| 原油期货与现货价格联动性的复杂网络拓扑性质 |
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| 引用本文： | 高湘昀,安海忠,刘红红,丁颖辉.原油期货与现货价格联动性的复杂网络拓扑性质[J].物理学报,2011,60(6):68902-068902. |
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| 作者姓名： | 高湘昀 安海忠 刘红红 丁颖辉 |
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| 作者单位： | 1. 中国地质大学,北京,资源环境管理实验室,北京100083;中国地质大学,北京,人文经管学院,北京100083
2. 中国地质大学,北京,人文经管学院,北京100083 |
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| 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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| 摘 要： | 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
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| 关 键 词： | 原油 期货价格 现货价格 联动性 |
| 收稿时间： | 2010-12-05 |
Analysis on the topological properties of the linkage complex network between crude oil future price and spot price |
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| Gao Xiang-Yun,An Hai-Zhong,Liu Hong-Hong,Ding Ying-Hui.Analysis on the topological properties of the linkage complex network between crude oil future price and spot price[J].Acta Physica Sinica,2011,60(6):68902-068902. |
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| Authors: | Gao Xiang-Yun An Hai-Zhong Liu Hong-Hong Ding Ying-Hui |
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| Institution: | Lab of Resources and Environmental Management, China University of Geosciences, Beijing 100083, China; School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China;Lab of Resources and Environmental Management, China University of Geosciences, Beijing 100083, China; School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China;School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China;School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China |
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| Abstract: | 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 network's topology by sliding sequence.The complexi... |
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| Keywords: | crude oil future price spot price linkage |
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