工业技术经济2018，Vol.37Issue(7)：45-50,6.DOI:10.3969/j.issn.1004-910X.2018.07.006
基于相空间重构的煤炭价格时间序列的混沌特征研究
Analysis on the Chaotic Characteristic of Coal Price Time Series Based on Phase Space Reconstruction
王帮俊 1赵佳璐1
作者信息
- 1. 中国矿业大学管理学院,徐州 221116
- 折叠
摘要
Abstract
Coal is the basic energy of China. One of the most important issues is analyzing the coal price in energy economic development research. The article adopts the phase space reconstruction theory, selects three time series of coal prices: Interna-tional Global Thermal Coal ( NEWC Global Coal ), Bohai Sea Thermal Coal BSPI ( 5500k ) and CII Metallurgical Coal (15500K). The chaotic characteristics of the coal market price are analyzed and draw the time prediction range by extracting the characteristic parameters which can describe the chaotic attractor. The results show that: (1) the coal price market is a complex nonlinear system and has obvious fractal characteristics; (2) the embedded dimension of each coal price time series is greater than 5, Indicating that the short-term forecast of international coal prices can be achieved by constructing a corresponding dimensional nonlinear model; (3) there are a positive maximum Lyapunov index for the three coal price time series which shows that the price behavior coal market is chaotic at home and abroad. The prices of the International coal and domestic coal can be forecast for five months and twelve months. These conclusions can provide theoretical guidance for predicting coal prices and developing relevant pol-icies.关键词
相空间重构/煤炭价格/混沌特征/分形维数/李雅普诺夫指数/时间序列Key words
phase space reconstruction/coal price/chaotic feature/fractal dimension/Lyapunov index/time series分类
管理科学引用本文复制引用
王帮俊,赵佳璐..基于相空间重构的煤炭价格时间序列的混沌特征研究[J].工业技术经济,2018,37(7):45-50,6.
