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Measuring Tanker Market Future Risk with the use of FORESIM

Author

Listed:
  • Dimitrios Lyridis

    (National Technical University of Athens, (School of Naval Architecture and Marine Engineering))

  • Nikolaos Manos

    (National Technical University of Athens, (School of Naval Architecture and Marine Engineering))

  • Panayotis Zacharioudakis

    (National Technical University of Athens, (School of Naval Architecture and Marine Engineering))

  • Athanassios Pappas

    (National Technical University of Athens, (School of Naval Architecture and Marine Engineering))

  • Aristidis Mavris

    (Atlas Maritime)

Abstract

Future market risk has always been a critical question in decision support processes. FORESIM is a simulation technique that models shipping markets (developed recently). In this paper we present the application of this technique in order to obtain useful information regarding future values of the tanker market risk. This is the first attempt to express future tanker market risk in relation to current market fundamentals. We follow a system’s analysis seeking for internal and external parameters affecting risk. Therefore we apply dynamic features in risk measurement taking into account all Tanker market characteristics and potential excitations from non-systemic parameters as well as their contribution to freight level formulation and fluctuation. In this way we are able to measure the behavior of future market risk as long as twelve months ahead with very encouraging results. The output information is therefore useful in all aspects of risk analysis and decision making in shipping markets.

Suggested Citation

  • Dimitrios Lyridis & Nikolaos Manos & Panayotis Zacharioudakis & Athanassios Pappas & Aristidis Mavris, 2017. "Measuring Tanker Market Future Risk with the use of FORESIM," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 38-53, January-M.
    • Handle: RePEc:spd:journl:v:67:y:2016:i:1:p:38-53
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    References listed on IDEAS

    as
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    2. Jun Li & Michael G. Parsons, 1997. "Forecasting tanker freight rate using neural networks," Maritime Policy & Management, Taylor & Francis Journals, vol. 24(1), pages 9-30, January.
    3. Engle, Robert F. (ed.), 1995. "ARCH: Selected Readings," OUP Catalogue, Oxford University Press, number 9780198774327.
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    More about this item

    Keywords

    Tanker Market; Freight Rates; Forecasting; Modeling; Simulation; Artificial Neural Networks (ANN);
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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