Multrifractal Features of Spot Rates in the Liquid Petroleum Gas Shipping Market

17 Pages Posted: 20 Sep 2009 Last revised: 1 Oct 2009

See all articles by Steve Engelen

Steve Engelen

affiliation not provided to SSRN

Payam Norouzzadeh

University of Kiel

Wout Dullaert

University of Antwerp - Institute of Transport and Maritime Management Antwerp (ITMMA); Antwerp Maritime Academy

Bahareh Rahamani

University of Kiel

Date Written: September 18, 2009

Abstract

We investigate for the first time the spot rate dynamics for Very Large Gas Carriers (VLGCs) by means of multrifractal detrended fluctuation analysis (MF-DFA) and rescaled range (R/S) analysis. Both methods allow for a rigorous statistical analysis of the freight process by detecting correlation, scaling and fluctuation behavior regardless of (non-) stationarity or nonlinearity issues. By so doing, the generalized/classical and time-dependent Hurst exponents indicate that freight rates exhibit trend-reinforcement and persistence. Rates deem subject to controlled volatility and can be approximated by different types of trend functions. The origins of multifractality are mainly coming from memory effects rather than fat-tail distributions.

Keywords: MF-DFA; R/S; LPG; Freight Rates; Hurst exponent

JEL Classification: C14, C32, C63, Q40

Suggested Citation

Engelen, Steve and Norouzzadeh, Payam and Dullaert, Wout and Rahamani, Bahareh, Multrifractal Features of Spot Rates in the Liquid Petroleum Gas Shipping Market (September 18, 2009). Available at SSRN: https://ssrn.com/abstract=1475170 or http://dx.doi.org/10.2139/ssrn.1475170

Steve Engelen (Contact Author)

affiliation not provided to SSRN ( email )

Payam Norouzzadeh

University of Kiel ( email )

Olshausenstr. 40
Kiel, 24118
Germany

Wout Dullaert

University of Antwerp - Institute of Transport and Maritime Management Antwerp (ITMMA) ( email )

Keizerstraat 64
Antwerp, B-2000
Belgium

HOME PAGE: http://www.itmma.ua.ac.be

Antwerp Maritime Academy ( email )

Noordkasteel Oost 6
Antwerp, 2030
Belgium

HOME PAGE: http://www.hzs.be

Bahareh Rahamani

University of Kiel ( email )

Olshausenstr. 40
Kiel, 24118
Germany

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