Forecasting Baltic Dirty Tanker Index by Applying Wavelet Neural Networks

References

[1] D. Hawdon, “Tanker Freight Rates in the Short and Long Run,” Applied Economics, Vol. 10, No. 3, 1978, pp. 203218. doi:10.1080/758527274

[2] D. Glen, M. Owen and R. Meer, “Spot and Time Charter Rates for Tankers, 1970-77,” Journal of Transport Economics and Policy, Vol. 15, No. 1, 1981, pp. 45-58

[3] M. Beenstock and A. Vergottis, “An Econometric Model of the World Tanker Market,” Journal of Transport Economics and Policy, Vol. 23, No. 3, 1989, pp. 263-280.

[4] A. Perakis and W. Bremer, “An Operational Tanker Scheduling Optimization System: Background, Current Practice and Model Formulation,” Maritime Policy and Management, Vol. 19, No. 3, 1992, pp. 177-187.
doi:10.1080/751248659

[5] R. Adland and K. Cullinane, “The Non-Linear Dynamics of Spot Freight Rates in Tanker Markets,” Transportation Research Part E: Logistics and Transportation Review, Vol. 42, No. 3, 2006, pp. 211-224.
doi:10.1016/j.tre.2004.12.001

[6] R. Laulajainen, “Operative Strategy in Tanker (Dirty) Shipping,” Maritime Policy and Management, Vol. 35, No. 3, 2008, pp. 315-341.

[7] T. Angelidis and S. G. Skiadopoulos, “Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach,” International Journal of Theoretical and Applied Finance, Vol. 11, No. 5, 2008, pp. 447-469.
doi:10.1142/S0219024908004889

[8] M. Stopford, “Maritime Economics,” 3rd Edition, Routledge, New York, 2009. doi:10.4324/9780203891742

[9] Worldscale Association, “Introduction to Worldscale Freight Rate Schedules,” 2011.
http://www.worldscale.co.uk/company%5Ccompany.htm

[10] R. Batchelor, A. Alizadeh and I. Visvikis, “Forecasting Spot and Forward Prices in the International Freight Market,” International Journal of Forecasting, Vol. 23, No. 1, 2007, pp. 107-114.

[11] K. Cullinane, “A Short-Term Adaptive Forecasting Model for BIFFEX Speculation: A Box—Jenkins Approach,” Maritime Policy and Management: The Flagship Journal of International Shipping and Port Research, Vol. 19, No. 2, 1992, pp. 91-114.

[12] M. Kavussanos, “Price Risk Modelling of Different Sized Vessels in Tanker Industry Using Autoregressive Conditional Heteroscedasticity GARCH Models,” Transportation Research Part E: Logistics and Transportation Review, Vol. 32, No. 2, 1996, pp. 161-176.

[13] F. Jonnala, S. Fuller and D. Bessler, “A GARCH Approach to Modelling Ocean Grain Freight Rates,” International Journal of Maritime Economics, Vol. 4, No. 2, 2002, pp. 103-125. doi:10.1057/palgrave.ijme.9100039

[14] A. W. Veenstra and P. H. Franses, “A Co-Integration Approach to Forecasting Freight Rates in the Dry Bulk Shipping Sector,” Transportation Research Part A: Policy & Practice, Vol. 31, No. 6, 1997, pp. 447-458.

[15] J. Tvedt, “Shipping Market Models and the Specification of Freight Rate Processes,” Maritime Economics and Logistics, Vol. 5, No. 4, 2003, pp. 327-346.
doi:10.1057/palgrave.mel.9100085

[16] A. M. Goulielmos and M. Psifia, “A Study of Trip and Time Charter Freight Rate Indices: 1968-2003,” Maritime Policy and Management, Vol. 34, No. 1, 2007, pp. 55-67.
doi:10.1080/03088830601103418

[17] S. S?dal, S. Koekebakkera and R. Adland, “Market Switching in Shipping—A Real Option Model Applied to the Valuation of Combination Carriers,” Review of Financial Economics, Vol. 17, No. 3, 2008, pp. 183-203.
doi:10.1016/j.rfe.2007.04.001

[18] T. Koopmans, “Tanker Freight Rates and Tankship Building,” The Economic Journal, Vol. 49, No. 196, 1939, pp. 760-762. doi:10.2307/2225041

[19] Z. S. Zannetos, “The Theory of Oil Tankship Rates: An Economic Analysis of Tankship Operations,” MIT— Massachusetts Institute of Technology, Cambridge, 1964, pp. 60-64.

[20] J. J. Evans, “An Analysis of Efficiency of the Bulk Shipping Markets,” Maritime Policy and Management: The Flagship Journal of International Shipping and Port Research, Vol. 21, No. 4, 1994, pp. 311-329.

[21] S. Reutlinger, “Analysis of a Dynamic Model, with Particular Emphasis on Long-Run Projections,” Journal of Farm Economics, Vol. 48, No. 1, 1966, pp. 88-106.
doi:10.2307/1236181

[22] R. Adland and S. P. Strandenes, “A Discrete-Time Stochastic Partial Equilibrium Model of the Spot Freight Market,” Journal of Transport Economics and Policy (JTEP), Vol. 41, No. 2, 2007, pp. 189-218.

[23] Q. Zhang and A. Benveniste, “Wavelet Networks,” IEEE Transactions on Neural Networks, Vol. 3, No. 6, 1992, pp. 889-898. doi:10.1109/72.165591

[24] Z. Wang and Y. Tan, “Research of Wavelet Neural Network Based Host Intrusion Detection Systems,” Proceedings of the International Computer Conference 2006 on Wavelet Active, Chongqing, 29-31 August 2006, pp 1007-1012.

[25] K. K. Minu, M. C. Lineesh and C. J. John, “Wavelet Neural Networks for Nonlinear Time Series Analysis,” Applied Mathematical Sciences, Vol. 4, No. 50, 2010, pp. 2485-2495.

[26] K. G. Goulias, “Transport Science and Technology,” Elsevier Ltd., Amsterdam, 2007.

[27] The Baltic Exchange, “Manual for Panelists—A Guide to Freight Reporting and Index Production,” Unpublished Manuscript, The Baltic Exchange, London, 2011.

[28] D. B. Percival and A. T. Walden “Wavelet Methods for Time Series Analysis,” Cambridge University Press, Cambridge, 2006.

[29] A. Graps, “An Introduction to Wavelets,” IEEE Computational Sciences and Engineering, Vol. 2, No. 2, 1995, pp. 50-61. doi:10.1109/99.388960

[30] K. P. Soman, K. I. Ramachandran and N. G. Resmi, “Insight into Wavelets,” 3rd Edition, PHI Learning Pvt. Ltd., Coimbatore, 2010.

[31] L. Debnath, “Wavelet Transforms and Their Applications,” Springer, Boston, 2002.
doi:10.1007/978-1-4612-0097-0

[32] J. Lewalle, “Wavelets without Lemmas on Applications of Continuous Waveletsto Data Analysis,” Syracuse University, Syracuse, 1998.
http://www.ecs.syr.edu/faculty/lewalle/papers/vki1.pdf

[33] D. Veitch, “Wavelet Neural Networks and Their Application in the Study of Dynamical Systems,” Networks, Vol. 1, No. 8, 2005, pp. 313-320.

[34] I. Daubechies, “The Wavelet Transform, Time-frequency Localization and Signal Analysis,” IEEE Transactions on Information Theory Society, Vol. 36, No. 5, 1990, pp. 961-1005. doi:10.1109/18.57199

[35] G. Dreyfus, “Neural Networks: Methodology and Applications,” Springer-Verlag Berlin Heidelberg, New York, 2005.

[36] A. Abraham, “Artificial Neural Networks. Handbook of Measuring System Design,” John Wiley and Sons Ltd., Hoboken, 2005.

[37] D. P. Mandic and J. A. Chambers, “Recurrent Neural Networks for Prediction: Learning, Algorithms, Architectures and Stability,” John Wiley and Sons Ltd., Hoboken, 2001. doi:10.1002/047084535X

[38] M. Casey, “The Dynamics of Discrete-Time Computation, with Application to Recurrent Neural Networks and Finite State Machine Extraction,” Neural Computation, Vol. 8, No. 6, 1996, pp. 1135-1178.
doi:10.1162/neco.1996.8.6.1135

[39] G. Dematos, M. S. Boyd, B. Kermanshahi, N. Kohzadi and I. Kaastra, “Feedforward versus Recurrent Neural Networks for Forecasting Monthly Japanese Yen Exchange Rates,” Asia-Pacific Financial Markets, Vol. 3, No. 1, 1996, pp. 59-75.

[40] B. A. Pearlmutter, “Dynamic Recurrent Neural Networks,” School of Computer Science Carnegie Mellon University, Defense Advanced Research Projects Agency, Information Science and Technology Office, 1990.
http://www.bcl.hamilton.ie/~barak/papers/CMU-CS-90-196.pdf

[41] K. Cannons and V. Cheung, “An Introduction to Neural Networks,” Iowa State University, Ames, 2002.
http://www2.econ.iastate.edu/tesfatsi/NeuralNetworks.CheungCannonNotes.pdf

[42] R. Hecht-Nielsen, “Theory of the Backpropagation Neural Network,” International Joint Conference on Neural Networks (IJCNN), Vol. 1, Washington DC, 18-22 June 1989, pp. 593-605.

[43] P. J. Werbos, “Backpropagation Through Time: What It Does and How To Do It,” Proceedings of the IEEE, Vol. 78, No. 10, 1990, pp. 1550-1560. doi:10.1109/5.58337

[44] J. Han and M. Kamber, “Data Mining: Concepts and Techniques,” Morgan Kaufmann, San Francisco, 2006.

[45] T. Hastie, R. Tibshirani and J. Friedman, “The Elements of Statistical Learning: Data Mining, Inference, and Prediction,” Springer, New York, 2009.

[46] P. K. Simpson, “Neural Networks Theory, Technology, and Applications, Institute of Electrical and Electronics Engineers, Technical Activities Board,” University of Michigan, Ann Arbor, 1996.

[47] R. M. Golden, “Mathematical Methods for Neural Network Analysis and Design,” The MIT Press, Cambridge, 1996.

[48] K. M. Vu, “The ARIMA and VARIMA Time Series: Their Modelings, Analyses and Applications,” AuLac Technologies Inc., Ottawa, 2007.

[49] T. C. Mills, “Time Series Techniques for Economists,” Cambridge University Press, Cambridge, 1990.

[50] Yahoo, “Get Quotes, Historical Prices,” 2012.
http://finance.yahoo.com/

[51] B. D. Ripley, “Pattern Recognition and Neural Networks,” Cambridge University Press, Cambridge, 1996.

[52] The 20 trading days is based on the following assumption: 1 week = 5 trading days, 1 month = 4 week.

[53] A. H. El-Shaarawi and W. W. Piegorsch, “Encyclopedia of Environmetrics,” Wiley, Hoboken, 2002.

[54] A. Aussem and F. Murtagh, “Combining Neural Network Forecasts on Wavelet-Transformed Time Series,” Connection Science, Vol. 9, No. 1, 1997, pp. 113-122.
doi:10.1080/095400997116766

[55] J. J. Merelo, M. Patón, A. Ca?as, A. Prieto and F. Morán, “Optimization of a Competitive Learning Neural Network by Genetic Algorithms,” New Trends in Neural Computation, Vol. 686, 1993, pp. 185-192.
doi:10.1007/3-540-56798-4_145

[56] J. Kennedy and R. Eberhart, “Particle Swarm Optimization,” Proceedings of IEEE International Conference on Neural Networks, Vol. 4, Perth, 27 November-1 December 1995, pp. 1942-1948.
doi:10.1109/ICNN.1995.488968