摘要
煤炭作为我国的基础性能源,煤炭价格分析在能源研究中一直至关重要。本文采用相空间重构技术,对国际环球动力煤(NEWC Global Coal)、我国的环渤海动力煤BSPI(5500k)和CII冶金煤(15500K)3种煤炭价格的时间序列,通过提取描述系统混沌吸引子等特征量参数,分析煤炭价格时间序列中的行为混沌特征,并计算得出各自的时间预测范围。研究结果表明:(1)国内外煤炭市场价格是一个复杂的非线性系统,G-P算法计算得出的嵌入维数与关联维数表明其具有明显的分形特征;(2)3种煤炭价格时间序列的嵌入维数为5、6和9,表明对国内外煤炭市场价格的短期预测可以基于相应维数的非线性模型来实现;(3)国内外煤炭的市场价格行为具有混沌特征,依据最大李雅普诺夫指数,计算得出国际和国内煤炭价格的有效预测期分别为5和12个月。研究结论可为相关部门和企业进行煤炭价格预测及相关政策制定提供理论指导和决策借鉴。
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： International Global Thermal Coal（ NEWC Global Coal）, Bohai Sea Thermal Coal BSPI（ 5500 k） and CII Metallurgical Coal（ 15500 K）. 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 than5,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 policies.
作者
王帮俊
赵佳璐
Wang Bangjun;Zhao Jialu(School of Management,China University of Mining and Technology,Xuzhou 221116,China)
出处
《工业技术经济》
CSSCI
北大核心
2018年第7期45-50,共6页
Journal of Industrial Technological Economics
