Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market: Do Neural Networks Provide Suitable Results?

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Original languageEnglish
Title of host publicationEngineering Applications of Neural Networks - 13th International Conference, EANN 2012, Proceedings
EditorsShigang Yue, Lazaros Iliadis
Pages443-452
Number of pages10
Publication statusPublished - 2012
Event2012 International Conference on Artificial Intelligence and Computational Intelligence, AICI 2012 - Chengdu, China
Duration: 26 Oct 201228 Oct 2012

Publication series

NameCommunications in Computer and Information Science
Volume311
ISSN (Print)1865-0929

Abstract

In this paper we investigate the forecasting and trading performance of linear and non-linear methods, in order to generate short-term forecasts in the dirty tanker shipping market. We attempt to uncover the benefits of using several time series models and the potential of neural networks. Maritime forecasting studies using neural networks are rare and only focus on spot rates. We build on this kind of investigation, but we extend our study on freight rates derivatives or Forward Freight Agreements (FFA) in a simple trading simulation. 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. Nevertheless, we think that further research with freight rates and corresponding derivatives is developable for decision and trading applications with enhanced forecasting models.

Keywords

    Forecasting Performance, Neural Network, Shipping Freight Market, Trading Performance

ASJC Scopus subject areas

Cite this

Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market: Do Neural Networks Provide Suitable Results? / von Spreckelsen, Christian; von Mettenheim, Hans Jörg; Breitner, Michael H.
Engineering Applications of Neural Networks - 13th International Conference, EANN 2012, Proceedings. ed. / Shigang Yue; Lazaros Iliadis. 2012. p. 443-452 (Communications in Computer and Information Science; Vol. 311).

Research output: Chapter in book/report/conference proceedingConference contributionResearchpeer review

von Spreckelsen, C, von Mettenheim, HJ & Breitner, MH 2012, Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market: Do Neural Networks Provide Suitable Results? in S Yue & L Iliadis (eds), Engineering Applications of Neural Networks - 13th International Conference, EANN 2012, Proceedings. Communications in Computer and Information Science, vol. 311, pp. 443-452, 2012 International Conference on Artificial Intelligence and Computational Intelligence, AICI 2012, Chengdu, China, 26 Oct 2012. https://doi.org/10.1007/978-3-642-32909-8_45
von Spreckelsen, C., von Mettenheim, H. J., & Breitner, M. H. (2012). Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market: Do Neural Networks Provide Suitable Results? In S. Yue, & L. Iliadis (Eds.), Engineering Applications of Neural Networks - 13th International Conference, EANN 2012, Proceedings (pp. 443-452). (Communications in Computer and Information Science; Vol. 311). https://doi.org/10.1007/978-3-642-32909-8_45
von Spreckelsen C, von Mettenheim HJ, Breitner MH. Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market: Do Neural Networks Provide Suitable Results? In Yue S, Iliadis L, editors, Engineering Applications of Neural Networks - 13th International Conference, EANN 2012, Proceedings. 2012. p. 443-452. (Communications in Computer and Information Science). doi: 10.1007/978-3-642-32909-8_45
von Spreckelsen, Christian ; von Mettenheim, Hans Jörg ; Breitner, Michael H. / Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market : Do Neural Networks Provide Suitable Results?. Engineering Applications of Neural Networks - 13th International Conference, EANN 2012, Proceedings. editor / Shigang Yue ; Lazaros Iliadis. 2012. pp. 443-452 (Communications in Computer and Information Science).
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title = "Short-Term Trading Performance of Spot Freight Rates and Derivatives in the Tanker Shipping Market: Do Neural Networks Provide Suitable Results?",
abstract = "In this paper we investigate the forecasting and trading performance of linear and non-linear methods, in order to generate short-term forecasts in the dirty tanker shipping market. We attempt to uncover the benefits of using several time series models and the potential of neural networks. Maritime forecasting studies using neural networks are rare and only focus on spot rates. We build on this kind of investigation, but we extend our study on freight rates derivatives or Forward Freight Agreements (FFA) in a simple trading simulation. 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. Nevertheless, we think that further research with freight rates and corresponding derivatives is developable for decision and trading applications with enhanced forecasting models.",
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