CPD Events
Using the Signature Method to Classify Commodities and Select Commodity Options Strategies
19 Nov 2024
About the event
Can we distinguish between various commodities markets purely based on the time series of their prices? In this talk; we use the signature method (related to rough path theory) to construct features for a random forest that distinguishes between storable and non-storable commodities with a high degree of accuracy. It turns out that; in the same way that machines can identify dogs in digital images; price formation in a given market has certain tell tale signs. This is true even if we normalize according to volatility. These insights allow us to explain why certain standard options strategies work relatively well in some commodities markets; yet underperform in others.
Send an enquiry
Fitch Learning
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct. We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.