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[This article was first published on Commodity Stat Arb, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your [Read more...]

Wow, I can’t believe it has been 11 months since my last blog posting!  The next series of postings will be related to the retail energy field.  Residential power usage is satisfying to model as it can be forecast fairly accurately with the right inputs.  Partly as a consequence of ... [Read more...]

It has been a couple of months since my last post; busy with lots of projects.I had some fun playing around with data from Interactive Brokers API.  It turns out that it is relatively easily to get hold of the raw market data relating to both trades and order ... [Read more...]

I was reminded recently it has been a while since my last posting.  So here is a quick analysis of a strategy that works pretty well.Much has been written on the changes to the NG market structure over the past few years; the influence of financial investors and the ... [Read more...]

Retail Commodity Investors – A bleeding indicator?With the recent “flash crash” in commodities it seemed like a good time to delve into the question of how retail investors react to commodity prices and their investment flows into and out of commodities.  Some of the single commodity investment pools (a.k.... [Read more...]

Just got back from a couple of months vacation in NZ so brief posting this month. Another common field of mean reversion analysis relates to commodities and commodity related stocks.  In this analysis, I compare the prompt month crude oil price, CL1 to the price of XOP, an ETF that ... [Read more...]

Ok, so they start with the same letter and are part of the same group of elements, but why are they so often proposed as pairs in trading strategies?  As a spread strategy they look especially tempting right now:Palladium outshone Platinum for most of 2010.  Is the run over?  Or ... [Read more...]

Much has been written and said about the NG / CL relationship.  For most of 2009 pundits touted NG as historically underpriced relative to CL.  As always the reality is more complex.  Comparing a largely domestic USD commodity with an internationally traded commodity increasingly consumed by emerging markets has inherent risks.More ... [Read more...]

Roll [1984] proposed a model for the bid-ask spread that was based on first-order serial correlation.  His empirical tests were based on daily and weekly frequency equity data, and based on the results he concluded there were informational inefficiencies (or that there was very short term non-stationarity in expected returns).More ... [Read more...]

The recent expiration of the Oct NG contract provided an opportunity to revisit analysis of the Oct-Jan spread.BackgroundThis spread is calculated (as all NG spreads are) based on the nearer price minus the further price.  For example on the last day the October contract traded this year (September 28), the ... [Read more...]

Higher correlations between oil and equities has been widely discussed in the financial press.  Coinciding with the Global Financial Crisis [GFC], correlations in daily returns have risen from their historical +/-0.2 range to over 0.6. Hypotheses for this change vary.  Some commentators believe this is evidence of ongoing disruption to markets ... [Read more...]