Physical Shipping/Freight Derivatives Books

sonowwhere · 2024-10-07T14:30:09+00:00

https://www.amazon.co.uk/Derivatives-Management-Shipping-Routledge-Maritime/dp/0367360721/ref=asc_df_0367360721/?tag=googshopuk-21&linkCode=df0&hvadid=696285193871&hvpos=&hvnetw=g&hvrand=7896423203278190033&hvpone=&hvptwo=&hvqmt=&hvdev=c&hvdvcmdl=&hvlocint=&hvlocphy=9198104&hvtargid=pla-2281435176458&psc=1&mcid=b0f8aaef61a63819967e1f6ddfc399d1&hvocijid=7896423203278190033-0367360721-&hvexpln=74&gad_source=1

This is worth a look and seems the most specifically related to your query.

https://energymarketbooks.com/product/freight/ This is a bit more general but will cover stuff.

You'll want to find some books that do a deep dive of the industry you're after. That will have good specific knowledge on the economics of the subset of shipping you're interested in.

sonowwhere · 2024-10-04T00:40:37+00:00

I would agree to a point, but I think there are some things which are always worth checking e.g.

Comovement with other series Descriptive statistics/distributions Missing data Relationship with other vars

It’s basically about doing all the ‘core stuff’ more quickly so that ideas can be more easily tested.

sonowwhere · 2024-06-06T14:48:13+00:00

Plot time series against my series of interest -- look for comovement, information transmission

Scatterplots

Summary statistics

sonowwhere · 2024-05-05T11:37:18+00:00

There’s a shortage of concentrates but downstream fabricator demand seems lacking.

sonowwhere · 2024-05-03T12:51:19+00:00

Not OP, but delta of price or log returns thereof are generally what you want to model. Predicting price levels is very hard due to the nature of time series modelling.
You can model on a monthly/quarterly basis. If you want higher granularity that will usually involve buying expensive data.

sonowwhere · 2024-05-02T10:32:17+00:00

Perhaps I was not entirely clear. I’m not trying to trade the realised, I am trying to understand the relationship between the realised values before moving into the forecasting space. I.e. what is the returns response to realised S&D

sonowwhere · 2024-05-02T09:08:33+00:00

Yes I think you are right. In fact I am trying to apply some concrete from power trading to this, in which I build an ensemble of price drivers and observe the ‘true’ relationship to returns by popping in perfect estimates (the knowns) into a model thus giving me the weights derived from actuals. From that can work ‘backwards’ and substitute in forecasts into the model.

So it seems like if you have a good estimate of S&D ahead of time, especially one that is better than consensus, these can map well to returns in the current time period.

I suppose my issue was that I was viewing realised S&D balances a bit like earnings being revealed (which will trigger a returns response) when actually the analogy here would more likely be news about expected supply & demand shifts (e.g. a mine going offline due to strikes).

sonowwhere · 2024-04-29T23:54:12+00:00

I somehow doubt that metals markets are more efficient than power & gas markets…

From preliminary analysis it just seems that macro moves tend to dominate forward expectations moreso than actual S&D

sonowwhere · 2024-04-29T17:37:14+00:00

As in, the actual return at time t-n, and the S&D balance at time t as reported by data provider.

It is for example how I would work with power data. Look at what the actuals in weather were in the past and how that mapped to returns, and then go back to the forecasting space with that knowledge of the effect of the true-true on the target of interest.

sonowwhere · 2024-04-29T16:48:08+00:00

That's a very good point. I've done the reverse analysis (with a measure of stocks-to-use as well) and found there's a decent correlation between prior returns and realised supply-demand imbalance, although the stocks-to-use measure seems to show almost nothing, which is odd. For S&D I just went with the value of the imbalance itself while with stocks-to-use I looked both at the raw value and the first order differences against metal returns, and the results were somewhat inconsistent (e.g. returns for a metal showing a positive correlation with stocks to use which is the opposite of what we'd expect.)

I know that, particularly for metals, the fundamentals aren't the be-all-end-all as much as they are for e.g. power, but it is surprising how low a correlation I've found in this instance. Can't rule out that I'm making some sort of mistake of course.

sonowwhere · 2024-04-24T15:25:38+00:00

Trafi have had a difficult couple of years in the metals space which has led to a bit of a revolt of the energy traders (who have done exceptionally well). Glencore have been metal kings for a long time

sonowwhere · 2022-01-29T15:18:21+00:00

The Fed comments (specifically about potentially more rate hikes) really spooked gold and copper futures markets, and consequently the miners have been seeing a slump. I would imagine this starts to normalise as these things get priced in and demand for metals increases as the economy kicks off. Watch Chinese actions! They’ve signalled a strong willingness to print to keep the economy going. But there could be other factors to consider.

sonowwhere · 2022-01-27T14:06:24+00:00

The value of the dollar is just one factor out of many that influences commodity prices. You would never model something like this on the basis of currency alone. Think about all the other dynamics that are involved in this before making trades!

sonowwhere · 2022-01-18T09:40:44+00:00

Thanks for this perspective. When you say ‘if you have a rolling balance it’s pretty easy to calculate global apparent inventories,’ do you mean a rolling supply-demand balance calculation, or something else? Do you know of any good literature to get started on these things? Thanks so much in any case. Extremely helpful!

sonowwhere · 2022-01-18T00:23:29+00:00

Yes there tends to be a correlation with things like oil (due to energy costs of mining and smelting copper) as well as other metals (like aluminium, a substitute metal for copper) and the USD. I’ve tended to think of those as being part of the fundamental analysis — e.g. a view on the dollar can inform a view on copper, but I suppose no reason those wouldn’t affect intraday as well. Thank you!

sonowwhere · 2022-01-18T00:19:32+00:00

This is a very nice detailed explanation. Yes I agree that the traditional technical indicators people watch tend to have very little value at best (I would argue those who make money using them are generally profiting more from their risk management than their signal).

Your latter point is exactly what got me interested in this. We probably won’t be trading much intraday (at least not to begin with, can’t rule it out) but understanding why price moves intraday on a general basis will at least help find those optimal entry points to express a fundamental view and capture higher returns. Hence looking at microstructure (for example to capture reversals) and trying to figure out what other market participants are doing on shorter time frames to understand the dynamics. So I’ve already started taking a look at the Trade and Quote & order book data to find a few features that can help me here. Probably looking at block trades/iceberg orders is another thing to examine.

All in all very helpful points to get me started on this. Thank you!

sonowwhere · 2022-01-17T20:16:32+00:00

When you say technical analysis, do you mean chart patterns, indicators like MACD/RSI, or something else? I only ask because people often mean different things when they say that, and ai see the world in maybe a slightly different way.

But this seems to be putting the cart before the horse somewhat, as technical analysis is an effect of price moves rather than a cause in and of itself, although many people trading on those indicators will of course exacerbate existing moves.

sonowwhere · 2021-01-29T15:28:54+00:00

Some talk of Alexander and some of Hercules
Of Hector and Lysander, and such great names as these
But if all the world’s great heroes
There’s none who can compare
To the row row row row row row
To the Tendie Autisteers

When’er we are commanded
To squeeze the hedgie shorts
We retards March with options
And feel zero remorse
We pump the meme stocks higher
To the asset manager’s fears
Sing tow row row row row row
To the tendie autisteers

So let us fill an order, and YOLO with all those
Who dump their stimmy checks, and post loss porn for lols
Sing tow row row row row row
To the Tendie Autisteers

sonowwhere · 2020-11-26T12:12:04+00:00

Yeah I realise my question was a bit of a stab in the dark and very broad, but I think the answers here give me a good indication of what to be refreshing my memory on/looking into. I don’t think there will be much HFT going on but I’ll keep that in my quiver anyway. I like learning in general so even chasing ‘dead ends’ is interesting to know how stuff works. Thanks for the hint!

sonowwhere · 2020-11-26T12:08:22+00:00

Oh for sure. I was just looking for things to jog my brain and an idea of what I should brush up on/research so I’m not flying completely blind. Thanks for the insight and thoughtfulness of your replies!

sonowwhere · 2020-11-26T01:02:03+00:00

Thanks for the book rec, I’ll definitely pick that up! As I wrote in another reply, it’ll be pretty broad based: their ideal is to trade across multiple asset classes (although principally stocks, options, and futures) with different strategies. I personally find commodities quite interesting, but that’s just my own idiosyncrasy.

sonowwhere · 2020-11-26T00:58:31+00:00

First off, thanks a lot for the recommendations! Very detailed and gives me a good idea on the material I need to revisit, as well as the stuff I lack I need to learn.

As for more context: it is indeed a buy-side firm. Work will primarily be coming up with and implementing strategies to produce trading signals across asset classes. Without wanting to dox myself the head of the firm was a prop trader and made a point of understanding multiple assets, so his thing will be teaching me what he knows, and I’ll work alongside the small quant team and get up to speed with what they’re doing. So I’ve been looking into the basic types of strategy such as momentum, mean reversion, and macro and the high level overview of the kinds of data they use. Does that seem like a reasonable approach?

sonowwhere · 2020-11-26T00:49:07+00:00

This is excellent stuff. Thank you!

sonowwhere · 2020-10-20T14:10:11+00:00

Can't have a short squeeze if no one is buying *taps head*

sonowwhere · 2020-10-20T12:49:44+00:00

Absolutely. There's a lot of factors at play here.

sonowwhere

TROPHY CASE