White Papers

 WTI Futures Curve Analysis with PCA (Part 1)

Theoretically, crude oil future prices reflect the market participants’ expectation of future demand and supply, as well as their overall uncertainty. The crude oil future market is an interesting market to analyze. Laws of cost-of-carry, supply and demand still apply, but geopolitical risk...

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 US Crude Reserve Modeling

In this paper, we will model the dynamics in the crude oil stockpile (including SPR) level over time, and project a forecast for the next 12 months.

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 S&P 500 monthly returns

The S&P 500 is a value weighted index published since 1957 of the prices of 500 large cap common stocks actively traded in the United States.Many index funds and exchange-traded funds attempt to replicate (before fees and expenses) the performance of the S&P 500 by holding the same...

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 S&P 500 Daily Returns Analysis

In the paper, we consider the daily log returns for the S&P 500, examine its statistical properties, construct an EGARCH model, examine several [tip:innovations=shocks or noise] distribution models (e.g. Gaussian, Students t, GED), and verify whether the models assumptions are satisfied....

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 Russell 2000 weekly returns

Russell 2000 is by far the most common benchmark for mutual funds that identify themselves as "small-cap". Similar to S&P 500, Russell 2000 is a value weighted index and many index funds and exchange-traded funds (e.g. iShares Russell 2000 Index (IWM)) attempt to replicate (before fees and...

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 Russell 2000 monthly returns

Russell 2000 is by far the most common benchmark for mutual funds that identify themselves as "small-cap". Similar to S&P 500, Russell 2000 is a value weighted index and many index funds and exchange-traded funds (e.g. iShares Russell 2000 Index (IWM)) attempt to replicate (before...

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