关键词: 航油, 套期保值, 时间序列, ARIMA 模型, 神经网络

Abstract:

In recent years,the volatility of international fuel prices has a serious impact to the domestic civil aviation market,to avoid the operational risk along with sharp fluctuations in fuel prices,aviation fuel hedging is hold by domestic major airlines. From this point,the fuel hedging strategy has aroused widespread concern for companies. NYMEX heating oil is taken as a fuel hedging subject matter,using the ARIMA model and neural network model to predict the short-term fluctuations of fuel prices,the two models'predicted results are compared at last. After predicting the NYMEX heating oil short-term price,considering the risk preference parameters of hedging counterparty,taking the hedging utility maximization as an object function,one reasonable hedging ratio is finally obtained.

Key words: aviation fuel, hedging, time series, ARIMA model, neural network