Research On Dry Bulk Freight Rate Mean Reversion Model Basing On Seasonality

As the position of China in the global trade has been promoted constantly,Chinese dry bulk ship-owners and charterers will participate more in international dry bulk maritime markets and the level of risk incurred by the fluctuations of the freight rate.As the project of RMB-FFA(Forward Freight Agreement)has been released since 2013,Chinese dry bulk ship-owners and charterers has gained more opportunities in participating in forward freight agreement market.Hence,to conduct a research of this thesis has practical significance.This thesis firstly conducted a review an analysis of dry bulk maritime market,and pointed out the phenomenon and reason of the characteristic mean-reversion and seasonality.Then basing the analysis of seasonal factors on both sides of demand and supply of the dry bulk maritime market,via the equilibrium theory,a dry bulk mean-reversion model with seasonality was established.Secondly,this thesis analyzed the development history and current situation of dry bulk forward freight agreement,and presented a point of view that non-arbitrage pricing principle is not adaptive to the pricing of this product basing on the ‘non-storability' of dry bulk maritime service.Then basing on the dry bulk mean-reversion model with seasonality,a research on the dry bulk FFA's pricing model is conducted using the pricing method of stock index futures' pricing in the imperfect market.Basing on the time series and econometric model's study,the reasonability and applicability of the two models are verified,which,could offer a new reference to the decision-making of dry bulk spot freight market and forward market participants.