کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7379150 1480129 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multifractal analysis of spot rates in tanker markets and their comparisons with crude oil markets
ترجمه فارسی عنوان
تجزیه و تحلیل مولتی فکتال از نرخ نقطه در بازار تانکر و مقایسه آنها با بازارهای نفت خام
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 444, 15 February 2016, Pages 547-559
نویسندگان
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