在商品市场的非线性依赖关系的和混沌模型
Irina Georgescu1, Jani Kinnunen2
1Department of Economic Informatics and Cybernetics, Bucharest University of Economics, Calea Dorobanți, 010552 Bucharest, Romania.
Entropy (Basel, Switzerland)
|September 27, 2025
概括
这项研究使用混乱理论揭示了黄金,石油,天然气和银市场的复杂,非线性动态. 调查结果显示,对投资组合多样化和风险评估至关重要的是时间变化的关系.
科学领域:
- * 金融计量经济学和复杂系统分析.
- * 混沌理论和信息理论应用于市场动态.
背景情况:
- *主要的商品市场 (黄金,石油,天然气,银) 呈现出复杂的相互依存关系.
- *传统的线性模型可能无法捕捉这些市场中的复杂,非线性关系.
研究的目的:
- * 调查黄金,石油,天然气和银市场之间的非线性动态和相互依存关系.
- * 应用先进的混沌理论和信息理论工具,以更深入地了解市场行为.
- * 评估对投资组合多样化和系统风险管理的影响.
主要方法:
- *使用的每日数据为2020-2024.
- * 应用的混沌理论措施:利亚普诺夫指数,相关性维度,香农,雷尼和相互信息.
- * 应用随机SO(2) 李群方法用于动态相关性建模和波束连贯性用于时间频率分析.
主要成果:
- * 在商品市场动态中发现的低维决定性混乱的证据.
- * 发现了显著的时间变化的非线性关系,特别是在金银和石油天然气对之间.
- * 非传统的方法成功地揭示了隐藏的市场结构和共同流动的动态.
结论:
- *非传统的分析方法对于理解复杂的商品市场行为至关重要.
- *确定了非线性动态和相互依赖性,为金融策略提供了宝贵的见解.
- * 调查结果支持在商品市场改善投资组合多样化和系统风险评估.
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