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1 Introduction 2 Deterministic Model 2.1 Deterministic Model Sensitivity 2.2 Deterministic Curve Prediction 3 Probabilistic Model 3.1 …
Last updated on 30 min read Closing Stock Models, Wheat, Ensemble Models

1 Introduction 2 Deterministic Model 2.1 Deterministic Model Sensitivity 2.2 Deterministic Curve Prediction 3 Probabilistic Model 3.1 …
14 min read Closing Stock Models, Corn

1 Introduction 2 Planting Pace 3 Events Study 4 Remarks 1 Introduction Recently it has been in the news that US corn planting has …
2 min read Corn, Events Study, NASS

1 Introduction 2 Deferred vs Front month prices 3 Option Strategies 4 Spread vs Stock-to-Usage 5 Remarks 1 Introduction We are …
5 min read Calendar Spreads, Corn, Option Structure

1 Global Pork Market 2 Balance Sheets 3 Monthly hog slaugter numbers 4 Slaughtering Capacity 5 Remarks 1 Global Pork Market The …
Last updated on 7 min read Hogs, Pork, Capacity Constraints

1 Introduction 2 AC vs AK 3 BO vs IJ 4 BO vs SH 5 C vs CA 6 C vs CT 7 C vs CUA 8 C vs DL 9 C vs EP 10 C vs FC 11 C vs KW 12 C vs LC 13 …
Last updated on 4 min read Roll, Relative Value

1 Intro and summary 2 BO vs IJ 3 BO vs SH 4 BO vs SH 5 C vs CRD 6 C vs CT 7 C vs CUA 8 C vs DL 9 C vs EP 10 C vs FC 11 C vs KW 12 C vs …
Last updated on 28 min read Relative Value, Sizing

1 Introduction 2 Roll Adjusted Prices 3 The Role of Roll Yield 4 Sugar Spread Volatility vs Roll Yield 5 Remarks 1 Introduction The …
7 min read Calendar Spreads, Carry, Relative Value, Roll, Sugar

Introduction Traditionally we identify possible inter-commodity and calendar spreads based on whether the spread is stretched or …
5 min read Calendar Spreads, Time Series Decomposition

1 Introduction 2 Lead-Lag 3 Return Distributions 4 Return Correlations 5 Linear Model 6 The Spread 7 Remarks 1 Introduction Our bread …
185 min read Wheat