The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange...

Full paper available at: "https://ssrn.com/abstract=2840730" https://ssrn.com/abstract=2840730This supplementary material to "Which Risk Factors Drive Oil Futures Price Curves?" includes the derivation of the futures price expression, details of the Kalman Filter utilised, and the equation for...

Supplementary material available at: "https://ssrn.com/abstract=3312707" https://ssrn.com/abstract=3312707We develop extensions that introduce regression structure to the multi-factor stochastic models of commodity futures price term structure dynamics. We demonstrate the accuracy with which...

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

Abstract In crush spread commodity trading strategies it is a common practice to select portfolio positions not based on statistical properties, but instead based on physical refinery conditions and efficiency in extracting byproducts from crushing raw soybeans to get soymeal and soyoil. The...

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-time stamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity...

During the COVID-19 pandemic, governments globally had to impose severe contact restriction measures and social mobility limitations in order to limit the exposure of the population to COVID-19. These public health policy decisions were informed by statistical models for infection rates in...

A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamics of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...