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Full-Text Articles in Physical Sciences and Mathematics
Quantitative Techniques For Spread Trading In Commodity Markets, Mir Hashem Moosavi Avonleghi
Quantitative Techniques For Spread Trading In Commodity Markets, Mir Hashem Moosavi Avonleghi
Electronic Thesis and Dissertation Repository
This thesis investigates quantitative techniques for trading strategies on two commodities, the difference of whose prices exhibits a long-term historical relationship known as mean-reversion. A portfolio of two commodity prices with very similar characteristics, the spread may be regarded as a distinct process from the underlying price processes so deserves to be modeled directly. To pave the way for modeling the spread processes, the fundamental concepts, notions, properties of commodity markets such as the forward prices, the futures prices, and convenience yields are described. Some popular commodity pricing models including both one and two factor models are reviewed. A new …
Estimation Of Hidden Markov Models And Their Applications In Finance, Anton Tenyakov
Estimation Of Hidden Markov Models And Their Applications In Finance, Anton Tenyakov
Electronic Thesis and Dissertation Repository
Movements of financial variables exhibit extreme fluctuations during periods of economic crisis and times of market uncertainty. They are also affected by institutional policies and intervention of regulatory authorities. These structural changes driving prices and other economic indicators can be captured reasonably by models featuring regime-switching capabilities. Hidden Markov models (HMM) modulating the model parameters to incorporate such regime-switching dynamics have been put forward in recent years, but many of them could still be further improved. In this research, we aim to address some of the inadequacies of previous regime-switching models in terms of their capacity to provide better forecasts …