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Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition

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Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition

Mark J. S. Keenan

ISBN: 978-1-119-60382-5 December 2019 280 Pages

Hardcover
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£85.00
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Description

The definitive book on Positioning Analysis — a powerful and sophisticated framework to help traders, investors and risk managers better understand commodity markets

Positioning Analysis is a powerful framework to better understand commodity price dynamics, risk, and sentiment. It indicates what each category of trader is doing—what they are trading, how much they are trading and how they might behave under a variety of different circumstances. It is essential in isolating specific types of flow patterns, defining behavioral responses, measuring shifts in sentiment, and developing tools for better risk management. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets explains the fundamentals of Positioning Analysis and presents new concepts in Commodity Positioning Analytics. This invaluable guide helps readers recognize how certain types of positioning patterns can be used to develop models, indicators, and analyses that can be used to enhance performance.

This updated second edition contains substantial new material, including analytics based on the analysis of flow, the decomposition of trading flows, trading activity in the Chinese commodity markets, and the inclusion of Newsflow into Positioning Analysis. Author: Mark J S Keenan, also covers the structure of positioning data, performance attribution of speculators, sentiment analysis and the identification of price risks and behavioral patterns that can be used to generate trading signals.. This must-have resource:

  • Offers intuitive and accessible guidance to commodity market participants and risk managers at various levels and diverse areas of the market
  • Provides a wide range of analytics that can be used directly or integrated into a variety of different commodity-related trading, investment, and risk management programs
  • Features an online platform comprising a wide range of customizable, regularly-updated analytical tools
  • Contains an abundance of exceptional graphics, charts, and illustrations
  • Includes easy-to-follow instructions for building analytics.

Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition is an indispensable source of information for all types of commodity traders, investors, and speculators, as well as investors in other asset classes who look to the commodity markets for price information.

About the author

Acknowledgements

Preface

About the companion website

Introduction

Chapter 1 Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets

1.1 Positioning Analysis – what is it?

1.2 The history of positioning data, the COT report and the agencies that provide the data

1.3 Misunderstandings and issues in Positioning Analysis

1.4 Futures and Options data

Chapter 2 The structure of the positioning data

2.1 The structure of positioning data

2.2 Positioning data for the London Metal Exchange (LME) – the MiFID classifications

2.3 Other types of positioning and flow data

2.4 The Structure of commodity markets

Chapter 3 Performance attribution – an insight into sentiment and behavioural analysis?

3.1 The proliferation of speculative positioning data

3.2 Why is positioning data interesting

3.3 Measuring the skill or performance of MMs

3.4 Net futures positioning vs net trader number positioning or alignment

Chapter 4 Concentration, Clustering, and Position Size - price risks and behavioural patterns

4.1 Concentration, Clustering and Position Size

4.2 Concentration, Clustering, Position Size and their relationship to price over time

Chapter 5 “Dry Powder (DP)” analysis - an alternative way to visualise positioning

5.1 Dry Powder (DP) analysis

5.2 DP indicator variations

5.3 DP indicators and trading signals

Chapter 6 Advanced DP Analysis - deeper insights and more variables

6.1 Advanced DP indicator charts

6.2 DP indicators, price and curve structure

6.3 DP Hedging indicators

6.4 DP Factor, Fundamental and Currency indicators

Chapter 7 Decomposing trading flow and quantifying position dynamics

7.1 Decomposing net positioning - the methodology

7.2 Decomposing long and short positioning - the methodology

7.3 Who has been driving prices?

7.4 Who is trading with whom?

7.5 The impact on prices

7.6 Speed of positioning changes

Chapter 8 Overbought/Oversold (OBOS) analysis - the intersection of extremes

8.1 The Overbought/Oversold (OBOS) philosophy

8.2 Constructing the framework

8.3 The OBOS Concentration indicator

8.4 Key attributes of the OBOS approach

8.5 Behavioural Patterns within the boxes

8.6 OBOS Variations

8.7 The DP/OBOS Hybrid indicator

Chapter 9 Advanced OBOS Analysis - extremes in sentiment and risk

9.1 The OBOS framework – clustering and position sizes

9.2 OBOS Factor indicators

9.3 Commodity Risk Premia – Positioning Analysis and risk management

Chapter 10 Sentiment Analysis – sentiment indices and positioning mismatches

10.1 The difference between trader numbers and open interest

10.2 Trader Sentiment (TS) Indices

10.3 Mismatches in positioning and price inflexion points

Chapter 11 Newsflow in Positioning Analysis

11.1 Newsflow data in commodity markets

11.2 Building basic newsflow indices

11.3 Combining newsflow with positioning

11.4 Economic Policy Uncertainty

Chapter 12 Flow Analysis - the “Flow Cube” and the “Build ratio” in commodity markets

12.1 The Flow Cube

12.2 The Flow Cube down the forward curve

12.3 The LBMA-i trade data

Chapter 13 Chinese Commodity Markets – analysing flow

13.1 The Chinese commodity exchanges

13.2 The size of the Chinese commodity exchanges

13.3 Speculative vs hedging activity in Chinese commodities

13.4 The Flow Cube and Build ratio in Chinese commodities

13.5 The OBOS framework and the Speculation ratio

Chapter 14 Machine Learning – a machine’s perspective on positioning

14.1 Introduction to Machine Learning (ML)

14.2 Decision trees

14.3 Feature Importance

14.4 Random Forests

14.5 Using ML to trade

Appendix 1 History of the COT Report

Appendix 2 The COT reports