基于Zipf分析的Brent原油价格行为的实证研究

Empirical Study on Zipf Analysis of Brent Crude Oil Price Behaviors

对国际汽油主要基准价格———Brent原油价格时间序列,结合投机者的投资时间尺度τ和收益预期ε进行研究,运用Z ipf分析方法,将石油价格的τ-收益率序列映射为三字符序列(绝对频率)和二字符序列(相对频率);通过在不同的时间标度下分析序列中价格波动的涨跌信息,得到价格看涨概率与看跌概率的偏差并结合τ和ε进行了初步分析;通过对绝对和相对频率的分析,探讨了τ和ε对于价格行为的影响。

Based on the time series of Brent crude oil prices, this paper analyses the information of price fluctuations with the two important parameters τ （speculator＇ s time scale of investment） and ε （speculator＇ s expectation of returns） by using Zipf analysis technique, i.e. by mapping the τ- returns of prices into binary sequences （relative frequencies） and 3-charactered sequences （absolute frequencies）, which containing the fundamental information of price fluctuations. According to the results of above mentioned analysis, this paper explores the parameters empirically and identifies various types of speculator＇ s cognition patterns of price behaviors. Finally, this paper discusses the causes of formation of those cognition patterns and enormous distortion of price behaviors by the foregoing patterns.