Multifractal analysis of spot rates in tanker markets and their comparisons with crude oil markets

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 cal...

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Bibliographic Details
Published in:Physica A 2016-02, Vol.444, p.547-559
Main Authors: Zheng, Shiyuan, Lan, Xiangang
Format: Article
Language:English
Subjects:
MF-DFA
Non-periodic cycle
Singularity spectrum
Tanker markets
Time-dependent Hurst exponent
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Summary: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. •We investigate the dynamic features of the spot rates for different tanker markets.•The non-periodic cycles for these markets are detected by the V-statistic.•The tanker markets are more fractal than the crude oil commodity markets.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2015.10.061