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为了分析国际石油价格波动的变化特征,依据粗粒化方法,将1986年1月2日至2009年11月17日美国西得克萨斯原油现货逐日离岸价格转化为由3个表示涨落字符{R,e,D}构成的102种5字串组成的价格波动状态为网络节点(即连续5天的价格波动组合),按照时间顺序连边,构建原油价格有向加权波动网络,用复杂网络拓扑结构记录原油价格波动周涨落的信息,计算网络的度与度分布、聚类系数、最短路径长度等动力学统计量.结果表明,石油价格序列的波动网络节点度与累积度分布、节点度值与秩呈幂律分布,前32个节点(模态)的节点度值比较大,且这些石油价格波动模态中都包含表示价格变化上升趋势的字符.原油价格波动网络部分节点的中介中心性能力较强,24.5%的节点承担了网络80.97%的中介中心性功能,平均路径长度2.285,距离是2和3的情况占总数的86.8%,从网络结构拓扑性质这一新的角度验证了原油价格变化的复杂特征.这些对于我们识别具有拓扑统计重要性的节点模态,理解原油价格波动的内在规律和价格变化信息的传导有一定指导意义.
In order to analyze the changing characteristics of international oil price volatility, according to the method of coarse graining, the daily FOB price of west Texas crude oil spot from January 2, 1986 to November 17, 2009 is converted into a set of three characters representing fluctuation character {R , e, D} constitute a network node (ie, a combination of price volatility for five consecutive days) composed of 102 5-character strings, and construct the directional weighted volatility network of the crude oil price according to the time order, and use a complex network topology The structure records the fluctuating weekly fluctuations of the crude oil price, and calculates the dynamics and statistic of degree and degree distribution, clustering coefficient and shortest path length of the network.The results show that the node degree and cumulative degree of fluctuation network of oil price series, The value and rank are power-law distribution, the first 32 nodes (modal) node value is relatively large, and these oil price volatility patterns contain characters that indicate the upward trend of price changes. The crude oil price fluctuation network nodes in the intermediary center 24.5% of the nodes bear the intermediary function of 80.97% of the network, the average path length is 2.285, and the distance is 2 and 3, accounting for 86.8% of the total. Based on the topological nature of the network structure The angle verified the complex features of crude oil price changes. For us to identify these nodes modal statistical significance topology, understanding the inherent laws of crude oil price fluctuations and price changes of information conduction have some guidance.