Essays about: "thesis on WTI"

Found 4 essays containing the words thesis on WTI.

1. 1. Forecasting commodity futures using Principal Component Analysis and Copula

   University essay from Lunds universitet/Matematisk statistik

   Author : Martin Jacobsson; [2015]
   Keywords : PCA; Copula; Mean-reversion; Momentum; Elliptical copulas; Maximum Likelihood; Cramer-von Mises; Sharpe Ratio.; Mathematics and Statistics;

   Abstract : The ever ongoing battle to beat the market is in this thesis fought with the help of mathematics with a way to reduce the information to its core. It is called PCA, Principal Component Analysis. This is used to build a model of future commodity prices. READ MORE

3. 2. Nordic electricity hedging : A comparison with other commodity market structures

   University essay from KTH/Tillämpad termodynamik och kylteknik

   Author : Ville Nurmos; Mattias Andersson; [2013]
   Keywords : Nordic electricity; steel billet; lean hogs; crude oil; hedging; future markets; commodities; market structure;

   Abstract : This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. READ MORE

4. 3. Time-Varying Correlation and the Benefits of Cross-Asset Class Diversification

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Tobias Lideus; Rikard Engberg; [2013]
   Keywords : Correlation; Diversification; Investment Management; Corporate bonds; Sharpe ratio;

   Abstract : In this thesis, return data on the US stock and corporate bond markets together with gold and WTI-Crude Oil prices over the period 1987 - 2012 were used to examine the time-varying correlations and benefits from cross-asset class diversification. It concludes that correlations vary distinctly over time and an all-equity investor benefit from having positions in the bond market, as investment grade bonds have shown a generally low or negative correlation with the stock market during crises. READ MORE

5. 4. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

   University essay from Göteborgs universitet/Graduate School

   Author : Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
   Keywords : Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

   Abstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE