忆性而言,还是就厚尾分布而言,WTI对原油市场耦合关系多重分形特征的影响最为突出。
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| 关 键 词： | 原油市场 CDFA 耦合关系 多重分形 |
Research on the Coupling Relationship of Crude Oil Markets Based on Multifractal Theory |
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| ZHANG Deyuan,WANG Xuefei.Research on the Coupling Relationship of Crude Oil Markets Based on Multifractal Theory[J].Journal of Chengdu University of Technology:Social Sciences,2014(5):58-64. |
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| Authors: | ZHANG Deyuan WANG Xuefei |
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| Institution: | (School of Business, Chengdu University of Technology, Chengdu Sichuan 610051, China) |
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| Abstract: | Coupling Detrended Fluctuation Analysis（CDFA）is used to analyze the multifractal characteristic of coupling relationship between domestic and international crude oil markets,which draw upon WTI,Brent and Dubai crude oil spot prices typical of international crude oil markets and Chinese Daqing crude oil spot prices（Daq）typical of domestic crude oil markets.The empirical results demonstrate that the coupling relationship between four crude oil markets are multifractal and main reasons for the multifractal characteristic are heavy tailed distribution and long memory;for both long memory and heavy tailed distribution,WTI has a significant influence on multifractal property of coupling relationship in crude oil markets. |
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| Keywords: | crude oil markets CDFA coupling relationship multifractality |
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