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Scanning the horizon : forecasting and trading on forward freight agreements using long short-term memory neural networks and AIS-derived features

Farbrot, Herman; Kalvik, Sindre
Master thesis
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https://hdl.handle.net/11250/2644855
Utgivelsesdato
2019
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  • Master Thesis [3749]
Sammendrag
The purpose of this study has been to predict Forward Freight Agreement (FFA) prices using

machine learning techniques, investigate the additional forecasting power of Automatic

Identification System (AIS) derived features, and to evaluate the profitability of applying

forecasted directional movements to trading strategies.

A Long-Short-Term Memory (LSTM) neural network is used to predict price movements for

the two closest quarterly, and the closest calendar year Capesize 5 Time Charter (5TC) FFAs.

We have derived features from AIS data to generate proxies for supply, demand and

geographical distribution for a subset of Capesize vessels. Additionally, we have included

commodity prices and macroeconomic variables. The forecasting horizon investigated has

been one week, two weeks, and one month ahead. To benchmark the LSTM model, we have

included Vector Autoregressive (VAR) models, Autoregressive Integrated Moving Average

(ARIMA) models and a Random Walk.

The VAR models were found to be superior at forecasting FFA prices, and the results showed

that the LSTM neural network and VAR show potential for predicting directional movements

of prices. The results further indicate that AIS data holds predictive capabilities regarding

directional movements of prices. Lastly, the trading results give implications of increased

profitability compared to buy-and-hold and trend-following benchmarks, by utilizing the

trading signals from the models.

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