Time series analysis of the lead-lag relationship of freight futures and spot market prices
Name
374786187-MIT.pdf
Description
Full printable version
Size
22.02 MB
Format
Adobe PDF
Checksum (MD5)
6887e5aa99d5cf265a28992fc057fb82
Author(s)
Gavriilidis, Nikolaos
Advisor(s)
Henry S. Marcus.
Date Issued
2008
Publisher
Massachusetts Institute of Technology
Abstract
This thesis analyzes the relationship between the physical and paper shipping markets. The main objective is to find if one market leads the other by a specific time period so that market players can take advantage from that. Three different methods were used to analyze this relationship. The first is a rolling average technique to smooth the strong fluctuations of the market and plot the relevant graphs. From there we can have a first look on whether there is a lead-lag relationship between the two markets. The second method was the cross-correlation function which allows us to time shift back and forth the two time series in order to compare the relevant correlation coefficients. In the third method, a Vector Error Correction model was created for each pair of time series in order to test the influence of the one series to the other. Finally, we present a brief comparison between the volatility of the freight rates and the trading value of freight futures so we can judge if the spot market became more volatile with the growth of trading of freight futures.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2008.
"September 2008."
Includes bibliographical references (p. 96).
Subjects
Mechanical Engineering.
MIT Department
Massachusetts Institute of Technology. Department of Mechanical Engineering
Terms of Use
M.I.T. theses are protected by
copyright. They may be viewed from this source for any purpose, but
reproduction or distribution in any format is prohibited without written
permission. See provided URL for inquiries about permission.
copyright. They may be viewed from this source for any purpose, but
reproduction or distribution in any format is prohibited without written
permission. See provided URL for inquiries about permission.
Persistent DSpace Link
