The role of inventory in explaining the shape of the forward curve and spot price volatility in
commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N. (1939) "…

The explosion of health-related costs in US firms over more than a decade is a huge concern
for managers. The initiation of Health and Safety (H&S) programs at the firm level is an …

Financial markets are a real life multi-agent system that is well known to be hard to explain
and interpret. We consider a gradient boosting decision trees (GBDT) approach to predict …

Through the analysis of the weekly Commodity Futures Trading Commission reports on 12
US traded agricultural commodities, we revisit the heated debate on the impact of index flows …

We consider a gradient boosting decision trees (GBDT) approach to predict large S&P 500
price drops from a set of 150 technical, fundamental and macroeconomic features. We report …

We address the problem of managing a storable commodity portfolio, that includes physical
assets and positions in spot and forward markets. The vast amount of capital involved in the …

The goal of this paper is to present a model for the joint evolution of correlated commodity
forward curves. Each forward curve is directed by two state variables, namely slope and level, …

There is an important information deficit on political and financial risks in Africa. This article
fills this gap by compiling a unique database of financial (sovereign, banking, currency and …

The 2008 financial crisis has severely challenged passive forms of investment. In this article,
the authors compare two systematic investment processes that a global asset allocator may …

The last decade has been the stage of wild fluctuations in agricultural prices. For example,
the Agricultural Goldman Sachs Commodity Index (GSCI), representing the dollar-…