基于多尺度熵的中国原油价格动态特征研究

资源与产业 ›› 2012, Vol. 14 ›› Issue (6): 31-39.

基于多尺度熵的中国原油价格动态特征研究

蔚建国 ^1，2，3 ，雷涯邻 ^1，2，3 ，安海忠 ^1，2，3

1 中国地质大学资源环境管理实验室，北京 100083；2 中国地质大学人文经管学院，北京 100083； 3 国土资源部资源环境承载力评价重点实验室，北京 100083

收稿日期:2012-08-21 修回日期:2012-09-03 出版日期:2012-12-20 发布日期:2012-12-20
作者简介:蔚建国（1970—），男，博士，主要从事资源环境管理方面的研究。E-mail: yujianguo@163,com
基金资助:
国家自然科学基金（71173200）

DYNAMIC FEATURES OF CHINAS CRUDE OIL PRICE BASED ON MULTISCALE ENTROPY

YU Jian guo ^{1, 2, 3} , LEI Ya lin ^{1, 2, 3} , AN Hai zhong ^{1, 2, 3}

1. Lab of Resources and Environmental Management, China University of Geosciences, Beijing 100083, China; 2. School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China; 3. Key Laboratory of Carrying Capacity Assessment for Resource and Environment, MLR, Beijing 100083, China

Received:2012-08-21 Revised:2012-09-03 Online:2012-12-20 Published:2012-12-20

摘要/Abstract

摘要：

运用多尺度熵分析法对中国原油价格运动的演化过程以及原油市场效率进行实证研究。结果表明，原油市场效率非平凡地依赖于时间尺度。一般的模式是，在小时间尺度上(从日到月)市场效率较高，在大时间尺度上(一个季度以上)市场效率较低，这意味着长期原油价格的可预测性相对较高。并且，由于外部冲击或市场内在动力的改变，市场效率随时间和时间尺度发生显著的变化;在考察期内(2003—2011年)，短期原油市场效率水平几乎是一致的，长期原油市场效率水平的演变过程与经济发展轨迹是吻合的。当经济处于繁荣期，长期原油市场效率水平相对较高。当经济处于衰退期，长期原油市场效率水平相对较低。

关键词: 近似熵, 多尺度熵, 原油价格, 市场效率

Abstract:

This paper uses multi scale entropy methods to investigate the evolution of China’s crude oil price and its market efficiency, which non linearly depends on the time scale, higher at small time scale (day to month) and lower at big time scale (over one quarter), which means a higher predictability for a long term. Due to a change in outer impact or market drive, the market efficiency can vary largely with time and time scale. The market efficiency during 2003-2011 remained stable. It catches up with economy in a long term, higher during economic bloom and lower during recession.

Key words: approximate entropy, multi-scale entropy, crude oil price, market efficiency

蔚建国，雷涯邻，安海忠. 基于多尺度熵的中国原油价格动态特征研究[J]. 资源与产业, 2012, 14(6): 31-39.

WEI Jian-guo,LEI Ya-lin,AN Hai-zhong. DYNAMIC FEATURES OF CHINAS CRUDE OIL PRICE BASED ON MULTISCALE ENTROPY[J]. Resources & Industries, 2012, 14(6): 31-39.

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