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.
1,414 documents
The document describes constructing a synthetic futures price at a target maturity by linearly interpolating between two listed contracts whose expiries fall on either side of that target. The weights depend on how far the target lies between the shorter and…
The document distinguishes the Samuelson effect’s maturity-related volatility pattern from volatility measured directly on futures price levels. The effect concerns returns volatility: nearby commodity contracts are often more volatile than deferred…
The document distinguishes precious metals from foreign exchange when describing spot-price dynamics under a risk-neutral measure. In FX, the domestic and foreign interest rates reflect the ability to invest in short-term sovereign instruments in each…
This document asks why a leveraged WTI exchange-traded note and its inverse counterpart appear to trace different slopes during large price moves. One note is described as providing leveraged long exposure and the other as leveraged inverse exposure. The…
The document compares two descriptions of risk remaining around a commodity futures hedge. It describes “basic risk” as residual exposure after hedging, including the difference between futures and spot prices if a futures position is closed early. The cited…
The question describes an energy option that runs across several months. For each month, its strike resets to that month’s first-of-month index, and daily settlements below that level generate a payoff based on the difference. The question asks how to value…
The document asks how the weather derivatives market is organized, how participants share information, and where historical data can be obtained. Its answer is limited: market information is largely not public, and data generally require paid access. It…
The document weighs whether investors should include commodities in diversified portfolios. It presents arguments on both sides, noting that asset-allocation products and some institutional portfolios use commodity exposure, while the cited research is not…
The document describes an exploratory analysis of one-minute XAUUSD log returns over a long historical sample, compared with fitted normal and Student-t distributions. It raises questions about irregular density peaks, a pronounced concentration near zero,…
The document considers a physically settled crop futures contract when the farmer cannot deliver after a natural disaster destroys the crop. The answer explains that the contract remains in force and that failure to deliver can constitute default,…
The document addresses where to obtain historical European Union Allowance futures data at intraday frequency for carbon market research. The response points to a commercial market data vendor that offers trade histories and, optionally, quote histories for…
The discussion addresses a regression intended to explain gold using the VIX, the EUR/USD exchange rate, and a US real-rate index. The model uses ridge regression because its author selected a small, theory-informed set of factors, yet reports an adjusted…
The document examines how storage costs enter a commodity forward price and whether monthly costs should accrue interest. It presents the no-arbitrage principle: a forward should reflect the spot asset and the present value of carrying costs, financed to…
The document discusses hedging exposure to oil prices with forward contracts and asks whether one contract per asset is automatically the right hedge. The responses emphasize that the appropriate ratio depends on the objective and on how well the forward…
The document asks how to obtain a conditional variance-covariance matrix from an estimated MGARCH-BEKK model fitted to spot and futures price series. It presents a two-asset BEKK-style recursion built from a constant matrix, lagged return residuals, and the…
The document sets out a Cramér–Lundberg reserve process with constant premium income and Poisson arrivals of Pareto claims whose shape parameter is below one, giving the claims an infinite mean. It notes that eventual ruin then has probability one under the…
The discussion considers whether herding can be measured over short horizons, including intraday periods. It summarizes two studies: one examines dispersion in US equity returns around large market moves, while another uses disclosed intraday commodity…
The document uses a delta-hedged option approximation to estimate the underlying price move needed to offset one day of time decay. Setting the approximate gamma gain equal to theta decay gives a break-even move proportional to the square root of twice the…
This discussion addresses why a consumer price index can look nearly linear over a selected historical period even though a constant positive inflation rate would compound. It distinguishes an index level from the inflation rate: sustained target inflation…
The document discusses maximum-likelihood estimation for a linear Gaussian two-factor state-space model of commodity prices, using the Schwartz-Smith framework. The observed log price is modeled as the sum of two latent state components plus measurement…
The document discusses how to assess liquidity in commodity futures, noting that stock-market measures such as volume and the Amivest ratio may not transfer directly to every contract. Suggested indicators include trading volume, bid–ask spreads, order-book…
The document explains why exchange-traded futures can be bought and sold as standardized instruments even though individually negotiated forwards may carry different delivery prices. Exchanges specify common contract terms, such as the underlying and…
The document explains why futures positions commonly end without physical delivery. It describes offsetting as closing a position by taking the opposite side in the same number of standardized contracts before expiration. The responses distinguish exposure…
The discussion asks whether EU Emissions Trading System allowance prices can be projected from spot prices using a single discount rate or another market-implied method. The responses point to policy risk as a reason forward prices may sit below expectations…