Analysis on the Chaotic Characteristic of Coal Price Time Series Based on Phase Space Reconstruction
Wang Bangjun;Zhao Jialu;School of Management,China University of Mining and Technology;
Coal is the basic energy of China. One of the most important issues is analyzing the coal price in energy economic development research. The article adopts the phase space reconstruction theory,selects three time series of coal prices: International Global Thermal Coal( NEWC Global Coal), Bohai Sea Thermal Coal BSPI( 5500 k) and CII Metallurgical Coal( 15500 K). The chaotic characteristics of the coal market price are analyzed and draw the time prediction range by extracting the characteristic parameters which can describe the chaotic attractor. The results show that:( 1) the coal price market is a complex nonlinear system and has obvious fractal characteristics;( 2) the embedded dimension of each coal price time series is greater than5,Indicating that the short-term forecast of international coal prices can be achieved by constructing a corresponding dimensional nonlinear model;( 3) there are a positive maximum Lyapunov index for the three coal price time series which shows that the price behavior coal market is chaotic at home and abroad. The prices of the International coal and domestic coal can be forecast for five months and twelve months. These conclusions can provide theoretical guidance for predicting coal prices and developing relevant policies.
【CateGory Index】： F416.21;F764.1