Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations

Brooklyn Quant Experience - In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations

Explore the intricacies of commodity volatilities and correlations in this NYU Tandon School of Engineering lecture by Adjunct Professor Roza Galeeva. Delve into the Samuelson Effect, its parameterization, and calibration using real-world data. Examine seasonal commodities and the relationship between Black and Bachelier Samuelson models. Investigate calendar correlations, including the properties of realized correlations and the dynamics of instantaneous correlation. Learn about models of growth and decay, and understand the process of modeling the first column in correlation matrices. Gain insights into the results of calibration efforts in this comprehensive exploration of commodity market behavior.