Research & Insights

Statistical Arbitrage: Foundations of a Mean-Reversion Model in Oil Futures

November 5, 2024

Lewin Hafner

Inefficiencies in relative value create opportunities that can be seized through the use of statistics. This post explores associated assumptions and concepts and showcases a model that captures such mispricings in crude oils.

Gain Insight

Skills: Python, R

A Qualitative and Quantitative Analysis of Copper-to-Gold & U.S. Bond Yields in R

October 23, 2024

Lewin Hafner

Certain markets and assets embed information that is valuable in trading others. In this post, we examine how Copper-to-Gold and U.S. Bond Yields relate to each other.

Gain Insight

Skills: SQL, R, Excel

Development of an Aggregated Macroeconomic Indicator for Equities

September 2, 2024

Lewin Hafner

This post features the exploration of a handful of causal linkages that drive the relationship between equity markets and economies as well as the development of an indicator based on macroeconomic variables.

Gain Insight

Skills: Excel

Macro Outlook 2023 (Chartbook)

December 15, 2022

Lewin Hafner

Where we've come from, where we are and where we might be headed in the form of charts.

Gain Insight

Skills: Excel

Source: Wall Street ca. 1850