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

摘要

1 Introduction and Methodology In this paper we investigate the forecasting and trading performance of non-linear forecasting models, to generate short-term forecasts of spot rates and corresponding freight forwards respectively Forward Freight Agreements (FFA) in the dirty tanker shipping market. In recent time freight derivatives become interesting in the maritime market, due to the fact, that freight rates are very volatile. Derivative markets provide a way in which these risks may be transferred to other individuals who are willing to bear them, through hedging. Therefore, actors in the shipping market are forced to use forecasting techniques for the purpose of risk management.