Multifractal analysis of spot rates in tanker markets and their comparisons with crude oil markets
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- 作者：Shiyuan Zheng ; syzheng@shmtu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Xiangang Lan 544698448@qq.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Tanker markets ; MF-DFA ; Time-dependent Hurst exponent ; Singularity spectrum ; Non-periodic cycle
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2016
- 出版时间：15 February 2016
- 年：2016
- 卷：444
- 期：Complete
- 页码：547-559
- 全文大小：1490 K
文摘
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We investigate the dynamic features of the spot rates for different tanker markets.
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The non-periodic cycles for these markets are detected by the V-statistic.
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The tanker markets are more fractal than the crude oil commodity markets.