Freight market dynamics research with fractal analysis methods

Onyshchenko S. P. and Shiheeva E. D.
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Onyshchenko S. P.: ONMU
Shiheeva E. D.: ONMU

Вісник економіки транспорту і промисловості, 2014, issue 47, 195-201

Abstract: This article presents the results of research of fractal structure in the time series of timecharter rates during the period of crisis in dry bulk market; its spectral properties, existence of long-term memory and scale invariance. Research is executed on different sections of the tonnage of freight market (Panamax, Capesize) identified the main causes of the same and opposite behavior of rates in these sections. As a result, the following conclusions were made: 1) revealed multifractal structure of time series that were studied, with persistent properties; 2) confirmed the hypothesis D.Sornette of self-organization of the market in the aftermath of the crisis and described the behavior of "super trader" Panamax markets and Capesize; 3) quantitatively proved the most Panamax market adaptability to unforeseen changes. Thus, the methods of fractal analysis can be used for forecasting freight market dynamics, complementing the conventional methods of correlation and regression analysis.

Keywords: ФРАХТОВИЙ РИНОК СУХОВАНТАЖНОГО ТОННАЖУ; БАЛТіЙСЬКИЙ ФРАХТОВИЙ іНДЕКС; ФРАКТАЛЬНИЙ АНАЛіЗ; ДОВГОСТРОКОВА ПАМ''ЯТЬ (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:scn:031720:15659389

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