Title :
Analysis of Freight Index Based on Fractal Theory
Author :
Wan, Jiuwen ; Lu, Jing ; Gong, Xiaoxing
Author_Institution :
Transp. & Manage. Coll., Dalian Maritime Univ., Dalian, China
Abstract :
This paper investigates the fractal characters of Baltic Dirty Tanker Index weekly return time series. BDS test and Rescaled Range Analysis are applied for studying non-linear dependence and random of the time series. The Hurst index and acyclic periodic is gained by R/S analysis. Conclusions show that there is non-linear dependence and non-random, also the series show inverse persistence.
Keywords :
fractals; industrial economics; Baltic dirty tanker Index; Hurst index; R-S analysis; acyclic periodic; fractal theory; freight index analysis; rescaled range analysis; Educational institutions; Forward contracts; Fractals; Frequency estimation; Information analysis; Information science; Statistical analysis; Testing; Time series analysis; Wide area networks;
Conference_Titel :
Information Science and Engineering (ICISE), 2009 1st International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-4909-5
DOI :
10.1109/ICISE.2009.306
