A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study uses APT and QR to identify risk factors affecting crude oil returns.
Model assesses systemic risk in crude oil and gasoline futures markets.
Hidden Markov model predicts profitable statistical arbitrage in Shanghai crude oil futures.
Study uses a bivariate model to price crude oil futures.
Improved crude oil price forecasting using multi-dimensional LLM sentiment signals.
We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency hypothesis by employing th…
The study examines how global economic policy uncertainty affects crude oil futures volatility.
Study analyzes crude oil futures markets using visibility graphs to understand their structure and dynamics.
The Heston model is validated for option pricing using theoretical derivations and empirical market data.
Study shows how COVID-19 pandemic affected China's crude oil futures market efficiency.
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its b…
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and other important events. The series under study is the daily prices of West Texas Intermediate (WT…
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in extracting interactions between financial entities. Here, we propose a modified MST n…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the a…
The dissertation investigates the application of Probabilistic Graphical Models (PGMs) in forecasting the price of Crude Oil. This research is important because crude oil plays a very pivotal role in the global economy hence is a very critical macroeconomic indicator of the industrial growth. Given the vast amount of m…
The paper develops a new model for rough volatility in commodity markets.
Study improves prediction of commodity futures using multi-factor model.
The paper presents a method for detecting jump sizes in crude oil prices.
Crude oil is a major component in most advanced economies of the world. Accurately predicting and understanding the behavior of crude oil prices is important for economists, analysts, forecasters, and traders, to name a few. The price of crude oil has declined in the past decade and is seeing a phase of stability; but …
This non-linear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based on that week's closing exchange rate. Though a good correlation was obtained duri…
The study finds a long-term relationship between Dubai crude oil and US natural gas prices.
Coronavirus impacts oil prices through volatility and direct effects.
Hybrid approach improves crude oil price forecasting using multi-scale data.
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested …
New risk measures incorporate economic states to assess crude oil derivatives.
The paper examines spillovers between agriculture, crude oil, carbon, and climate markets.
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a nonlinear causal relationship among the three markets considered, with the causality go…
Paper introduces new indicators for forecasting crude oil prices using short news headlines.
Study shows oil prices but not COVID-19 cases affect US economic policy uncertainty.
Unified framework maps financial market dynamics using TE and KM, revealing directional information flow.
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil,…
Refined BN-S model improves crude oil hedging with machine learning.
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini SP500 futures prices on 5 min intra-day recordings in the period January 2012 - December 2017 are studied. It is shown that in most of th…
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed model-free measures of int…
We created financial benchmarks for distribution shifts in crude oil prices and volatility.
Improved BN-S model for crude oil price analysis using machine learning.
Research uses SWT and BDLSTM to forecast stock and oil prices amid COVID-19.
Belief networks are a new, potentially important, class of knowledge-based models. ARCO1, currently under development at the Atlantic Richfield Company (ARCO) and the University of Southern California (USC), is the most advanced reported implementation of these models in a financial forecasting setting. ARCO1's underly…
Machine learning models outperform traditional trading strategies in crude oil markets.
Study exchange option pricing with stochastic volatility and correlation.
Study uses multiple online media to predict crude oil prices.
Study reduces financial dynamics complexity using PCA for NASDAQ, oil, gold, and USD.
Study improves exchange rate forecasting using machine learning and interpretable methods.
In order to obtain a reasonable and reliable forecast method for crude oil price volatility, this paper evaluates the forecast performance of single-regime GARCH models (including the standard linear GARCH model and the nonlinear GJR-GARCH and EGARCH models) and the two-regime Markov Regime Switching GARCH (MRS-GARCH) …
This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports Weiner's (1991) regionaliz…
This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal of attention was paid on finding the optimal ANN model structure. In addition, several methods of data pre-processing were tested. Our approach is…
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisi…
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices return to their equilibrium …