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Could you please elaborate a bit more? Thanks a lot!

Unfortunately we don't have coverage at ML... anybody please help me? We have coverage at MS though...

Futures curve based alpha strategy In an Merrill Lynch commodity report, they mentioned about a futures curve-based alpha strategy. It's a systematic trading strategy. It looks attractive...however, being a proprietary strategy, they didn't give any further details... Anybody could...

Futures curve based alpha strategy In an Merrill Lynch commodity report, they mentioned about a futures curve-based alpha strategy. It's a systematic trading strategy. It looks attractive...however, being a proprietary strategy, they didn't give any further details... Anybody could...

how to estimate the fill rate? If I stay at the near side (ie. if I am buying, I put a limit order on the buy-side, passively waiting; if I am selling, I put a limit order on the sell-side, passively waiting)... how to estimate the fill rate for these cases from historical L1, L2 data...

Yeah, my original question was: if you throw 10 pairs into a basket, each pair with fixed trading ratio, shouldn't that be sub-optimal to consider all those assets in the basket as a generalized pairs trading setup, so you can "optimally" decide the best long short sizes/weights among the...

generalized pairs trading ... how does the math work? In pairs trading, you long $N and short $N at the same time to make it dollar neutral, how do you do that in the case of generalized pairs trading with more than 2 assets, and you want to formulate an optimization framework that allows some...

lets say a stock dropped more than 20%, and I would stop out... does MV portfolio handle that?

anybody interested? drop me a line and lets discuss i am thinking of subscribing to those expensive reports...

I checked: that was the then front spread, occurred on 12/19/2008, -$8.49 and then on 1/16/09, -6.06 on 2/6/09, -5.98

Hi professor, Could you please elaborate on (1) why did producers increased their net short position? and on which month contract? Do producers typically short the back end of the curve (i.e. the months that are further out)? (2) why does that imply the ample storage levels for the...

Correct me if I am wrong - I had an impression that these are not leading indicators of the price movement ... and therefore they are of no use to trading...

any benefits of trading electricity compared to trading more popular stuff such as crude oil futures, etc.?

Hi all, I am forming a study-group where people having common interests can share their daily readings and recommend readings to their colleagues. We are in an era with explosive info. There are so many interesting things to read every day. We probably could share our interests and...

Thanks a lot! My question is related to all commodities...

okay any other better research/analysis/newsletters?

that's an old article... how about now?

Any other better research/analysis/newsletters? Thanks!

Time is 1 month; but the size of the move is unknown... of course you can collect stats of the sizes of the past 20 movements... 15 of them were positive, 5 of them were negative. And then you have a very crude distribution.

If you observe that S&P500 roses in certain period 15 out 20 times in the past, historically. What's the best strategy for such play?