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原油期货与现货价格联动性的复杂网络拓扑性质

高湘昀 安海忠 刘红红 丁颖辉

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原油期货与现货价格联动性的复杂网络拓扑性质

高湘昀, 安海忠, 刘红红, 丁颖辉

Analysis on the topological properties of the linkage complex network between crude oil future price and spot price

Gao Xiang-Yun, An Hai-Zhong, Liu Hong-Hong, Ding Ying-Hui
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  • 选取2002年11月25日至2010年9月24日的国际原油期货价格和中国大庆原油现货价格作为样本数据,用于研究原油市场中期货价格和现货价格之间的联动变化规律. 将期货与现货价格的联动性关系转换为由{Y,O,N}组成的联动性符号序列,用符号序列映射为联动性的波动状态;该波动状态由5个符号组成的滑动窗来表示,由此构成177种联动性波动模态. 将该模态作为网络节点,模态之间的转换作为边,构建期货与现货价格加权联动性复杂网络. 对联动性复杂网络的点强度、强度分布、加权集聚系数、平均最短路径、介数集中性和小团体性等
    This paper analyzes the linkage between crude oil future price and spot price based on complex network theory. The linkage between oil future price and Daqing (China) crude oil spot price from November 25, 2002 to September 24, 2010 is transformed into symbolic sequences consisted of three characters {Y, O, N} through the process of coarse graining. The nodes of the complex network are 5-symbol strings in the number of 177 in the form of data window linked in the networks topology by sliding sequence. The complexity of the linkage is verified through analyzing the topological properties of point of strength, strength distribution, weighted clustering coefficient, average shortest paths, betweenness centrality and subgroup in the complex network. The results indicate that the point of strength value of the former 32 nodes is larger, cumulative strength distribution is 73.27%, and most fluctuation models linkages have the character with the same direction. However, it does not show a good correlation between weighted clustering coefficient and point of strength. There are some small cluster groups appearing in the network. These small cluster groups constitute two camps whose cores are YYYYY node and NNNNN node. The results also show that average shortest paths length is 6.969 and 11.3% of nodes occupying 1/4 of centrality function, and there are not many subgroups with close linkage, which verifies the complex characteristics of the linkage fluctuation in the network topology. This paper finds the power law, clustering and periodicity between two kinds of prices in the long run, which is of great significance in grasping the crude oil market, predicting oil price volatility reasonable, formulating price and avoiding risk.
    • 基金项目: 教育部人文社会科学规划基金(批准号:10YJA630001)和国土资源部科研计划(批准号:GT-YQ-QQ-ZH-02-03)资助的课题.
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    Yen H L, Hsu Ning H, Jer S C 2010 Energy Econ. 32 343

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    Chang H, Su B B, Liu C P, Gao M, Di Z R, He D R 2008 Int. J. Mod. Phys. C 19 1537

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    Zhang L, Liu Y 2008 Acta Phy. Sin. 57 5419 (in Chinese)[张 立、刘 云 2008 物理学报 57 5419]

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    Marco A J, Brian H W, Jenny L, Nick A 2000 Ecolog. Model. 131 249

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    Keles A, Kolcak M, Keles A 2008 Know. Based Syst. 21 951

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    Wang W X, Wang B H, Hu B, Yan G, Ou Q 2005 Phys. Rev.Lett. 94 188702

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    Chen Q H, Shi D H 2006 Physica A 360 121

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    Hao B L 1999 Science 51 3 (in Chinese)[郝柏林1999 科学 51 3]

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    Zhou L, Gong Z Q, Zhi R, Feng G L 2008 Acta Phy. Sin. 57 7380 (in Chinese)[周 磊、 龚志强、 支 蓉、 封国林 2008 物理学报 57 7380]

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    Chen W D, Xu H, Guo Q 2010 Acta Phy. Sin. 59 4514 (in Chinese) [陈卫东、 徐 华、 郭 琦 2010 物理学报 59 4514]

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    Yook S H, Jeong H, Barabsi A L, Tu Y 2001 Phys. Rev. Lett. 86 5835

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    Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747

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  • [1]

    Svetlana M, Russell S 2009 Energ. Policy 37 1687

    [2]

    Kaufmann R K, Ullman B 2009 Energy Econ. 31 550

    [3]

    Yen H L, Hsu Ning H, Jer S C 2010 Energy Econ. 32 343

    [4]

    Watts D J, Strogatz S H 1998 Nature 393 6684

    [5]

    Newman M E J 1999 Phys. Lett. A 263 341

    [6]

    Barabsi A L, Albert R 1999 Science 286 509

    [7]

    Andrade J S, Herrmann H J, Andrade R F S, Roberto F S 2005 Phys. Rev. Lett. 94 18702

    [8]

    Wang X F, Chen G R 2002 IEEE Trans. Circuits. Syst. I 49 54

    [9]

    Richard G C, Carla D C G, Shi Z 2010 Comput. Commun.33 259

    [10]

    Li M, Fan Y, Chen J, Gao L, Di Z R, Wu J S 2005 Physica A 350 643

    [11]

    Zhang P P, Chen K, He Y, Zhou T, Su B B, Jin Y D, Chang H, Zhou Y P, Sun L C, Wang B H, He D R 2006 Physica A 360 599

    [12]

    Chang H, Su B B, Liu C P, Gao M, Di Z R, He D R 2008 Int. J. Mod. Phys. C 19 1537

    [13]

    Zhang L, Liu Y 2008 Acta Phy. Sin. 57 5419 (in Chinese)[张 立、刘 云 2008 物理学报 57 5419]

    [14]

    Marco A J, Brian H W, Jenny L, Nick A 2000 Ecolog. Model. 131 249

    [15]

    Keles A, Kolcak M, Keles A 2008 Know. Based Syst. 21 951

    [16]

    Wang W X, Wang B H, Hu B, Yan G, Ou Q 2005 Phys. Rev.Lett. 94 188702

    [17]

    Zhu C P, Zhou T, Yang H J, Xiong S J, Gu Z M, Shi D N, He D R, Wang B H 2008 New J. Phys. 10 23006

    [18]

    Yan G, Zhou T, Wang J, Fu Z Q, Wang B H 2005 Phys. Lett. 22 510

    [19]

    Chen Q H, Shi D H 2006 Physica A 360 121

    [20]

    Hao B L 1999 Science 51 3 (in Chinese)[郝柏林1999 科学 51 3]

    [21]

    Zhou L, Gong Z Q, Zhi R, Feng G L 2008 Acta Phy. Sin. 57 7380 (in Chinese)[周 磊、 龚志强、 支 蓉、 封国林 2008 物理学报 57 7380]

    [22]

    Chen W D, Xu H, Guo Q 2010 Acta Phy. Sin. 59 4514 (in Chinese) [陈卫东、 徐 华、 郭 琦 2010 物理学报 59 4514]

    [23]

    Yook S H, Jeong H, Barabsi A L, Tu Y 2001 Phys. Rev. Lett. 86 5835

    [24]

    Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747

    [25]

    Freeman, L C 1979 Soc. Network. 1 215

    [26]

    Ronald S B 1992 Strnctural Holes:the Social Strulture of Competition(Cambridge: Harvard University Press) p66

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出版历程
  • 收稿日期:  2010-12-05
  • 修回日期:  2011-01-26
  • 刊出日期:  2011-03-05

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