Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets : Bridging Fundamental and Technical Analysis.

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Keenan, Mark J. S.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Newark : John Wiley & Sons, Incorporated, 2019.
Edición:2nd ed.
Temas:
Commodity exchanges > Mathematical models.
Commodity futures.
Bourses de marchandises > Modèles mathématiques.
Marchés à terme de marchandises.
Commodity exchanges > Mathematical models
Commodity futures
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 1.1 Positioning Analysis
  • What Is It?
  • 1.1.1 Positioning Data
  • 1.1.2 Positioning Analysis
  • Bridging Fundamental and Technical Analysis
  • 1.1.3 Positioning Signals, Indicators, Models, and Analyses
  • 1.2 The History of Positioning Data, the COT Report, and the Agencies that Provide the Data
  • 1.3 Misunderstandings and Issues in Positioning Analysis
  • 1.3.1 The Issue of Lag
  • 1.3.2 The Issue of Trader Classification
  • 1.3.3 The Motivation Behind the Positions
  • 1.3.4 Concerns About the 'Age' of Positions
  • 1.4 Futures and Options Data
  • Chapter 2 The Structure of the Positioning Data
  • Chapter objectives
  • 2.1 The Structure of Positioning Data
  • 2.1.1 The Commitments of Traders (COT) Reports
  • 2.1.2 The COT Report Overview
  • Breaking It Down
  • 2.2 Positioning Data for the London Metal Exchange (LME)
  • The MiFID Classifications
  • 2.2.1 The LME COT Report
  • 2.3 Other Types of Positioning and Flow Data
  • 2.3.1 The London Bullion Market Association (LBMA) LBMA-i Trade Reporting Data
  • 2.3.2 Shanghai Futures Exchange (SHFE) Member Volume, Open Interest Rankings
  • 2.4 The Structure of Commodity Markets
  • 2.4.1 The Total Value of Each Commodity Market
  • Chapter 3 Performance Attribution
  • An Insight into Sentiment and Behavioural Analysis?
  • Chapter objectives
  • 3.1 The Proliferation of Speculative Positioning Data
  • 3.2 Why is Positioning Data Interesting
  • 3.3 Measuring the Skill or Performance of MMs
  • 3.3.1 The Reporting Timeline
  • 3.3.2 Developing a Performance Model
  • 3.3.3 Absolute Performance Based on Net Futures Positioning
  • 3.3.4 Relative Performance Based on Net Futures Positioning
  • 3.3.5 Absolute Performance Based on Net Trader Number Positioning
  • 3.3.6 Relative Performance Based on Net Trader Number Positioning (Trader Alignment)
  • 3.4 Net Futures Positioning vs Net Trader Number Positioning or Alignment
  • 3.4.1 Dynamic Performance Tables
  • Who's the Best
  • Chapter 4 Concentration, Clustering, and Position Size
  • Price Risks and Behavioural Patterns
  • Chapter objectives
  • 4.1 Concentration, Clustering, and Position Size
  • 4.1.1 Formulae and Calculations
  • 4.2 Concentration, Clustering, Position Size, and Their Relationship to Price Over Time
  • 4.2.1 Positioning Price (PP) Concentration Indicator

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