Predictability of second-hand bulk carriers with a novel hybrid algorithm

This paper investigates the predictability of the asset prices of commodity transport (i.e. dry bulk carriers) by testing the shipping Q index as a leading indicator. We employ a comprehensive back-testing procedure with a broad spectrum of benchmark simulations. The shipping Q index (an adaptation...

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Autores principales:	Okan Duru, Emrah Gulay, Sinem Celik Girgin
Formato:	article
Lenguaje:	EN
Publicado:	Elsevier 2021
Materias:	Investment timing Predictability Lead-lag structure Shipping Q index Shipment of goods. Delivery of goods HF5761-5780
Acceso en línea:	https://doaj.org/article/db40ff0427254f2dbf4a44fe30d3d1af
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spelling	oai:doaj.org-article:db40ff0427254f2dbf4a44fe30d3d1af2021-12-04T04:33:38ZPredictability of second-hand bulk carriers with a novel hybrid algorithm2092-521210.1016/j.ajsl.2021.07.002https://doaj.org/article/db40ff0427254f2dbf4a44fe30d3d1af2021-12-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2092521221000298https://doaj.org/toc/2092-5212This paper investigates the predictability of the asset prices of commodity transport (i.e. dry bulk carriers) by testing the shipping Q index as a leading indicator. We employ a comprehensive back-testing procedure with a broad spectrum of benchmark simulations. The shipping Q index (an adaptation of Tobin's Q index) has been introduced to benchmark models to observe predictive gain and interpret predictability features. This study presents a novel hybrid model to forecast time series data. The forecasting ability of the proposed hybrid algorithm is compared to specific univariate time series models, dynamic models, nonlinear models, and widely used hybrid models in the literature. The findings document that not only the proposed hybrid model performs better than the other competitive models in terms of hold out sample forecasting, but also using the shipping Q index improves the forecast accuracy by remarkably reducing forecasting error.Okan DuruEmrah GulaySinem Celik GirginElsevierarticleInvestment timingPredictabilityLead-lag structureShipping Q indexShipment of goods. Delivery of goodsHF5761-5780ENAsian Journal of Shipping and Logistics, Vol 37, Iss 4, Pp 291-300 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Investment timing Predictability Lead-lag structure Shipping Q index Shipment of goods. Delivery of goods HF5761-5780
spellingShingle	Investment timing Predictability Lead-lag structure Shipping Q index Shipment of goods. Delivery of goods HF5761-5780 Okan Duru Emrah Gulay Sinem Celik Girgin Predictability of second-hand bulk carriers with a novel hybrid algorithm
description	This paper investigates the predictability of the asset prices of commodity transport (i.e. dry bulk carriers) by testing the shipping Q index as a leading indicator. We employ a comprehensive back-testing procedure with a broad spectrum of benchmark simulations. The shipping Q index (an adaptation of Tobin's Q index) has been introduced to benchmark models to observe predictive gain and interpret predictability features. This study presents a novel hybrid model to forecast time series data. The forecasting ability of the proposed hybrid algorithm is compared to specific univariate time series models, dynamic models, nonlinear models, and widely used hybrid models in the literature. The findings document that not only the proposed hybrid model performs better than the other competitive models in terms of hold out sample forecasting, but also using the shipping Q index improves the forecast accuracy by remarkably reducing forecasting error.
format	article
author	Okan Duru Emrah Gulay Sinem Celik Girgin
author_facet	Okan Duru Emrah Gulay Sinem Celik Girgin
author_sort	Okan Duru
title	Predictability of second-hand bulk carriers with a novel hybrid algorithm
title_short	Predictability of second-hand bulk carriers with a novel hybrid algorithm
title_full	Predictability of second-hand bulk carriers with a novel hybrid algorithm
title_fullStr	Predictability of second-hand bulk carriers with a novel hybrid algorithm
title_full_unstemmed	Predictability of second-hand bulk carriers with a novel hybrid algorithm
title_sort	predictability of second-hand bulk carriers with a novel hybrid algorithm
publisher	Elsevier
publishDate	2021
url	https://doaj.org/article/db40ff0427254f2dbf4a44fe30d3d1af
work_keys_str_mv	AT okanduru predictabilityofsecondhandbulkcarrierswithanovelhybridalgorithm AT emrahgulay predictabilityofsecondhandbulkcarrierswithanovelhybridalgorithm AT sinemcelikgirgin predictabilityofsecondhandbulkcarrierswithanovelhybridalgorithm
_version_	1718372998691422208

Predictability of second-hand bulk carriers with a novel hybrid algorithm

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