Multifractal cross-correlations between crude oil and tanker freight rate

摘要: Abstract Analysis of crude oil price and tanker freight rate volatility attract more attention as the mechanism is not only basis industrialization but also a vital role in economics, especially after year 2008 when financial crisis notably blew maritime transportation. In this paper, we studied cross-correlations between West Texas International (WTI) Baltic Exchange Dirty Tanker Index (BDTI) employing Multifractal Detrended Cross-Correlation (MF-DCCA). Empirical results show that degree short-term cross-correlation higher than long term strength multifractality larger before. Moreover, components multifractal spectrum are quantified with finite-size effect taken into consideration an improved method terms constructing surrogated time series provided. Numerical generated mostly from nonlinear fat-tailed probability distribution (PDF) part. Also, it apparent PDF part changes lot crisis. The research contributory to risk management by providing various instructions for participants shipping markets. Our main contribution investigated both features origin provided confirming evidence through numerical while applying quantitative analysis based on MF-DCCA; furthermore, since provides economic market stock simultaneously. However, order obtain consistence seems less convincing which requires further discussion attempts.