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为了分析油价数据多重分形谱变化与油价波动的关系,采用标准配分函数分形分析法,选取2012年12月28日至2013年12月16日和2013年12月30日至2014年12月23日期间的纽约石油期货价格数据,通过建立多重分形模型,分析石油期货价格波动前、中、后阶段波动曲线的开口跨度、顶部变化特征。研究结果表明,当石油价格在某一时点上临近大幅波动时,其多重分形谱将明显加宽,顶部变圆滑,分形谱中心向右(或者左)偏移,谱的右端(或左端)明显降低、逐渐呈左钩(或右钩)状;当石油价格大幅波动结束时,多重分形谱宽度迅速变窄,顶部由圆滑变尖锐。这一研究结论对预判石油价格波动前兆具有重要参考价值。
In order to analyze the relationship between oil price fluctuation and oil price fluctuation, the standard partition function of fractal analysis was used to select the data from December 28, 2012 to December 16, 2013 and December 30, 2013 to December 23, 2014 Period of the New York oil futures price data, through the establishment of multi-fractal model, analysis of the oil futures price fluctuations before, during and after the fluctuation curve of the opening span, the top of the change characteristics. The results show that when the oil price swings near a sharp fluctuation at a certain point, its multifractal spectrum will be widened obviously, the top becomes smooth and the center of the fractal spectrum shifts to the right (or left), the right (or left) of the spectrum is obvious (Or right hook) gradually. When the oil price fluctuated sharply, the width of the multifractal spectrum narrowed rapidly and the top became smooth and sharp. The conclusion of this study has important reference value for predicting the precursor of oil price fluctuations.