{"title":"货运期权市场中的统计套利","authors":"R. Adland, Lars Eirik Anestad, Bjarte Abrahamsen","doi":"10.1080/03088839.2021.1975055","DOIUrl":null,"url":null,"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.","PeriodicalId":18288,"journal":{"name":"Maritime Policy & Management","volume":null,"pages":null},"PeriodicalIF":3.7000,"publicationDate":"2021-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Statistical arbitrage in the freight options market\",\"authors\":\"R. Adland, Lars Eirik Anestad, Bjarte Abrahamsen\",\"doi\":\"10.1080/03088839.2021.1975055\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":18288,\"journal\":{\"name\":\"Maritime Policy & Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.7000,\"publicationDate\":\"2021-09-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Maritime Policy & Management\",\"FirstCategoryId\":\"5\",\"ListUrlMain\":\"https://doi.org/10.1080/03088839.2021.1975055\",\"RegionNum\":3,\"RegionCategory\":\"工程技术\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"TRANSPORTATION\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Maritime Policy & Management","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1080/03088839.2021.1975055","RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"TRANSPORTATION","Score":null,"Total":0}
Statistical arbitrage in the freight options market
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.
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.
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