物理学报2011，Vol.60Issue(6)：843-852,10.
原油期货与现货价格联动性的复杂网络拓扑性质
Analysis on the topological properties of the linkage complex network between crude oil future price and spot price
摘要
Abstract
This paper analyzes the linkage between crude oil future price and spot price based on complex network theory. The linkage between oil future price and Daqing ( China) crude oil spot price from November 25 , 2002 to September 24, 2010 is transformed into symbolic sequences consisted of three characters { Y, O, N } through the process of coarse graining. The nodes of the complex network are 5-symbol strings in the number of 177 in the form of data window linked in the network' s topology by sliding sequence. The complexity of the linkage is verified through analyzing the topological properties of point of strength, strength distribution, weighted clustering coefficient, average shortest paths, betweenness centrality and subgroup in the complex network. The results indicate that the point of strength value of the former 32 nodes is larger, cumulative strength distribution is 73. 27% , and most fluctuation models' linkages have the character with the same direction. However, it does not show a good correlation between weighted clustering coefficient and point of strength. There are some small cluster groups appearing in the network. These small cluster groups constitute two camps whose cores are YYYYY node and NNNNN node. The results also show that average shortest paths length is 6.969 and 11.3% of nodes occupying 1/4 of centrality function, and there are not many subgroups with close linkage, which verifies the complex characteristics of the linkage fluctuation in the network topology. This paper finds the power law, clustering and periodicity between two kinds of prices in the long run, which is of great significance in grasping the crude oil market, predicting oil price volatility reasonable, formulating price and avoiding risk.关键词
原油/期货价格/现货价格/联动性Key words
crude oil/ future price/ spot price/ linkage引用本文复制引用
高湘昀,安海忠,刘红红,丁颖辉..原油期货与现货价格联动性的复杂网络拓扑性质[J].物理学报,2011,60(6):843-852,10.基金项目
教育部人文社会科学规划基金(批准号:10YJA630001)和国土资源部科研计划(批准号:GT-YQ-QQ-ZH-02-03)资助的课题. （批准号:10YJA630001）
