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Finite-size effect and the components of multifractality in transport economics volatility based on multifractal detrending moving average method

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  • Chen, Feier
  • Tian, Kang
  • Ding, Xiaoxu
  • Miao, Yuqi
  • Lu, Chunxia

Abstract

Analysis of freight rate volatility characteristics attracts more attention after year 2008 due to the effect of credit crunch and slowdown in marine transportation. The multifractal detrended fluctuation analysis technique is employed to analyze the time series of Baltic Dry Bulk Freight Rate Index and the market trend of two bulk ship sizes, namely Capesize and Panamax for the period: March 1st 1999–February 26th 2015. In this paper, the degree of the multifractality with different fluctuation sizes is calculated. Besides, multifractal detrending moving average (MF-DMA) counting technique has been developed to quantify the components of multifractal spectrum with the finite-size effect taken into consideration. Numerical results show that both Capesize and Panamax freight rate index time series are of multifractal nature. The origin of multifractality for the bulk freight rate market series is found mostly due to nonlinear correlation.

Suggested Citation

  • Chen, Feier & Tian, Kang & Ding, Xiaoxu & Miao, Yuqi & Lu, Chunxia, 2016. "Finite-size effect and the components of multifractality in transport economics volatility based on multifractal detrending moving average method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1058-1066.
    • Handle: RePEc:eee:phsmap:v:462:y:2016:i:c:p:1058-1066
    DOI: 10.1016/j.physa.2016.06.101
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