Multifractal analysis of spot rates in tanker markets and their comparisons with crude oil markets
Multifractal analysis of spot rates in tanker markets and their comparisons with crude oil markets
复制标题
DOI：
10.1016/j.physa.2015.10.061
复制
发表时间：
2016-02
影响因子：
3.3
通讯作者：
Shiyuan Zheng;Xiangang Lan
中科院分区：
文献类型：
--
作者：
Shiyuan Zheng;Xiangang Lan
本文利用多重分形去趋势波动分析(MF-DFA)方法，研究了VLCC/ULCC、Suezmax、Aframax、Panamax和HandySize油轮市场现货运价的动态特征。计算了日收益率的赫斯特指数，特别是与时间相关的赫斯特指数，以刻画不同油轮市场的分形特征。通过比较基于原始数据、洗牌数据和替代数据的多重分形标度指数，确定了这些市场的多重分级性的起源。此外，还利用V-统计量对这些市场的非周期周期进行了检测。最后，对油轮市场和原油大宗商品市场的分形特征进行了比较，结果表明，油轮市场比上游市场具有更强的分形性。
This paper investigates the dynamic features of the spot rates for VLCC/ULCC, Suezmax, Aframax, Panamax and Handysize tanker markets by means of multifractal detrended fluctuation analysis (MF-DFA). The Hurst exponents, especially the time-dependent Hurst exponents, of the daily rate returns are calculated to capture the fractal properties of these different tanker markets. The origins of multifractility in these markets are identified by comparing their multifractal scaling exponents based on the original data, the shuffled data and the surrogate data. Furthermore, the non-periodic cycles for these markets are detected by the V-statistic. Finally, the comparisons of the fractal properties between the tanker markets and the crude oil commodity markets suggest that the tanker markets are more fractal than their upstream counterparts.