Technical paper/Futures
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.
The informational role of spot prices and inventories
The authors of this paper argue that fundamental determinants of speculative futures trading may have been misinterpreted by some as “excessive” speculation in the energy markets in recent years.
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
Cutting edge: Kriging smooth energy futures curves
Applying kriging to extract smooth curves from energy futures prices
Two centuries of trend following
Volume 3, Issue 3 (2014)
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
Detecting market transitions: from backwardation to contango and back
Svetlana Borovkova looks at detecting market transitions between backwardation and contango states using the forward curve. In this first part of a two-part article, she introduces two change indicators, which she applies to oil futures prices. Next…