Commodity Data Analysis
November 9-11, 2016
Not-for academic credit. Certificate issued by the J.P. Morgan Center for Commodities, CU Denver. Certified by GARP for 24 credits and CU Denver for 5 continuing education credits (CEU).
Guided by veteran industry practitioners, and utilizing one of the most user-friendly statistics packages on the market, students will gain a core practical competency in econometrics and price modeling for the commodity markets. Students will gain basic fluency in econometric forecasting and understanding of forecast validity and uncertainty. Students will become familiar with not only the dominant methods for modeling forward curve dynamics, but also advanced methods employed by the most sophisticated market participants. Skills and techniques learned in the course will be directly applicable to solving problems and framing decisions in the workplace.
Day 1: Intro to commodity industry data, EViews, and basic econometrics
- Types of commodities time series and forward price data
- Data conventions and transformations
- Commodity-specific features in data
- Introduction to EViews statistical suite
- Fundamentals of regression analysis
Day 2: Advanced econometric methods
- Multivariate models
- ARCH models
Day 3: Forward curve modeling, practice workshop
- Term structure and seasonality
- Black-Scholes volatility
- Application of principal component analysis and factor models to forward curves
- Afternoon special session: Independent and group lab exercises to integrate and apply course material
A valuation and fundamental analytics expert, Thorvin spent almost twenty years in the industry and on Wall Street, with firms ranging from Koch Industries and Calpine Corporation to Bear Stearns and J.P. Morgan. During this time, he has led multiple training programs focused on commodities. Thorvin graduated from Stanford University with a B.A. in Economics, and received his CFA Charter in 2006.
Daniel Jerrett, Ph.D.
Currently Chief Economist at the Denver Regional Council of Governments, Daniel has over ten years of experience teaching and building econometric models. He received his PhD from the Colorado School of Mines.
Rossen Roussev, Ph.D.
A member of JPMorgan’s Commodity Quantitative Research team, Rossen creates proprietary analytics for the firm’s financial commodity trading business. He received his PhD in Physics from Rutgers University.