Inflation and precious metal prices
Theory and plausibility suggest that precious metal prices benefit from inflation and negative real interest rates. This makes gold, silver, platinum, and palladium natural...
Real-time growth estimation with reinforcement learning
Survey data and asset prices can be combined to estimate high-frequency growth expectations. This is a specific form of nowcasting that implicitly captures all...
Estimating the positioning of trend followers
There is a simple method of approximating trend follower positioning in real-time and without lag. It is based on normalized returns in liquid futures...
Forecasting energy markets with macro data
Recent academic papers illustrate how macroeconomic data support predictions of energy market flows and prices. Valid macro indicators include shipping costs, industrial production measures,...
Fundamental trend following
Fundamental trend following uses moving averages of past fundamental data, such as valuation metrics or economic indicators, to predict future fundamentals, analogously to the...
Prospect theory value as investment factor
Prospect theory value as investment factor
Prospect theory value is a valid investment factor, particularly in episodes of apparent market inefficiency. Prospect theory is a...
Understanding international capital flows and shocks
Macro trading factors for FX must foremostly consider (gross) external investment positions. That is because modern international capital flows are mainly about financing, i.e....
R tidyverse for macro trading research
The tidyverse is a collection of packages that facilitate data science with R. It is particularly powerful for macro trading research because it...
Nowcasting with MIDAS regressions
Nowcasting macro-financial indicators requires combining low-frequency and high-frequency time series. Mixed data sampling (MIDAS) regressions explain a low-frequency variable based on high-frequency variables and...
Market-implied macro shocks
Combinations of equity returns and yield-curve changes can be used to classify market-implied underlying macro news. The methodology is structural vector autoregression. Theoretical ‘restrictions’...
RECENT ARTICLES
Classifying market states
Typically, we cannot predict a meaningful portion of daily or higher-frequency market returns. A more realistic approach is classifying the state of the market...
What traders should know about seasonal adjustment
The purpose of seasonal adjustment is to remove seasonal and calendar effects from economic time series. It is a common procedure but also a...
Inflation and precious metal prices
Theory and plausibility suggest that precious metal prices benefit from inflation and negative real interest rates. This makes gold, silver, platinum, and palladium natural...