Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations

Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations

NYU Tandon School of Engineering via YouTube Direct link

Introduction

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1 of 16

Introduction

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Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations

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  1. 1 Introduction
  2. 2 Overview
  3. 3 My collaborators
  4. 4 Samuelson Effect
  5. 5 Samuelson Parameterization
  6. 6 Data for Samuelson Calibration
  7. 7 Measuring Samuelson strength
  8. 8 Seasonal Commodities
  9. 9 Relationship between Black and Bachelier Samuelson
  10. 10 Summary of results
  11. 11 Calendar Correlations
  12. 12 Properties of realized correlations
  13. 13 Dynamics of Instantaneous Correlation
  14. 14 Models of growth and decay
  15. 15 Modeling the first column
  16. 16 Results of the calibration

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