Insights from multifractality analysis of tanker freight market volatility with common external factor of crude oil price

被引：19
作者：
Li, Tingyi [1 ]
Xue, Leyang [1 ]
Chen, Yu [2 ]
Chen, Feier [2 ,3 ]
Miao, Yuqi [4 ]
Shao, Xinzeng [1 ]
Zhang, Chenyi [5 ]
机构：
[1] Shanghai Jiao Tong Univ, Univ Michigan Shanghai Jiao Tong Univ Joint Inst, Shanghai, Peoples R China
[2] Univ Tokyo, Dept Human & Engn Environm Studies, Simulat Complex Syst Lab, Tokyo, Japan
[3] Shanghai Jiao Tong Univ, Sch Naval Architecture Ocean & Engn, State Key Lab Ocean Engn, Collaborat Innovat Ctr Adv Ship & Deep Sea Explor, Shanghai, Peoples R China
[4] Natl Univ Singapore, Dept Ind Syst Engn & Management, Fac Engn, Singapore, Singapore
[5] Univ Calif Davis, Coll Letter & Sci, Coll Agr & Environm Sci, Davis, CA 95616 USA
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 505卷
基金：
上海市自然科学基金;
关键词：
Multifractal detrended partial cross-correlation analysis; Tanker freight rate; Crude oil price; Finite size effect; Market analysis; DETRENDED FLUCTUATION ANALYSIS; CROSS-CORRELATION ANALYSIS; STOCK-MARKET; TIME-SERIES; VOLUME CHANGE; COMPONENTS; EXCHANGE; RETURNS; INDEXES; TESTS;
D O I：
10.1016/j.physa.2018.02.107
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper is intended for exploring the multifractal features of tanker freight rate market volatility with the common external factor of crude oil price by both the multifractal cross-correlation analysis method (MF-CCA) and the multifractal detrended partial cross correlation analysis method (MF-DPXA) with consideration of finite size effect. The multifractal spectrums of original, random and surrogate time series are employed to separate the three components of multifractality, and to uncover the influence of financial crisis and oil price on volatility and cross-correlated fluctuations of the tanker freight rates. After the financial crisis in terms of the generalized Hurst exponent, stronger non-linear characteristic and noticeable anti-persistent characteristic in cross correlations between freight rates are supported by the MF-DPXA analysis. Meanwhile, stronger multifractality is indicated by the MF-CCA analysis. These results deepen the understanding of multifractality in tanker freight rate market, and provide investors, shipping related operators or even market players with insight to adjust their marketing strategies. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：374 / 384
页数：11
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