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 how commodity leveraged ETFs track their stated targets over time. Because daily leveraged returns can diverge from the intended multiple over longer holding periods through volatility decay, the authors construct a benchmark process…
The study forecasts price distributions for hourly trading windows in Germany’s Intraday Continuous Market, focusing on the final three hours before delivery. Instead of producing only point forecasts, it simulates price trajectories to create ensembles…
The paper treats reliability options as call-like contracts that power producers sell to system operators to support security of electricity supply. It derives closed-form valuation formulas under several assumptions about electricity prices and strike-price…
The study models commodity futures as a hierarchy: underlying assets form one level, while individual contracts form another. Relationships connect assets within each level, and cross-level links tie contracts to their underlying markets. A hierarchical…
The paper outlines wavelet-based trading ideas for stocks and commodities, with its main focus on New York Stock Exchange equities. It frames three aims: trading price fluctuations to seek gains without an overall price rise, eventually outperforming the…
The paper develops a pricing measure for electricity markets with mean-reverting spot prices and sharp price spikes. Its two-factor model represents smaller movements with a Brownian-driven Ornstein–Uhlenbeck process and spikes with a second mean-reverting…
This study applies fractal geometry and statistical analysis to Bitcoin returns to examine persistence, predictability, and market structure. It compares nine cryptocurrencies, together representing almost three quarters of market capitalization, with…
This research develops probabilistic forecasts for day-ahead electricity spot prices using stochastic volatility models. It treats prices as a non-stationary time series whose variance changes over time, with volatility represented as a latent stochastic…
This study tests a gold futures strategy built from smoothed trend and momentum state variables. A rolling walk-forward process trains on a decade of data and tests on successive six-month periods across 2015–2025. The signal is translated into positions…
This document introduces the Visibility Graphs Relative Strength Index, a price-based indicator built from backward visibility relationships in an instrument’s price series. The indicator is scaled from zero to 100 and used to generate signals in an…
This document describes a stochastic control framework for choosing trades in commodity futures over a finite investment horizon. It builds on the Schwartz 1997 model, which represents commodity prices using a stochastic convenience yield, and formulates…
The document outlines a proposed USDCHF trading strategy that uses gold market dynamics as an intermarket filter. It models both markets with a coupled hidden Markov model, linking their state behavior rather than analyzing the currency pair in isolation.…
This update examines whether a severe drought in the US Midwest could bring forward a food-price crisis. It builds on an earlier quantitative account of food prices that attributes price dynamics to both corn conversion into ethanol and trend-following…
The document describes a monthly cross-sectional strategy across 22 commodity futures. It calculates each contract’s skewness over the prior 12 months, buys three commodities with the lowest skewness, and shorts three with the highest, using equal weights…
The document describes a monthly market-timing approach that uses crude oil returns to forecast equity returns. It estimates a regression of equity returns on monthly oil returns, updates the model each month with the latest observation, and compares the…
The document describes a cross-sectional commodity futures strategy based on return asymmetry. It defines an IE measure as the difference between the counts of unusually large positive and negative daily returns, using a rolling 260-day window. At each month…
The document describes a monthly long-short strategy that ranks commodity futures by their past 12-month performance, buys the strongest quintile, and sells the weakest. The cited research finds profitable continuation strategies and reports an average…
The document describes a futures spread strategy based on the price difference between WTI and Brent crude oil. It explains that the oils differ in composition and production and transport characteristics, while temporary shocks may cause their price spread…
This document explains a cross-sectional commodity carry strategy that ranks futures by roll returns, buys the strongest contracts, and shorts the weakest. Its simple monthly example equally weights the top and bottom quintiles and holds the positions for…
The document explains how leverage in gold contracts for difference changes the margin needed to hold a position. It compares the approximate margin requirements at 100x, 500x, and 800x leverage, illustrating how higher leverage can leave more capital…
This essay compares the foundations of value in fiat money, gold, and Bitcoin. It describes fiat currency as resting on state authority and public credit, while gold historically served as a monetary anchor because of its scarcity, durability, and usefulness…
The document describes a functional design for AI-supported trading in European electricity markets. It treats forward, day-ahead, intraday, and balancing markets as connected layers shaped by regulation, exchange rules, market coupling, cross-border…