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基于MF-DFA方法的国际油轮运价指数多重分形分析

DOI: 10.3969/j.issn.1674-0696.2014.05.29, PP. 128-133

Keywords: 交通运输工程,国际油轮运价指数(BITR),多重分形分析,BDTI指数,BCTI指数,MF-DFA方法,traffictransportationenginering,BITR,multi-fractaltheory,BalticDirtyTankerIndex(BDTI),BalticCleanTankerIndex(BCTI),MF-DFAmethod

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Abstract:

:?分形理论是现代经济学中一种极其重要和全新的非线性研究工具。将分形理论运用到航运金融领域,选择波罗的海原油运价指数(BDTI)与波罗的海成品油运价指数(BCTI)每日收益率数据,运用多重分形消除趋势波动(MF-DFA)方法,证明原油与成品油市场都表现出多重分形特征。通过进一步计算BDTI与BCTI指数样本数据的广义Hurst指数,得到成品油运输市场多重分形特征显著于原油运输市场的结论。该分析结果为研究油轮运价指数预测、风险管理开启一个新的理论研究思路和方向。

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