Title
Multifractal features of spot rates in the liquid petroleum gas shipping market Multifractal features of spot rates in the liquid petroleum gas shipping market
Author
Faculty/Department
Faculty of Applied Economics
Institute for Transport en Maritime Management (ITMMA)
Publication type
article
Publication
Guildford ,
Subject
Economics
Source (journal)
Energy economics. - Guildford
Volume/pages
33(2011) :1 , p. 88-98
ISSN
0140-9883
ISI
000286852500009
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
We investigate for the first time the spot rate dynamics of Very Large Gas Carriers (VLGCs) by means of multifractal detrended fluctuation analysis (MF-DFA) and rescaled range (R/S) analysis. Both non-parametric methods allow for a rigorous statistical analysis of the freight process by detecting correlation, scaling and fluctuation behavior regardless of nonlinearity issues. By applying different data-frequencies and a temporal framework, the Hurst exponents indicate that freight rates exhibit trend-reinforcement and persistence subject to limited time-dependency and controlled volatility. The found long-range dependence corroborates that a predictive freight model can be built undermining the efficient market hypothesis. Memory effects seem to each time build up until they are interrupted by seasonal transitions, stochastic events or cycles which all spark a sudden loss in correlations or increase in nonlinearities. The surrogate and shuffling data procedures demonstrate that, dependent on the data-frequency used, memory effects and fat-tail distributions should be contained differently in freight rate models.
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