Crude Oil Futures - Stat Analysis on Fundamentals

Crude Oil Futures - Stat Analysis on Fundamentals

Cancelled

Job Description

To forecast Front Month of Crude Oil Futures via Statistical Analysis (PCA, Kalman, or any stochastic/non-parametric models). Model open for discussion and your inputs.

Parameters
- US Dollar Index
- Crude Oil Inventories & Net Imports
- OPEC Spare Capacity
- A couple of major currency pairs

Objective
Create time-series model with forecast of (i) trading direction (via indicators), (ii) stop loss (via variance analysis/probability), (iii) position sizing (via risk/volatility).

References
Front Month futures contract refers to CLZ3 for this month:
http://www.quandl.com/OFDP-Open-Financial-Data-Project/FUTURE_CLZ2013-Crude-Oil-Futures-December-2013-CLZ2013-NYMEX

Front Month 'rollsover' to the next/succeeding month when trading in the current delivery month stops. We can hence refer to:
http://www.quandl.com/OFDP-Open-Financial-Data-Project/FUTURE_CL1-NYMEX-Crude-Oil-Futures-Continuous-Contract-1-CL1-Front-Month