کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977376 1480126 2016 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Finding the multipath propagation of multivariable crude oil prices using a wavelet-based network approach
ترجمه فارسی عنوان
پیدا کردن انتشار چند لایه از قیمت نفت خام چند متغیره با استفاده از یک رویکرد شبکه مبتنی بر موجک
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• We introduce a novel wavelet-based network analysis framework that integrates optimization wavelet analysis, GRA, complex network theory and BNA.
• There exist various multiscale phenomena of different dynamic correlations and multipath propagations.
• These leading and intermediary oil prices in the process of the multipath propagation are essential for target-oriented decision making.
• There exists a possible stable community structure of the oil price system in OPEC.

The globalization and regionalization of crude oil trade inevitably give rise to the difference of crude oil prices. The understanding of the pattern of the crude oil prices’ mutual propagation is essential for analyzing the development of global oil trade. Previous research has focused mainly on the fuzzy long- or short-term one-to-one propagation of bivariate oil prices, generally ignoring various patterns of periodical multivariate propagation. This study presents a wavelet-based network approach to help uncover the multipath propagation of multivariable crude oil prices in a joint time–frequency period. The weekly oil spot prices of the OPEC member states from June 1999 to March 2011 are adopted as the sample data. First, we used wavelet analysis to find different subseries based on an optimal decomposing scale to describe the periodical feature of the original oil price time series. Second, a complex network model was constructed based on an optimal threshold selection to describe the structural feature of multivariable oil prices. Third, Bayesian network analysis (BNA) was conducted to find the probability causal relationship based on periodical structural features to describe the various patterns of periodical multivariable propagation. Finally, the significance of the leading and intermediary oil prices is discussed. These findings are beneficial for the implementation of periodical target-oriented pricing policies and investment strategies.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 447, 1 April 2016, Pages 331–344
نویسندگان
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