Scaling Behavior of Bulk Freight Rate Volatility Before and After Noise Reduction

Analysis of freight rate volatility characteristics is a hot topic after year 2008 due to the effect of financial crisis in marine transportation. In this paper, we analyze the bulk freight rate index by detrended fluctuation analysis （DFA） method and discover the scaling behavior. Switching points...

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Published inShanghai jiao tong da xue xue bao Vol. 21; no. 6; pp. 655 - 661
Main Author 代思宇 陈飞儿 曾亚东 曾鑫
Format Journal Article
LanguageEnglish
Published Shanghai Shanghai Jiaotong University Press 01.12.2016
Springer Nature B.V
Subjects
Architecture
Computer Science
Electrical Engineering
Engineering
Ethylene
Fluctuation
Indicators
Life Sciences
Marine transportation
Materials Science
Noise
Noise reduction
Scaling
Switching
Variation
Volatility
scaling behavior
noise reduction
Vondr´ak filtering
F 551
bulk freight rate
detrended fluctuation analysis (DFA)
Online AccessGet full text
ISSN1007-1172
1995-8188
DOI10.1007/s12204-016-1778-0

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Summary:Analysis of freight rate volatility characteristics is a hot topic after year 2008 due to the effect of financial crisis in marine transportation. In this paper, we analyze the bulk freight rate index by detrended fluctuation analysis （DFA） method and discover the scaling behavior. Switching points （SPs）, as the indicators of scaling behavior, can be eliminated after Vondrak noise reduction technique. Therefore, we conclude that high- frequency noise is the cause of SP.
Bibliography:bulk freight rate, noise reduction, detrended fluctuation analysis （DFA）, Vondrak filtering, scalingbehavior
31-1943/U
DAI Siyu, CHEN Feier, ZENG Yadong, ZENG Xin （1. State Key Laboratory of Ocean Engineering, School of Naval Architecture, Ocean and Engineering, Shanghai Jiaotong University, Shanghai 200240, China; 2. Collaborative Innovation Center for Advanced Ship and Deep-Sea Exploration, Shanghai 200240, China; 3. College of Transport and Communications, Shanghai Maritime University, Shanghai 201306, China）
Analysis of freight rate volatility characteristics is a hot topic after year 2008 due to the effect of financial crisis in marine transportation. In this paper, we analyze the bulk freight rate index by detrended fluctuation analysis （DFA） method and discover the scaling behavior. Switching points （SPs）, as the indicators of scaling behavior, can be eliminated after Vondrak noise reduction technique. Therefore, we conclude that high- frequency noise is the cause of SP.
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ISSN:1007-1172
1995-8188
DOI:10.1007/s12204-016-1778-0