本文選題：原油價(jià)格預(yù)測 + SVM��； 參考：《大連海事大學(xué)》2012年碩士論文

【摘要】：原油作為國際大宗商品,是當(dāng)今世界最為重要的基礎(chǔ)能源,對(duì)一個(gè)國家政治的穩(wěn)定和經(jīng)濟(jì)的發(fā)展至關(guān)重要,原油作為一種戰(zhàn)略物資,往往成為大國博弈的焦點(diǎn)。國際原油的價(jià)格由于受突發(fā)事件的影響,常常偏離了正常的市場價(jià)格水平,原油價(jià)格預(yù)測十分困難。原油價(jià)格預(yù)測問題是關(guān)系到原油生產(chǎn)企業(yè)、原油消費(fèi)企業(yè)和國家利益的重大問題,是國內(nèi)企業(yè)參與國際競爭的重要支撐,原油價(jià)格的巨幅波動(dòng)對(duì)國家的政治安全和經(jīng)濟(jì)安全產(chǎn)生很大的沖擊,因此能否精確的預(yù)測原油價(jià)格顯得尤為重要。本文首先從供需角度分析了國際原油的供給與需求對(duì)石油價(jià)格波動(dòng)的影響；接著分析了歷年發(fā)生的地緣政治等突發(fā)事件對(duì)原油價(jià)格的影響,并對(duì)其進(jìn)行了結(jié)構(gòu)斷點(diǎn)檢測,發(fā)現(xiàn)在那些突發(fā)事件發(fā)生的月份,原油價(jià)格都會(huì)明顯的偏離正常的市場價(jià)格,因此可以認(rèn)為這些突發(fā)事件影響下的原油價(jià)格不是反映真實(shí)的市場的價(jià)格,有理由認(rèn)定為奇異樣本；在此基礎(chǔ)上,運(yùn)用SVM對(duì)原油價(jià)格指數(shù)進(jìn)行預(yù)測,利用遺傳算法對(duì)SVM中的核函數(shù)g、懲罰參數(shù)c和損失函數(shù)epsilon值p進(jìn)行優(yōu)化,然后對(duì)預(yù)測得到的結(jié)果進(jìn)行ARMA修正,盡可能消除由于信息誤差對(duì)于預(yù)測結(jié)果的影響；實(shí)證分析表明,基于模糊粒子GA-SVM-ARMA模型能夠很好的預(yù)測原油價(jià)格。文章最后還分析了原油價(jià)格指數(shù)波動(dòng)對(duì)航運(yùn)業(yè)的影響,發(fā)現(xiàn)原油價(jià)格通過航運(yùn)成本、航運(yùn)需求、航運(yùn)效率三個(gè)方面來影響航運(yùn)市場；為了進(jìn)一步的分析這種影響,建立了原油價(jià)格指數(shù)與BDI指數(shù)的VAR模型,用沖擊響應(yīng)函數(shù)和方差分解方法得到了油價(jià)波動(dòng)對(duì)BDI的沖擊以及貢獻(xiàn)度,結(jié)果表明在航運(yùn)需求周期性不明顯的時(shí)間段里,油價(jià)對(duì)BDI的影響是比較顯著的。
[Abstract]:Crude oil, as an international commodity, is the most important basic energy in the world, which is very important to the political stability and economic development of a country. As a strategic material, crude oil often becomes the focus of the game between big countries. The price of international crude oil is often deviated from the normal market price level because of the sudden events, so it is very difficult to predict the price of crude oil. The prediction of crude oil prices is a major issue related to the interests of crude oil production enterprises, crude oil consuming enterprises and the state. It is also an important support for domestic enterprises to participate in international competition. The huge fluctuation of crude oil price has a great impact on the political and economic security of the country, so it is very important to predict the crude oil price accurately. This paper first analyzes the impact of international crude oil supply and demand on oil price fluctuation from the point of view of supply and demand, and then analyzes the impact on crude oil price caused by unexpected events such as geopolitical events over the years, and carries out structural breakpoints detection. It is found that crude oil prices deviate significantly from normal market prices in the months in which unexpected events occur, so it can be considered that the crude oil prices under the influence of these emergencies do not reflect the true market prices. On this basis, SVM is used to predict the crude oil price index, and genetic algorithm is used to optimize the kernel function g, the penalty parameter c and the epsilon value p of the loss function in SVM. Then the predicted results are modified by ARMA to eliminate the influence of the information error on the prediction results as far as possible. The empirical analysis shows that the oil price can be predicted well based on the fuzzy particle GA-SVM-ARMA model. Finally, the paper analyzes the impact of the fluctuation of crude oil price index on shipping industry, and finds that crude oil price affects the shipping market through three aspects: shipping cost, shipping demand and shipping efficiency. The VAR model of crude oil price index and BDI index is established, and the impact and contribution of oil price fluctuation to BDI are obtained by means of shock response function and variance decomposition method. The results show that the periodicity of shipping demand is not obvious in the time period. The effect of oil price on BDI is significant.
【學(xué)位授予單位】：大連海事大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F416.22;F551;F224

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本文編號(hào)：1903451