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Robske24
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Joined: April 14th, 2005, 4:47 am

Commodities and energy markets modelling

April 14th, 2005, 7:32 am

Hi all,I am currently seeking a topic to complete for an honours thesis next year. I am interested in researching either energy (oil and gas) or commodity markets which will most probably involve using data on energy and commodity futures rather than spot prices, although i am interested in possibly modelling relationships and correlations between futures and spot prices. I would prefer to concentrate on actively traded commodities rather than bulk and fixed contract commodities.I have searched a number of finance journals, but there is not a great deal of information or past research in this area. Is there anyone out there who has an interest in this area or would have a suggestion as to an interesting research topic which could be investigated in energy or commodity markets? Any thoughts would be greatly appreciated
 
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temnik
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Joined: September 17th, 2003, 6:17 pm

Commodities and energy markets modelling

April 14th, 2005, 6:02 pm

Nymex.com and theice.com are your friends as far as data goes. And where did you get the terminology "bulk and fixed contract"? There isn't much I could suggest about the topic unless you tell me how much finance/statistics/math you know and how much time you have for this project. Why do you want to do commodities specifically - is it because oil is $50+/bbl?
Last edited by temnik on April 13th, 2005, 10:00 pm, edited 1 time in total.
 
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Robske24
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Joined: April 14th, 2005, 4:47 am

Commodities and energy markets modelling

April 15th, 2005, 12:51 am

In terms of math/statistical knowledge i am currently completing relevant courses at university, however i have a sound understanding of regression modelling and econometrics. I am currently using the stata econometrics package, however i will be learning matlab and possible visual basic before doing the research. I was open to any suggestions as a have only just begun looking for topics, i will not actually be completing the thesis unitl the second half of next year. I will have about 4 months to do the actual research, however i want to select a topic now and gain the necessary mathematical and programming stills before next year so i am able to complete the research.I have spoken to one of the prfoessors at my university who will be taking me on for the honours program, and the reason i chose commodity markets is for one because i do have an interest in the area, two because the professor taking me also has an interest in the area and because there is not a great deal of research in this area in financial literature, i felt there would be something valuable to contribute, and it would also make it easier to get higher marks. I guess the fact that oil is over $50 a barrel is a factor in choosing this, but not so much the price level as the volatility and divide amongst practitioners about the future direction of oil and commodity prices is what interests me. However, despite this, i will still be analysing data from years back, so recent price movements will make up only a portion of the research.The reason i actually posted here was to see if there were any practitioners working in the field or trading commodities or researching the area, who had encountered a problem or area which would potentially require further research.I am open to any suggestions. The level of math and statistics involved is not really an issue.
 
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Robske24
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Joined: April 14th, 2005, 4:47 am

Commodities and energy markets modelling

April 15th, 2005, 12:53 am

Oh and by bulk and fixed contract commodities i am referring to comodities such as iron ore and coal. I am more interested in researching commodities which are traded in futures contracts on active exchanges
 
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sgelb
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Joined: July 14th, 2002, 3:00 am

Commodities and energy markets modelling

April 15th, 2005, 10:05 am

pls send me a pm.