| Hull-White模型和二叉树模型在预测油价及油价波动风险上的应用 |
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| 引用本文： | 尚永庆,王震,陈冬月.Hull-White模型和二叉树模型在预测油价及油价波动风险上的应用[J].系统工程理论与实践,2012,32(9):1996-2002. |
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| 作者姓名： | 尚永庆 王震 陈冬月 |
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| 作者单位： | 1. 辽东学院 经济学院, 丹东 118001;2. 中国石油大学(北京) 中国能源战略研究院, 北京 102249;3. 振华石油控股有限公司, 北京 100031 |
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| 基金项目： | 教育部哲学社会科学研究重大课题攻关项目(09JZD0038) |
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| 摘 要： | 油价的预测向来是一项具有重要意义而又艰巨的课题. 利用Hull-White模型对油价波动进行预测是一种有意义的尝试, 在尝试过程中, 发现其在实际应用中的缺陷, 之后利用二叉树模型对Hull-White模型做了改进, 并以1986年1月3日至2010年2月12日共一千两百多周的周油价数据作为参考值, 用定量的方法分析了改进模型的应用, 从结果可以看出, Hull-White模型和改进模型都能够有效预测油价的波动范围, 但是, 改进模型在预测油价波动范围上与原先的Hull-White模型相比有更好的效果, 并且具有优势.
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| 关 键 词： | Hull-White模型 二叉树 油价预测 油价波动风险 |
| 收稿时间： | 2010-04-27 |
Forecasting the fluctuation of oil price based on Hull-White model and binary tree model |
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| SHANG Yong-qing
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WANG Zhen
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CHEN Dong-yue.Forecasting the fluctuation of oil price based on Hull-White model and binary tree model[J].Systems Engineering —Theory & Practice,2012,32(9):1996-2002. |
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| Authors: | SHANG Yong-qing WANG Zhen CHEN Dong-yue |
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| Institution: | 1. School of Economics, Eastern Liaoning University, Dandong 118001, China;2. Academy of Chinese Energy Strategy, China University of Petroleum (Beijing), Beijing 102249, China;3. Zhenhua Oil Co., Ltd, Beijing 100031, China |
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| Abstract: | Oil price forecasting has always been an important and difficult issue,fn this paper,Hull-White model was used to predict the volatility of oil prices and we found defects in the practical application,then Hull-White model has been improved by use a binary tree model.Weekly oil prices from January 3, 1986 to February 12,2010 were used as a reference value to test the application of improved model,the results showed the improved model has a great application value and practical significance in forecasting the fluctuation range of oil price. |
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| Keywords: | Hull-White model binomial tree oil price forecast fluctuation risk of oil price |
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