系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2015年
1期
67~74
,共null页
石油价格 跳扩散模型 波动 结构变点检验 累积量估计
石油價格 跳擴散模型 波動 結構變點檢驗 纍積量估計
석유개격 도확산모형 파동 결구변점검험 루적량고계
oil price; jump-diffusion models; volatility; structural breaks test; cumulants estimation
分析了国际石油市场1986至2012年周价格形成机制的长期演变趋势．在讨论均衡理论基础上，以长期市场供求关系解释了国际油价长期波动现象．基于跳扩散模型拟合石油价格动态过程，利用结构变点检验和累积量估计方法进行了实证研究．历史数据分析表明石油价格具有高波动性、高强度跳跃性和上升漂移特征．此外，模型预测即使当前大幅增加石油投资，未来几年内石油价格变化仍会处于一种高频跳跃的上行阶段．
分析瞭國際石油市場1986至2012年週價格形成機製的長期縯變趨勢．在討論均衡理論基礎上，以長期市場供求關繫解釋瞭國際油價長期波動現象．基于跳擴散模型擬閤石油價格動態過程，利用結構變點檢驗和纍積量估計方法進行瞭實證研究．歷史數據分析錶明石油價格具有高波動性、高彊度跳躍性和上升漂移特徵．此外，模型預測即使噹前大幅增加石油投資，未來幾年內石油價格變化仍會處于一種高頻跳躍的上行階段．
분석료국제석유시장1986지2012년주개격형성궤제적장기연변추세．재토론균형이론기출상，이장기시장공구관계해석료국제유개장기파동현상．기우도확산모형의합석유개격동태과정，이용결구변점검험화루적량고계방법진행료실증연구．역사수거분석표명석유개격구유고파동성、고강도도약성화상승표이특정．차외，모형예측즉사당전대폭증가석유투자，미래궤년내석유개격변화잉회처우일충고빈도약적상행계단．
This paper studies a long-term of crude oil markets and trend of dynamic weekly price during 1986-2012. Based on the discussion of multiple equilibria theory, the paper tries to explain the long cycle phenomenon of crude oil price fluctuations by taking close look at the evolution of the long-term market supply and demand. Resorting to structural breaks test and cumulants test, a jump diffusion model is investigated. Historical data analysis shows that the crude oil prices were characterized by high volatility, high intensity jumps, and upward drifts. Furthermore, the models forecast that even given the current sharp rise in the investment in the oil development, crude oil price will still remain at a high frequency jump and stay in jump for the next couple of years.
