| 混沌理论对国际原油价格的研究 |
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| 引用本文： | 戴天虹,袁博.混沌理论对国际原油价格的研究[J].机电产品开发与创新,2012,25(3):12-14. |
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| 作者姓名： | 戴天虹 袁博 |
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| 作者单位： | 东北林业大学机电工程学院,黑龙江哈尔滨,150040 |
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| 基金项目： | 黑龙江省自然科学基金资助（F200920） |
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| 摘 要： | 自从2008金融危机以后,石油的价格在经历了从147.25美元/桶到33.20美元/桶的涨跌后,现在维持在100美元/桶左右。有研究表明,石油市场是具有混沌特性的复杂非线性系统。论文先采用互信息法求取延迟时间,CAO方法求嵌入维数,以此为基础对石油价格时间序列进行相空间重构,并通过计算最大Lyapunov指数判定其存在混沌吸引子,并对其建立基于最大Lyapunov指数混沌预测模型。
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| 关 键 词： | 国际油价 混沌理论 延迟时间 嵌入维数 最大Lyapunov指数 |
The Research of Global Oil Price Base on the Chaos Theory |
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| DAI Tian-Hong
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YUAN Bo.The Research of Global Oil Price Base on the Chaos Theory[J].Development & Innovation of Machinery & Electrical Products,2012,25(3):12-14. |
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| Authors: | DAI Tian-Hong YUAN Bo |
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| Affiliation: | (College of Mechanical and Electrical Engineering, Northeast Forestry University, Harbin Heilongjiang 150040, China) |
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| Abstract: | After the 2008 financial crisis, the price of oil had been experienced from 147.25 dollars per barrel to 33.20 dollars per barrel,which is fluctuating around 100 dollars per barrel now.Research has shown that the oil market is a complex non-linear system of chaotic characteristics. Firsdy, this paper uses mutual information method to calculate the delay time, and CAO method to calculate the embedding dimension. Secondly,on the basis of this,the price of oil time sequence phases space reconstruction.Judging the price of oil is chaotic by calculating the largest Lyapounv exponent and making chaotic forecasting model based on largest Lyapounv exponent. |
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| Keywords: | global oil price chaos theory delay time embedding dimension largest Lyapounv exponent |
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