OptiRisk is proud to announce that our research paper – “Forecasting crude oil futures prices using global macroeconomic news sentiment” is awarded the “Best Paper in 2020” by the IMA Journal of Management Mathematics. The paper is on our research on a modelling approach that employs global macroeconomic news sentiment to predict stock volatility or futures prices of crude oil.
This research was undertaken by
- Dr Zryan A Sadik, Quantitative Analyst and Researcher, OptiRisk Systems
- Dr Paresh M Date, Director of Research, Department of Mathematics, Brunel University
- Prof Gautam Mitra, CEO, OptiRisk Systems
The research focuses on forecasting futures contracts since they are more liquid than the underlying commodity itself. Therefore, accurate prediction of their prices is of great value to multiple categories of market participants. In their work, the authors cover futures contracts of short-term, mid-term and long-term maturity. They also use the Kalman filter, which is a method to reduce the noise in experimental data. It has been widely used in engineering, geosciences and econometrics. The research employs the Kalman filtering framework for forecasting arbitrage-free (futures) prices of crude oil.
The research has proposed a new way of processing and incorporating news sentiment information from RavenPack in futures price or stock volatility prediction. The experiments with real market data show that news-enhanced time series models result in substantially better short term prediction performance in comparison with ‘classical’ time series models; both for futures prices and stock volatilities.
It is noteworthy to mention that the IMA Journal of Management Mathematics publishes mathematical research of the outstanding quality, impact and relevance that can be directly utilised or have considerable potential to be employed by managers from multiple organisations. Our research was selected out of all papers published in the journal in 2020.
OptiRisk expresses warmest congratulations to the authors on this achievement!
Follow the link to read the paper: https://optirisk-systems.com/publications/whitepapers/