Fluctuation of autocorrelation in crude oil price
There is autocorrelation in crude oil price due to price inertia,cobweb theorem,error of models or other reasons.Lots of scholars have studied the fluctuation of crude oil price,but few focus on the fluctuation of autocorrelation in crude oil price.Exploring the fluctuating rules of autocorrelation can help us to understand the fluctuating mechanism of crude oil price.In order to study the role of fluctuating modes of autocorrelation in crude oil price which has time series characters,this paper selected international crude oil spot price as sample data to do a research,using the method of statistical physics.The fluctuating modes of autocorrelation were defined by autocorrelation coefficient,symbolization and coarse-graining process.We set modes as nodes and the transformation between modes as edges,and then the fluctuating modes weight network of autocorrelation was built.Thus the study of fluctuation of autocorrelation was transformed to network research.Then some problems,such as statistical properties,behavior of “small world and transmission medium in the network could be analyzed by complex network theory and analytical method.The periodicity of fluctuation was calculated by spectral analysis method in discussion.This research not only describes the fluctuation of time series more exact but also provides idea for research method of fluctuation of univariate autocorrelation.
Autocorrelation Fluctuating modes Crude oil price Complex network
Gao Xiangyun An Haizhong
School of Humanities and Economic Management,China University of Geosciences,Beijing,China;Key Laboratory of Carrying Capacity Assessment for Resource and Environment,Ministry of Land and Resource,Beijing,China;Lab of Resources and Environmental Management,China University of Geosciences,Beijing,China
国际会议
桂林
英文
1-17
2013-07-16（万方平台首次上网日期，不代表论文的发表时间）