Forecasting dirty tanker freight rate index by using stochastic differential equations

Hossein Jafari and Ghazaleh Rahimi ()
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Hossein Jafari: Department of Mathematics, Chabahar Maritime University, Iran
Ghazaleh Rahimi: Navigation Engineering Department, Chabahar Maritime University, Iran

International Journal of Financial Engineering (IJFE), 2018, vol. 05, issue 04, 1-15

Abstract: The accurate forecasting of freight rate index is one of the most important issues in shipping market. The continuous and jump-diffusion stochastic differential equations are used for modeling and forecasting of Baltic exchange Dirty Tanker Index (BDTI). Actual observations and simulated data are applied to estimate the best stochastic model. The comparison of forecasting between SDE methods and the ARIMA time series models show that SDE models have better accuracy than the time series techniques.

Keywords: Tanker freight rate; forecasting; stochastic differential equation; simulation; ARIMA model (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S2424786318500342

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