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This paper analyzes the linkage between crude oil future price and spot price based on complex network theory. The linkage between oil future price and Daqing (China) crude oil spot price from November 25, 2002 to September 24, 2010 is transformed into symbolic sequences consisted of three characters {Y, O, N} through the process of coarse graining. The nodes of the complex network are 5-symbol strings in the number of 177 in the form of data window linked in the networks topology by sliding sequence. The complexity of the linkage is verified through analyzing the topological properties of point of strength, strength distribution, weighted clustering coefficient, average shortest paths, betweenness centrality and subgroup in the complex network. The results indicate that the point of strength value of the former 32 nodes is larger, cumulative strength distribution is 73.27%, and most fluctuation models linkages have the character with the same direction. However, it does not show a good correlation between weighted clustering coefficient and point of strength. There are some small cluster groups appearing in the network. These small cluster groups constitute two camps whose cores are YYYYY node and NNNNN node. The results also show that average shortest paths length is 6.969 and 11.3% of nodes occupying 1/4 of centrality function, and there are not many subgroups with close linkage, which verifies the complex characteristics of the linkage fluctuation in the network topology. This paper finds the power law, clustering and periodicity between two kinds of prices in the long run, which is of great significance in grasping the crude oil market, predicting oil price volatility reasonable, formulating price and avoiding risk.
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Keywords:
- crude oil /
- future price /
- spot price /
- linkage
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[2] Kaufmann R K, Ullman B 2009 Energy Econ. 31 550
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[9] Richard G C, Carla D C G, Shi Z 2010 Comput. Commun.33 259
[10] Li M, Fan Y, Chen J, Gao L, Di Z R, Wu J S 2005 Physica A 350 643
[11] Zhang P P, Chen K, He Y, Zhou T, Su B B, Jin Y D, Chang H, Zhou Y P, Sun L C, Wang B H, He D R 2006 Physica A 360 599
[12] Chang H, Su B B, Liu C P, Gao M, Di Z R, He D R 2008 Int. J. Mod. Phys. C 19 1537
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[14] Marco A J, Brian H W, Jenny L, Nick A 2000 Ecolog. Model. 131 249
[15] Keles A, Kolcak M, Keles A 2008 Know. Based Syst. 21 951
[16] Wang W X, Wang B H, Hu B, Yan G, Ou Q 2005 Phys. Rev.Lett. 94 188702
[17] Zhu C P, Zhou T, Yang H J, Xiong S J, Gu Z M, Shi D N, He D R, Wang B H 2008 New J. Phys. 10 23006
[18] Yan G, Zhou T, Wang J, Fu Z Q, Wang B H 2005 Phys. Lett. 22 510
[19] Chen Q H, Shi D H 2006 Physica A 360 121
[20] Hao B L 1999 Science 51 3 (in Chinese)[郝柏林1999 科学 51 3]
[21] Zhou L, Gong Z Q, Zhi R, Feng G L 2008 Acta Phy. Sin. 57 7380 (in Chinese)[周 磊、 龚志强、 支 蓉、 封国林 2008 57 7380]
[22] Chen W D, Xu H, Guo Q 2010 Acta Phy. Sin. 59 4514 (in Chinese) [陈卫东、 徐 华、 郭 琦 2010 59 4514]
[23] Yook S H, Jeong H, Barabsi A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[24] Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747
[25] Freeman, L C 1979 Soc. Network. 1 215
[26] Ronald S B 1992 Strnctural Holes:the Social Strulture of Competition(Cambridge: Harvard University Press) p66
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[1] Svetlana M, Russell S 2009 Energ. Policy 37 1687
[2] Kaufmann R K, Ullman B 2009 Energy Econ. 31 550
[3] Yen H L, Hsu Ning H, Jer S C 2010 Energy Econ. 32 343
[4] Watts D J, Strogatz S H 1998 Nature 393 6684
[5] Newman M E J 1999 Phys. Lett. A 263 341
[6] Barabsi A L, Albert R 1999 Science 286 509
[7] Andrade J S, Herrmann H J, Andrade R F S, Roberto F S 2005 Phys. Rev. Lett. 94 18702
[8] Wang X F, Chen G R 2002 IEEE Trans. Circuits. Syst. I 49 54
[9] Richard G C, Carla D C G, Shi Z 2010 Comput. Commun.33 259
[10] Li M, Fan Y, Chen J, Gao L, Di Z R, Wu J S 2005 Physica A 350 643
[11] Zhang P P, Chen K, He Y, Zhou T, Su B B, Jin Y D, Chang H, Zhou Y P, Sun L C, Wang B H, He D R 2006 Physica A 360 599
[12] Chang H, Su B B, Liu C P, Gao M, Di Z R, He D R 2008 Int. J. Mod. Phys. C 19 1537
[13] Zhang L, Liu Y 2008 Acta Phy. Sin. 57 5419 (in Chinese)[张 立、刘 云 2008 57 5419]
[14] Marco A J, Brian H W, Jenny L, Nick A 2000 Ecolog. Model. 131 249
[15] Keles A, Kolcak M, Keles A 2008 Know. Based Syst. 21 951
[16] Wang W X, Wang B H, Hu B, Yan G, Ou Q 2005 Phys. Rev.Lett. 94 188702
[17] Zhu C P, Zhou T, Yang H J, Xiong S J, Gu Z M, Shi D N, He D R, Wang B H 2008 New J. Phys. 10 23006
[18] Yan G, Zhou T, Wang J, Fu Z Q, Wang B H 2005 Phys. Lett. 22 510
[19] Chen Q H, Shi D H 2006 Physica A 360 121
[20] Hao B L 1999 Science 51 3 (in Chinese)[郝柏林1999 科学 51 3]
[21] Zhou L, Gong Z Q, Zhi R, Feng G L 2008 Acta Phy. Sin. 57 7380 (in Chinese)[周 磊、 龚志强、 支 蓉、 封国林 2008 57 7380]
[22] Chen W D, Xu H, Guo Q 2010 Acta Phy. Sin. 59 4514 (in Chinese) [陈卫东、 徐 华、 郭 琦 2010 59 4514]
[23] Yook S H, Jeong H, Barabsi A L, Tu Y 2001 Phys. Rev. Lett. 86 5835
[24] Barrat A, Barthelemy M, Pastor S R, Vespignani A 2004 Proc. Nalt. Acad. Sci. USA 101 3747
[25] Freeman, L C 1979 Soc. Network. 1 215
[26] Ronald S B 1992 Strnctural Holes:the Social Strulture of Competition(Cambridge: Harvard University Press) p66
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