The Spatiotemporal Dynamics Analysis Of Implied Market Information And Characteristics In The International Crude Oil Price Data

The crude oil is a kind of important chemical raw material and energy, the changes in prices affect all aspects of the economy. It is of great significance to analyze the information and characteristics of the international crude oil market. This paper studies the implied market information of the correlation coefficient matrix of the international crude oil price return based on the random matrix theory. We also use absorption ratio, dynamic synchronous ratio, dynamic non synchronous ratio and dynamic clustering algorithm to further analyze the characteristics of risk and synchronization of the international crude oil market.For this purpose, we choose the monthly crude oil spot price data of major regions from1999.1 to 2015.2: WTI, Brent, Dubai, Cinta, Minas, Tapis and Oman. We calculate the correlation coefficient matrix C(7)t(8) of international crude oil price return.We analyze the statistical properties of correlation coefficients and eigenvalues of correlation coefficient matrix by random matrix theory. The results show that the crude oil prices in different regions are not random independent, they are related to each other. We further analyze the correlation and risk of the international crude oil market by the means of the average correlation coefficients of correlation coefficient matrix C(7)t(8). We find that the correlation and risk of the international crude oil market are high. The maximum eigenvalue of correlation coefficient matrix C(7)t(8) contains a large amount of market information, the second, and the third eigenvalues contain the part of the market information, but the eigenvalues after the third eigenvalue contain little market information. We find that the international crude oil market can be roughly divided into 10 different periods based on eigenvectors and characteristic combination. The time of discontinuity points of the regression coefficients appears earlier than the time of turning points of the average prices of the international crude oil, we can effectively predict the turning points of the international crude oil prices.Therefore, the implied market information of the correlation coefficient matrix is advanced.At last, we study the characteristics of risk and synchronization of the international crude oil market by the methods of the absorption ratio, dynamic synchronous ratio, dynamic non synchronous ratio and dynamic clustering algorithm.The results show that the international crude oil market is full of risk and the risk is also gradually increasing. The synchronous regions of the international crude oil market occupy a dominant position, this shows that the synchronization of the international crude oil market is very strong, the prices of WTI and Brent occupy a very important position in the international crude oil market.