Spread and Curve Analysis in Commodities

Student: Lysov Anton

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2017

Although the complexity of pricing, common models for commodities markets are too simple and do not work applied to real markets. There are some papers which consider factor variables for commodities time structure and some papers in which statistical analysis of spread time series is conducted. Nevertheless, there are few recent papers which consider fundamental factoes and apply statistical methods to implement these factors into particular model. This paper follow such goal.

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