Analyzing And Forecasting Futures Prices

Analyzing And Forecasting Futures Prices

by Anthony F. Herbst


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Analyzing And Forecasting Futures Prices by Anthony F. Herbst

Gives a clear explanation of the latest methods for analyzing and predicting futures prices. In addition, it explains how these practical techniques can be applied in implementing hedging or speculative strategies. Covers the latest advanced methods such as spectral, array and time series analysis.

Product Details

ISBN-13: 9780595142996
Publisher: iUniverse, Incorporated
Publication date: 12/01/2000
Pages: 260
Product dimensions: 8.25(w) x 11.00(h) x 0.55(d)

Table of Contents

Chapter 1Introduction1
Futures Markets Today2
What Forecasting Can and Cannot Do4
Cycle-Based Forecasting Methods4
Supply, Demand, and Price Cycles6
Chapter 2Market Efficiency and Price Behavior11
Random Walk11
Market Efficiency12
Forms of Market Efficiency13
Empirical Studies of Market Efficiency14
Serial Correlation Tests15
Filter Studies16
Recent Evidence18
Chapter 3Speculation, Risk Bearing, and Money Management21
Is Speculation Necessary?22
Commodity vs. Stock Speculation23
Leverage in Commodities Trading23
The Role of Margin24
Trading Costs25
Who Should (and Should Not) Trade?25
Choosing the Game27
Straight Long or Short Positions27
Spreads and Straddles27
Risk Considerations31
Entering and Lifting the Spread32
Spreading for the Wrong Reasons33
Money Management--Playing to Win!34
Utility and Risk Aversion35
Calculating Personal Utility37
Using Stop Orders43
Limit Moves and Lock-In44
Cutting Losses, Letting Profits Run45
Portfolio Theory and Diversification46
Risk of Ruin49
Chapter 4Fundamental and Technical Analysis53
Fundamental Analysis54
Price Determination56
Market Equilibrium57
Practical Considerations59
Case Study: The Sugar Market60
Technical Analysis61
Traditional Technical Patterns62
Double Tops and Bottoms63
Trends and Channels65
Triangles and Wedges66
Island Reversals69
Other Patterns70
Point-and-Figure Charting72
Cycles and Technical Patterns76
Chapter 5Time Series Analysis and Forecasting81
Forecasting Methods82
Spectral Analysis83
The Box-Jenkins Methodology87
Case Study: Spot Gold92
Appendix 5-1Spectral (Periodogram) Analysis of DEC90 T-Bond Futures Settlement Prices95
Appendix 5-2Illustration of Test of Significance for T-Bond Cycle of 37.14 Days103
Chapter 6Visual and Manual Methods for Finding Cycles105
Trend Removal109
Chapter 7Finding Cycles in Data with a Computer: Spectral Analysis113
The Math behind Spectral Analysis115
The Fast Fourier Transform (FFT)118
Falling through the Gaps119
Life without FFT120
Application of Spectral Analysis121
Chapter 8Judging Whether a Cycle Is Genuine: Array Analysis129
Definition of Genuineness129
Array Analysis130
Example: A Pure Cycle130
Chapter 9Moving Averages, Filtering, and Turning Points147
Simple Moving Average148
Exponential Moving Average150
Moving Averages and Market Turns150
Chapter 10Forecasting with Cycle Combinations155
Successive Removal vs. One-Pass Analysis156
Example: Soybean Prices157
Step 1Spectral Analysis158
Step 2Successive Removal158
Using a Backcast163
Goodness of Fit166
Chapter 11"PDQ" or "Q and D"?: Maximum Entropy Spectral Analysis and Linear Prediction167
Theory and Math behind MESA168
Using MESA to Detect Cycles170
Forecasting with Linear Prediction174
MESA and Longer Cycles176
Case Study: T-bond Futures Forecast179
Chapter 12Comprehensive Case Study183
Ordinary Spectral Analysis184
Maximum Entropy Spectral Analysis186
On the Raw Data186
On the First Differences187
Maximum Entropy with Linear Prediction189
Forecasting with Synthesis of Cycles192
Chapter 13Using Cycles for Spread Trading and Hedging197
Chapter 14The Foundation for the Study of Cycles, by Richard Mogey207
Author's Note207
Cycle Synchronies208
Origins of Cycle Analysis210
Modern Cycle Analysis211
Comparative Cycle Analysis211
The Foundation's Methods of Analysis212
Cycles in Economics, Business, and Weather212
U.S. Stocks213
Interest Rates214
Weather and Climate218
The Economy218
Appendix AFitting Cycles with a Spreadsheet Program221
Creating a Cycle221
Fitting a Cycle of Given Period223
Appendix BThe Bartels Test227
Appendix CForecasting with Exponential Smoothing229
Appendix DReferences and Selected Readings on Market Efficiency231

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