大数据驱动下石油市场微观机理与风险管理范式研究

项目名称： 大数据驱动下石油市场微观机理与风险管理范式研究

项目编号： No.91546109

项目类型： 重大研究计划

立项/批准年度： 2016

项目学科： 宏观管理与政策

项目作者： 姬强

作者单位： 中国科学院科技战略咨询研究院

项目金额： 43万元

中文摘要： 进入21世纪，大数据挖掘和分析技术赋予石油金融理论新的研究内涵，基于Web信息的市场风险与策略分析手段正在成为新的研究热点。然而，应用大数据量化分析石油市场微观机理和风险管理范式的理论体系还远没有形成。本项目尝试从海量数据中准确挖掘、动态监测和高维分析市场微观行为，综合运用计量经济学、复杂网络理论、网络传播动力学和行为金融理论，提出一套基于Web数据的新的风险管理方法体系，探索大数据模式下石油市场风险管理的新范式。本项目以石油市场为研究主体，以Web信息对石油市场微观行为的传导机制为研究主线，主要包含基于Web数据的市场信息提取方法研究、基于Web数据的石油市场波动机理研究、基于Web数据的石油市场风险传染机制研究和基于Web数据的石油市场风险预测研究等研究内容。通过研究，从研究视角和方法论上扩展现有的石油金融理论，最终为即将上市的上海原油期货机制设计和我国石油金融体系的建设提供理论支持。

中文关键词： 石油金融；大数据；风险管理

英文摘要： Entering into 21st century, big data mining and analysis technology leads to new research content of oil financial theory. Market risk and strategy analysis based on Web information is becoming a new research focus in oil market. However, the theoretical system of application of big data quantifying the micro mechanism and risk management paradigm of oil market has not yet formed. This project tries to accurately analyze, monitor and capture micro behavior of oil market, comprehensively use econometrics, complex network theory, network transmission dynamics and behavioral finance theory to put forward a new theory system of risk management based on Web data analysis. This project takes oil market as research subject and takes the transmission mechanism of Web information to oil market as the main goal, which mainly includes Web data driven market information extraction method, oil market fluctuation mechanism, research on risk contagion mechanism and research on oil market risk prediction. Based on these studies, we can expand the existing oil finance theory from the perspective of research idea and methodology, and provide theoretical support and policy recommendations for upcoming Shanghai crude oil futures and the construction of China’s oil financial system.

英文关键词： Oil finance;Big data;Risk management