Posts

Introduction In previous posts we have explored ideas on how to construct fundamental models for forecasting the price of corn and …

Introduction In previous posts we have explored ideas on how to construct fundamental models for forecasting the price of corn and …

1 Introduction 2 Modeling the Spread 3 Modeling the Ratio 4 Roll Structure 4.1 Corn Calendars 4.2 Kansas Wheat Calendars 5 …

Introduction WASDE reports get published around the 10th of every month and is a date that every commodity trader looks forward to. …

Introduction The aim of this write-up is to explore the price evolution after different thresholds of net managed money have been …

Introduction This is a short write-up that uses Modern Portfolio Theory or Mean-Variance Analysis to give some guidelines on how the …

Introduction In this write-up, we explore how the front month price and time to expiry of the front-month contract can be used to model …

1 Introduction 2 Nomenclature 3 Curve Shape 3.1 Backwardation and Contango 3.2 The driver of long-term returns 4 Relative Value …

1 Introduction 2 Supervised Learning 2.1 General Idea 2.2 Calendar Spread Regression Example 2.3 Using classification to help determine …

1 Introduction 2 Bloomberg Commodities Index 3 Reconstructing Bloomberg Commodities Index 3.1 Simplifying the weights 3.2 Curve Shape …