| Description |
1 online resource (283 pages) |
| Contents |
1.1 Positioning Analysis -- What Is It? -- 1.1.1 Positioning Data -- 1.1.2 Positioning Analysis -- Bridging Fundamental and Technical Analysis -- 1.1.3 Positioning Signals, Indicators, Models, and Analyses -- 1.2 The History of Positioning Data, the COT Report, and the Agencies that Provide the Data -- 1.3 Misunderstandings and Issues in Positioning Analysis -- 1.3.1 The Issue of Lag -- 1.3.2 The Issue of Trader Classification -- 1.3.3 The Motivation Behind the Positions -- 1.3.4 Concerns About the 'Age' of Positions -- 1.4 Futures and Options Data -- Chapter 2 The Structure of the Positioning Data |
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Chapter objectives -- 2.1 The Structure of Positioning Data -- 2.1.1 The Commitments of Traders (COT) Reports -- 2.1.2 The COT Report Overview -- Breaking It Down -- 2.2 Positioning Data for the London Metal Exchange (LME) -- The MiFID Classifications -- 2.2.1 The LME COT Report -- 2.3 Other Types of Positioning and Flow Data -- 2.3.1 The London Bullion Market Association (LBMA) LBMA-i Trade Reporting Data -- 2.3.2 Shanghai Futures Exchange (SHFE) Member Volume, Open Interest Rankings -- 2.4 The Structure of Commodity Markets -- 2.4.1 The Total Value of Each Commodity Market |
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Chapter 3 Performance Attribution -- An Insight into Sentiment and Behavioural Analysis? -- Chapter objectives -- 3.1 The Proliferation of Speculative Positioning Data -- 3.2 Why is Positioning Data Interesting -- 3.3 Measuring the Skill or Performance of MMs -- 3.3.1 The Reporting Timeline -- 3.3.2 Developing a Performance Model -- 3.3.3 Absolute Performance Based on Net Futures Positioning -- 3.3.4 Relative Performance Based on Net Futures Positioning -- 3.3.5 Absolute Performance Based on Net Trader Number Positioning |
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3.3.6 Relative Performance Based on Net Trader Number Positioning (Trader Alignment) -- 3.4 Net Futures Positioning vs Net Trader Number Positioning or Alignment -- 3.4.1 Dynamic Performance Tables -- Who's the Best -- Chapter 4 Concentration, Clustering, and Position Size -- Price Risks and Behavioural Patterns -- Chapter objectives -- 4.1 Concentration, Clustering, and Position Size -- 4.1.1 Formulae and Calculations -- 4.2 Concentration, Clustering, Position Size, and Their Relationship to Price Over Time -- 4.2.1 Positioning Price (PP) Concentration Indicator |
| Notes |
4.2.2 Positioning Price Clustering Indicator |
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Print version record |
| Subject |
Commodity exchanges -- Mathematical models
|
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Commodity futures.
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Commodity exchanges -- Mathematical models
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Commodity futures
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| Form |
Electronic book
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| ISBN |
9781119603740 |
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1119603749 |
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9781119603825 |
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111960382X |
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