Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations
Offered By: New York University (NYU) via YouTube
Course Description
Overview
Explore the intricacies of commodity volatilities and correlations in this NYU Tandon School of Engineering lecture by Adjunct Professor Roza Galeeva. Delve into the Samuelson Effect, its parameterization, and calibration using real-world data. Examine seasonal commodities and the relationship between Black and Bachelier Samuelson models. Investigate calendar correlations, including the properties of realized correlations and the dynamics of instantaneous correlation. Learn about models of growth and decay, and understand the process of modeling the first column in correlation matrices. Gain insights into the results of calibration efforts in this comprehensive exploration of commodity market behavior.
Syllabus
Introduction
Overview
My collaborators
Samuelson Effect
Samuelson Parameterization
Data for Samuelson Calibration
Measuring Samuelson strength
Seasonal Commodities
Relationship between Black and Bachelier Samuelson
Summary of results
Calendar Correlations
Properties of realized correlations
Dynamics of Instantaneous Correlation
Models of growth and decay
Modeling the first column
Results of the calibration
Taught by
NYU Tandon School of Engineering
Tags
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