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Spot and Freight Rate Futures in the Tanker Shipping Market: Short-Term Forecasting with Linear and Non-Linear Methods

In: Operations Research Proceedings 2012

Author

Listed:
  • Christian Spreckelsen

    (Institut fuer Wirtschaftsinformatik)

  • Hans-Joerg Mettenheim

    (Institut fuer Wirtschaftsinformatik)

  • Michael H. Breitner

    (Institut fuer Wirtschaftsinformatik)

Abstract

This paper tests the forecasting and trading performance of popular linear and non-linear forecasting models in predicting spot and forward freight rates in the dirty tanker shipping market. Maritime forecasting studies using neural networks are rare and only focus on spot rates. We build on former investigations, but we extend our study on freight rates derivatives. Our conclusion is, that non-linear methods like neural networks are suitable for short-term forecasting and trading freight rates, as their results match or improve on those of other models.

Suggested Citation

  • Christian Spreckelsen & Hans-Joerg Mettenheim & Michael H. Breitner, 2014. "Spot and Freight Rate Futures in the Tanker Shipping Market: Short-Term Forecasting with Linear and Non-Linear Methods," Operations Research Proceedings, in: Stefan Helber & Michael Breitner & Daniel Rösch & Cornelia Schön & Johann-Matthias Graf von der Schu (ed.), Operations Research Proceedings 2012, edition 127, pages 247-252, Springer.
    • Handle: RePEc:spr:oprchp:978-3-319-00795-3_36
    DOI: 10.1007/978-3-319-00795-3_36
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