API numbers are in lower than expected, but the real news is not that crude inventories are down and refined stocks are higher by a less than expected amount. The real news is here: “Crude inventories in the world’s biggest oil consumer fell 63,000 barrels. Analysts polled by Reuters had expected them to rise by…Read more
Jawwad
Watch list – Inventories report and Iraq Oil
Both API and EIA are scheduled to report petrochemical inventory levels today at 4:30 pm and tomorrow morning. A larger than expected rise is being talked about. With the rally in oil sputtering out this morning, a stronger dollar and the weekend approaching crude prices could just as easily head south. The other interesting read…Read more
Oil Prices and Inflation – The Pakistan data set
Inspired by the work done by two Thai economists, we ran some numbers for crude oil price changes and inflation in Pakistan. Here are some initial results [ad#Grey back med rectangle] Crude Oil and WPI for Fuel, lighting and lubricants 19.29% share of WPI General Crude Oil and CPI for Transport & Communication 7.32% share…Read more
Oil Prices and Inflation – The Pakistan data set
Inspired by the work done by two Thai economists, we ran some numbers for crude oil price changes and inflation in Pakistan. Here are some initial results Figure 1 – Crude Oil, WPI and CPI changes
Shades of crude oil – correlations over time – part iii
Here is a quick review of how correlations have behaved over the last 2 years across the many shades of oil. Key benchmark used was Brent and it correlations were tracked against WTI, Fuel Oil, Diesel Oil, Natural Gas, Corn Oil, Soybean Oil and Palm Oil. WTI, Fuel and Diesel were used to provide a…Read more
The many shades of crude oil – graphical relationships
WTI and Brent Scatter plot – Brent and WTI Form: Linear Strength: Very clear fit of data to a non-horizontal straight line. High concentration of points around the line of best fit indicates strong relationship. Direction: Positive incline from left to right Outliers: No significant deviations. Brent and Fuel Oil Scatter plot – Brent and…Read more
The many shades of crude oil – part i
Correlation describes the strength and direction of a linear relationship between two quantitative variables. In other words it is a measurement of the degree of association between two sets of numbers that describes how closely they track or are related to one another. Except for Crude Palm Oil the data used for commodities are cash…Read more
Notation and Terminology updates – what is new
Quick update on pages. Four quick posts introducing some key terms that I am likely to use in my analysis. A reader requested that we shared the assumptions behind some of our oil and currence price volatility graphs. Also added a new glossary page in the header
Value at Risk – Historical Simulation
Historical simulation is a non-parametric approach of estimating VaR, i.e. the returns are not subjected to any functional distribution. VaR is estimated directly from the data without deriving parameters or making assumptions about the entire distribution of the data. This methodology is based on the premise that the pattern of historical returns is indicative of…Read more
Value at Risk – Methods – Variance Covariance
This method assumes that the daily returns follow a normal distribution. From the distribution of daily returns we estimate the standard deviation (σ). The daily VaR is simply a function of the standard deviation and the desired confidence level. For example, at the 99% confidence level the VaR is equal to 2.33 × σ. To…Read more