中文核心期刊
CSCD来源期刊
中国科技核心期刊
RCCSE中国核心学术期刊

重庆交通大学学报(自然科学版) ›› 2014, Vol. 33 ›› Issue (5): 128-133.DOI: 10.3969/j.issn.1674-0696.2014.05.29

• • 上一篇    下一篇

基于MF-DFA方法的国际油轮运价指数多重分形分析

韩华漪,钱斌,王学锋   

  1. 上海海事大学 交通运输学院,上海 201306
  • 收稿日期:2013-08-05 修回日期:2013-11-01 出版日期:2014-10-15 发布日期:2015-03-10
  • 作者简介:韩华漪(1989—),女,上海人,硕士研究生,主要从事航运金融与航运管理方面的研究。E-mail:one0320@163.com

Multifractal Analysis of the Baltic International Tanker Routes Based on MF-DFA Method

Han Huayi, Qian Bin, Wang Xuefeng   

  1. College of Transport & Communications, Shanghai Maritime University, Shanghai 201306, China
  • Received:2013-08-05 Revised:2013-11-01 Online:2014-10-15 Published:2015-03-10

摘要: 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。

关键词: 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

Abstract: The fractal theory is an extremely important and new non-linear research tool in the modern economics. It was chosen to be applied into the shipping finance creatively. Based on the daily revenue rates data of Baltic Dirty Tanker Index (BDTI) and Baltic Clean Tanker Index (BCTI), the crude oil and refined oil market were proved to have the multi-fractal characteristics through the method of MF-DFA. At the same time, further calculation of the generalized Hurst exponent about the BDTI and the BCTI was carried out, and the conclusion that refined oil market owned more obvious multi-fractal characteristics than the crude oil market did was drawn, which provided a new theoretical idea and direction for BDTI forecasting and risk management.

Key words: traffic transportation enginering;BITR, multi-fractal theory, Baltic Dirty Tanker Index (BDTI), Baltic Clean Tanker Index (BCTI), MF-DFA method

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