Statistical arbitrage in the freight options market

IF 3.7 3区工程技术 Q2 TRANSPORTATION

Maritime Policy & Management Pub Date : 2021-09-27 DOI:10.1080/03088839.2021.1975055

R. Adland, Lars Eirik Anestad, Bjarte Abrahamsen

引用次数: 4

Abstract

ABSTRACT We investigate whether there are consistent misspecifications of volatility in the freight options markets that can be exploited in profitable trading strategies. We derive smooth forward freight rate curves from observed market prices and convert these to term structures of historical volatility for the Capesize, Panamax and Supramax segments of the drybulk shipping market. The differences between the historical and implied volatility term structures form the basis for executing option trading strategies. We find that there exist statistical arbitrage profits in the freight option markets, suggesting a degree of market inefficiency.

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货运期权市场中的统计套利

摘要本文研究运费期权市场中是否存在可用于盈利交易策略的一致性波动率错定。我们从观察到的市场价格中得出平滑的远期运价曲线，并将其转换为干散货航运市场好望角型、巴拿马型和超散货型部分的历史波动性期限结构。历史波动率和隐含波动率期限结构之间的差异构成了执行期权交易策略的基础。我们发现运费期权市场存在统计套利利润，表明市场存在一定程度的无效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Maritime Policy & Management TRANSPORTATION-

CiteScore

8.20

自引率

8.60%

发文量

期刊介绍： Thirty years ago maritime management decisions were taken on the basis of experience and hunch. Today, the experience is augmented by expert analysis and informed by research findings. Maritime Policy & Management provides the latest findings and analyses, and the opportunity for exchanging views through its Comment Section. A multi-disciplinary and international refereed journal, it brings together papers on the different topics that concern the maritime industry. Emphasis is placed on business, organizational, economic, sociolegal and management topics at port, community, shipping company and shipboard levels. The Journal also provides details of conferences and book reviews.