Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
5 documents
This module constructs a continuous futures series by identifying contract roll dates and calculating the price gap between the expiring contract and the next contract. It accumulates those gaps through time and can align the adjusted series at its end. A…
This overview describes research on forecasting and trading commodity spreads, including gasoline crack, soybean-oil crush, and corn-ethanol crush spreads. It explains why spreads can be less exposed to market-wide information shocks and speculative bubbles…
Threshold autoregression (TAR) extends a standard unit-root test to allow a series to adjust differently depending on whether it is above or below a threshold. The document illustrates the idea with the gasoline crack spread, defined as unleaded gasoline…
This module describes calendar rules for rolling several futures series: crude oil, NBP natural gas, refined products including RBOB, grains, and ethanol. The rules use contract-specific termination conventions, such as dates near the 25th or 15th of a…
This document contains a dated daily price series identified as RB, with fields for opening, high, low, last, and settlement prices. The visible records begin in 1994 with missing values across the price fields, while later entries show populated prices…