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Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis 2nd edition [Kõva köide]

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  • Formaat: Hardback, 288 pages, kõrgus x laius x paksus: 257x185x18 mm, kaal: 771 g
  • Sari: Wiley Trading
  • Ilmumisaeg: 26-Dec-2019
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 111960382X
  • ISBN-13: 9781119603825
Teised raamatud teemal:
Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis 2nd editionSuurem pilt
  • Formaat: Hardback, 288 pages, kõrgus x laius x paksus: 257x185x18 mm, kaal: 771 g
  • Sari: Wiley Trading
  • Ilmumisaeg: 26-Dec-2019
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 111960382X
  • ISBN-13: 9781119603825
Teised raamatud teemal:
Püsilink: https://www.kriso.ee/db/9781119603825.html
Märksõnad:

The definitive book on Positioning Analysis — a powerful and sophisticated framework to help traders, investors and risk managers better understand commodity markets

Positioning Analysis is a powerful framework to better understand commodity price dynamics, risk, and sentiment. It indicates what each category of trader is doing—what they are trading, how much they are trading and how they might behave under a variety of different circumstances. It is essential in isolating specific types of flow patterns, defining behavioral responses, measuring shifts in sentiment, and developing tools for better risk management. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets explains the fundamentals of Positioning Analysis and presents new concepts in Commodity Positioning Analytics. This invaluable guide helps readers recognize how certain types of positioning patterns can be used to develop models, indicators, and analyses that can be used to enhance performance.

This updated second edition contains substantial new material, including analytics based on the analysis of flow, the decomposition of trading flows, trading activity in the Chinese commodity markets, and the inclusion of Newsflow into Positioning Analysis. Author: Mark J S Keenan, also covers the structure of positioning data, performance attribution of speculators, sentiment analysis and the identification of price risks and behavioral patterns that can be used to generate trading signals.. This must-have resource:

  • Offers intuitive and accessible guidance to commodity market participants and risk managers at various levels and diverse areas of the market
  • Provides a wide range of analytics that can be used directly or integrated into a variety of different commodity-related trading, investment, and risk management programs
  • Features an online platform comprising a wide range of customizable, regularly-updated analytical tools
  • Contains an abundance of exceptional graphics, charts, and illustrations
  • Includes easy-to-follow instructions for building analytics.

Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition is an indispensable source of information for all types of commodity traders, investors, and speculators, as well as investors in other asset classes who look to the commodity markets for price information.

About the Author xi
Acknowledgements xiii
Preface xv
About the Companion Website xvii
Introduction 1(6)
Chapter 1 Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets
7(12)
1.1 Positioning Analysis -- What Is It?
8(2)
1.2 The History of Positioning Data, the COT Report, and the Agencies that Provide the Data
10(1)
1.3 Misunderstandings and Issues in Positioning Analysis
10(7)
1.4 Futures and Options Data
17(2)
Chapter 2 The Structure of the Positioning Data
19(26)
2.1 The Structure of Positioning Data
20(8)
2.2 Positioning Data for the London Metal Exchange (LME) -- The MiFID Classifications
28(5)
2.3 Other Types of Positioning and Flow Data
33(1)
2.4 The Structure of Commodity Markets
34(11)
Chapter 3 Performance Attribution -- An Insight into Sentiment and Behavioural Analysis?
45(14)
3.1 The Proliferation of Speculative Positioning Data
45(2)
3.2 Why is Positioning Data Interesting
47(1)
3.3 Measuring the Skill or Performance of MMs
48(7)
3.4 Net Futures Positioning vs Net Trader Number Positioning or Alignment
55(4)
Chapter 4 Concentration, Clustering, and Position Size -- Price Risks and Behavioural Patterns
59(12)
4.1 Concentration, Clustering, and Position Size
60(2)
4.2 Concentration, Clustering, Position Size, and Their Relationship to Price Over Time
62(9)
Chapter 5 `Dry Powder (DP)' Analysis -- An Alternative Way to Visualise Positioning
71(16)
5.1 Dry Powder (DP) Analysis
72(3)
5.2 DP Indicator Variations
75(7)
5.3 DP Indicators and Trading Signals
82(5)
Chapter 6 Advanced DP Analysis -- Deeper Insights and More Variables
87(24)
6.1 Advanced DP Indicator Charts
88(8)
6.2 DP Indicators, Price, and Curve Structure
96(3)
6.3 DP Hedging Indicators
99(2)
6.4 DP Factor, Fundamental, and Currency Indicators
101(10)
Chapter 7 Decomposing Trading Flow and Quantifying Position Dynamics
111(16)
7.1 Decomposing Net Positioning The Methodology
112(3)
7.2 Decomposing Long and Short Positioning -- The Methodology
115(1)
7.3 Who Has Been Driving Prices?
116(2)
7.4 Who is Trading With Whom?
118(4)
7.5 The Impact on Prices
122(2)
7.6 Speed of Positioning Changes
124(3)
Chapter 8 Overbought/Oversold (OBOS) Analysis -- The Intersection of Extremes
127(20)
8.1 The Overbought/Oversold (OBOS) Philosophy
128(1)
8.2 Constructing the Framework
128(4)
8.3 The OBOS Concentration Indicator
132(1)
8.4 Key Attributes of the OBOS Approach
133(1)
8.5 Behavioural Patterns within the Boxes
134(4)
8.6 OBOS Variations
138(3)
8.7 The DP/OBOS Hybrid Indicator
141(6)
Chapter 9 Advanced OBOS Analysis -- Extremes in Sentiment and Risk
147(16)
9.1 The OBOS Framework -- Clustering and Position Sizes
147(8)
9.2 OBOS Factor Indicators
155(4)
9.3 Commodity Risk Premia Positioning Analysis and Risk Management
159(4)
Chapter 10 Sentiment Analysis -- Sentiment Indices and Positioning Mismatches
163(14)
10.1 The Difference between Trader Numbers and Open Interest
164(2)
10.2 Trader Sentiment (TS) Indices
166(6)
10.3 Mismatches in Positioning and Price Inflexion Points
172(5)
Chapter 11 Newsflow in Positioning Analysis
177(14)
11.1 Newsflow Data in Commodity Markets
178(3)
11.2 Building Basic Newsflow Indices
181(5)
11.3 Combining Newsflow with Positioning
186(4)
11.4 Economic Policy Uncertainty
190(1)
Chapter 12 Flow Analysis -- The `Flow Cube' and the `Build Ratio' in Commodity Markets
191(12)
12.1 The Flow Cube
192(6)
12.2 The Flow Cube down the Forward Curve
198(4)
12.3 The LBMA-iTrade Data
202(1)
Chapter 13 Chinese Commodity Markets -- Analysing Flow
203(12)
13.1 The Chinese Commodity Exchanges
203(2)
13.2 The Size of the Chinese Commodity Exchanges
205(3)
13.3 Speculative vs Fledging Activity in Chinese Commodities
208(2)
13.4 The Flow Cube and Build Ratio in Chinese Commodities
210(2)
13.5 The OBOS Framework and the Speculation Ratio
212(3)
Chapter 14 Machine Learning -- A Machine's Perspective on Positioning
215(20)
14.1 Introduction to Machine Learning (ML)
216(1)
14.2 Decision Trees
217(10)
14.3 Feature Importance
227(2)
14.4 Random Forests
229(3)
14.5 Using ML to Trade
232(3)
Appendix 1 History of the COT Report 235(2)
Appendix 2 The COT Reports 237(12)
Index 249
MARK J S KEENAN is Managing Director, Global Commodities Strategist, and Head of Research for Asia-Pacific at Société Générale Corporate & Investment Bank (SG CIB) based in Singapore. He has over 20 years of research, trading and investment experience across all major commodity markets. Mark has worked in asset management, risk management and investment banking in both London and Singapore and developed a number of innovative trading, investment and risk management solutions for corporates, trade houses, investment institutions and hedge funds. He appears regularly on CNBC and Bloomberg television and is quoted widely in global press and media channels. He has a masters degree in Molecular and Cellular Biochemistry from Oxford University.