In this study, we examine the daily prices of the first four (4) contracts of WTI CL futures listed on NYMEX, compute the number of days to the delivery month for each contract, and carry out principal component analysis (PCA)…
In this case, we examine the highway retail price ($/Gallon) for “No.2 Ultra Low Sulfur (0-15 ppm) Diesel” in the EIA nine (9) PADD regions and carry on principal component analysis in an attempt to find a minimal subset of…
In this paper, we will apply simple linear regression to calculate the CAPM beta for two technology stocks: Microsoft (MSFT) and IBM, then validate the model’s assumptions, identify influential data-points (e.g. outlier), ensure structural stability over the data sample, and…
In this paper, we’ll examine a claim by a portfolio manager (let’s call him trader B) about his ability to generate statistically significant Alpha. Alpha is the excess-return compensation for the risk borne, and thus commonly used to assess active…
The case deals with the predictability of the daily closing EUR/USD exchange rate, given its prior history. First, we constructed a trading strategy where we buy EUR at market open, and close the position (selling EUR) at the market close…