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 examines two normally distributed commodity price changes with zero means, unequal standard deviations, and perfect positive correlation. It asks whether their relative value changes and whether one commodity’s move is simply a fixed multiple of…
The document considers whether a U.S. retiree can hedge a personal spending basket whose inflation runs above CPI-U, using consumer-accessible investments over a long horizon. It concludes that no single individual instrument is identified that directly…
The document describes a route from a commodity’s historically observed return distribution to an implied volatility smile. Rather than relying on a Cornish–Fisher expansion, the accepted answer proposes fitting a distribution to returns over the option’s…
The discussion considers how to price same-day-expiry options on futures across equity indexes, energy commodities, and Treasury markets. The response says many futures options are European and can be priced with Black–Scholes, while some contracts are…
The document surveys several free or low-cost sources mentioned for historical market data. Its main example is an undocumented onvista interface for retrieving stock tick data by security identifier, exchange, and trading day. The author describes how a…
The document proposes a repeatable way to identify liquid futures markets for research or systematic trend following. Rather than starting from a narrow published index or trying to query every contract through a terminal, it suggests parsing exchange…
The document explains how day count conventions apply when pricing cross-currency forwards and swaps. Its central method is to calculate the accrual factor for each currency leg using that currency’s convention, then form the forward price as the domestic…
The document asks whether the relationship between crude oil price changes and Colombian exchange rate changes differs across time periods. Its proposed approach is to add a period indicator and interact it with the oil variable in a regression, which would…
The document asks how to estimate an execution or settlement price from a spot price when order size affects the realized price. It proposes using the bid–ask spread as a starting point because both spread and execution impact depend on liquidity, and asks…
The document frames an annual right to transfer oil from France to the UK, with daily capacity and the choice to leave capacity unused. Its proposed payoff arises when the UK price exceeds the French price: buy in France and sell in the UK. The underlying…
The document explains why multiplying a futures contract size by its displayed price can produce a mistaken contract value. The key is the price unit: a soybean future may be quoted in cents per bushel rather than dollars per bushel. Contract size must be…
The document distinguishes the return skewness of momentum strategies across asset classes and strategy types. It reports that equity cross-sectional momentum has negative skewness, associated in the cited literature with sharp rebounds among prior losers…
The document asks how to include lags when applying least squares Monte Carlo to a timing real option. The project can be started at monthly decision dates over a five-year window, while revenue follows a non-Markov ARMA process sampled hourly over a…
The document describes a continuous futures series built by adding a cumulative roll adjustment to settlement prices and applying the contract multiplier. With this additive adjustment, the resulting notional can become negative even when the underlying…
The document considers an optimal stopping problem in which the payoff depends on an Ornstein–Uhlenbeck process, then asks whether that process can represent a stock price. The response argues that under a risk-neutral, arbitrage-free model, discounted…
The document considers whether company earnings should be modeled with a normal or lognormal distribution, contrasting firms with potentially commodity-linked revenues against non-commodity businesses such as retailers. It notes that earnings can be…
Commodity Asian swaps settle against an average reference price over an averaging period rather than a single final observation. The discussion describes a typical payoff as the period’s notional multiplied by the difference between a fixed strike and the…
The document asks how to construct historical break-even inflation curves in Brazil, where two inflation-linked government bond series reference different price indices: NTN-C is tied to IGP-M and NTN-B to IPCA. The response recalls that Deutsche Bank used…
The document discusses using ARCH or GARCH models to describe time-varying volatility in a financial series, prompted by a researcher studying copper prices. These models relate current conditional variance to past observations or shocks. The proposed…
The document examines why sponsors may not issue an exchange-traded note alongside an inverse version. It explains that daily leveraged and inverse notes are path-dependent: their exposure resets as their values change, so the pair’s gains and losses do not…
The document poses a question about how an open-ended factor certificate can deliver a fixed multiple of the underlying asset’s daily percentage move. It contrasts that target with a simple financed position: subtracting a growing loan from the underlying…
The document describes a forecasting setup for daily commodity prices using an LSTM network and predictor variables drawn from current and lagged observations. The author asks whether forecast accuracy can determine if the model is suitable for managing…
The document explains two labels that may appear on otherwise similar futures listings: “full” and “only.” The answer interprets them as references to trading sessions. “Full” denotes the broader CME Globex session, while “only” refers to the open-outcry…
The discussion compares ways to hold a long-term view on oil: physical storage, futures, oil-company shares, and other instruments. Physical oil requires storage infrastructure, while rolling futures can incur costs or benefit from the shape of the forward…