淳正杰 唐小我

摘 要：原油期货市场在调节石油市场供需矛盾和平衡资源分配等方面具有重要的作用，其流动性是关乎原油期货市场健康、可持续发展的一个关键要素。本文首先借助多重分形去趋势波动分析法对原油期货市场流动性的多重分形波动特征进行了检验，并对其呈现多重分形波动的原因进行了分析，随后利用趋势熵维数模型对原油期货流动性的波动趋势进行了预测分析，检验了预测的有效性。研究发现，原油期货市场的流动性具有明显的多重分形特征，且其多重分形特征由相关多重分形和分布多重分形共同造成;与国外成熟原油期货市场相比，中国原油期货市场流动性的多重分形程度更低;趋势熵维数模型可以准确识别和预测中国原油期货市场流动性波动趋势。

关键词：原油期货;流动性;多重分形特征;趋势熵维数

中图分类号：F830.9 文献标识码：A 文章编号：1003-5192（2021）05-0056-07 doi：10.11847/fj.40.5.56

Abstract：Crude oil futures market plays an important role in regulating the contradiction between supply and demand in the oil market and balancing the distribution of resources. Its liquidity is a key factor for the healthy and sustainable development of the crude oil futures market. Firstly， this paper uses the multifractal detrended fluctuation analysis （MF-DFA） to test the multifractal fluctuation characteristics of the liquidity of crude oil futures market. Then， the trend entropy dimension model is used to predict the fluctuation trend of crude oil futures liquidity， and the validity of the prediction is verified. It is found that the liquidity of crude oil futures market has obvious multifractal characteristics， and its multifractal characteristics are caused by correlation multifractality and distribution multifractality. Compared with foreign mature crude oil futures markets， the multifractal degree of liquidity in Chinas crude oil futures market is lower. Trend entropy dimension model can accurately identify and predict the liquidity fluctuation trend of Chinas crude oil futures market.

Key words：crude oil future; market liquidity; multifractal characteristic; trend entropy dimension

1 引言

众所周知，守住不发生系统性金融风险的底线，不仅是十三五规划的三大攻坚战之一，而且也是当前政府在一段时间内反复提及，并重点关注问题。习近平总书记多次指出，金融是现代经济的核心，金融安全是国家安全的重要组成部分，防范化解金融风险是金融工作的永恒主题。在金融市场上，流动性是市场的生命力所在;细数历次系统性金融风险，不管引起这种风险的原因是什么，但是其核心表现都是流动性匮乏[1，2]。从这种意义上来说，防范系统性金融风险核心之一就是防范流动性的系统性匮乏。……