General Quantitative Research

General Quantitative Research

Here we list some ongoing projects and questions we are thinking about. At the end there is a list of posts that explore these question in more details.

Volatility Modeling

  • Is there some kind of seasonality present in the volatility of the roll adjusted price curves?
    • Can you model the volatility?
      • GARCH,
      • ARIMA,
      • Holt-Winter are,
      • Other models
  • If we can model the volatility, can we impelent this in the trend system?
    • Does this add value to the original system?
    • Can you put a number on the possible value added?
Volatility Futures Rolling Machine Learning
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Mauritz van den Worm
Portfolio Manager and Quantitative Researcher

My research interests include the use of artificial intelligence in managing commodity portfolios

Posts

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 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

1 Introduction 2 Explore the Roll Yield 3 Simple Model 4 Comments 1 Introduction The aim of this write-up is to give some proof of …
5 min read Relative Value, Roll

1 Introduction 2 Side of the bet 3 Size of the bet 1 Introduction One of our main flavours of commodity alpha we like to harvest is …
3 min read Carry, Meta-Labeling