Essays about: "commodity hedge"

Showing result 1 - 5 of 17 essays containing the words commodity hedge.

  1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oskar Fransson; [2023]
    Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

    Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

  3. 2. Forecasting gold returns using principal component analysis from a large number of predictors

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Fredrik Allgén; [2023]
    Keywords : Forecasting; PCA; Gold; ARMA; Business and Economics;

    Abstract : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. READ MORE

  4. 3. Forecasting gold returns using principal component analysis from a large number of predictors

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Allgén; [2022]
    Keywords : Forecasting; Gold; Principal Component Analysis; ARMA; Business and Economics;

    Abstract : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. READ MORE

  5. 4. Establishing the nature of Bitcoin : A DCC-GARCH analysis

    University essay from Umeå universitet/Företagsekonomi

    Author : Amanda Ekstrand; Mateusz Musial; [2022]
    Keywords : ;

    Abstract : Since its start in 2008 up until the date of this study, Bitcoin has steadily gained considerablyin popularity. However, the digital cryptocurrency still seems to be surrounded by asubstantial amount of mystery as to whether it deserves a spot in anyone's portfolio. READ MORE

  6. 5. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Nikolas Tsigkas; [2022]
    Keywords : Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Abstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE