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Forecasting dirty tanker freight rate index by using stochastic differential equations

Author

Listed:
  • Hossein Jafari

    (Department of Mathematics, Chabahar Maritime University, Iran)

  • Ghazaleh Rahimi

    (Navigation Engineering Department, Chabahar Maritime University, Iran)

Abstract

The accurate forecasting of freight rate index is one of the most important issues in shipping market. The continuous and jump-diffusion stochastic differential equations are used for modeling and forecasting of Baltic exchange Dirty Tanker Index (BDTI). Actual observations and simulated data are applied to estimate the best stochastic model. The comparison of forecasting between SDE methods and the ARIMA time series models show that SDE models have better accuracy than the time series techniques.

Suggested Citation

  • Hossein Jafari & Ghazaleh Rahimi, 2018. "Forecasting dirty tanker freight rate index by using stochastic differential equations," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-15, December.
    • Handle: RePEc:wsi:ijfexx:v:05:y:2018:i:04:n:s2424786318500342
    DOI: 10.1142/S2424786318500342
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    References listed on IDEAS

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