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。
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.
出处
《资源与产业》
2012年第6期31-39,共9页
Resources & Industries
基金
国家自然科学基金(71173200)
关键词
近似熵
多尺度熵
原油价格
市场效率
approximate entropy
multi-scale entropy
crude oil price
market efficiency