巴黎银行-全球-商品量化策略-锌：因子模型触发短期均衡点

《巴黎银行-全球-商品量化策略-锌：因子模型触发短期均衡点》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、PleaserefertoimportantinformationattheendofthereportCOMMODITYQUANTSTRATEGYZinc:FactormodeltriggersashortpositionThisdocumenthasbeenproducedby:Zincbreachedthe95%non-parametricerrorupperbandofthefactormodel:aBancoBNPParibasBrasilS.A.shortpositionhasbeentriggered.Ga

2、brielGerszteinTrade:sell3MLMEZincatUSD3,444/MT;allocation:50contracts;initialtarget(subjecttoberevisedfollowingmarketdynamics):USD3,100/MT;DynamicstopCommodityQuantStrategyHeadofFX&IRLatamStrategylossstartingatUSD3,685/MT.+551138413421Allocationandstoplossesfoll

3、owthemetricsdefinedinthispublication:Technicalpaper:Allocationandstoplosscalculations.GustavoMendoncaCommodityQuantStrategyRisktothecall:thestrengthoftheupwardtrendshownbyallmetals,makingFX&IRLatamStrategyplausiblethatthemarketpricedriftsfurtherawayfrommodel’sval

4、ueandBNP+551138413445Paribaspositioningscore.SamuelCastroCommodityQuantStrategyFX&IRLatamStrategyPositionsandsignals+551138413492Theresultssuggestthatzincismorethan25%abovefactormodel´scentralvalue(Charts1-3).Charts1-3:Marketandmodelvalues3,5003,500ModelBandModelB

5、andDifferencebetweenmarketandMarketMarketmodel3,300ModelCentral3,300ModelCentralRich;sell20%3,0003,000Zoom2,8002,80012%2,5002,5004%2,3002,300-4%2,0002,0001,8001,800-12%Cheap;buy1,3001,3001,5001,500-20%2009201020112013201420152016Sep-14Jul-15May-16Mar-1720102011201

6、22013201520162017Source:BloombergLLP,BNPParibas;asof21November201724January2018Pleaserefertoimportantinformation&authorsattheendofthereport&MARDisclosureCommodityQuantStrategywww.globalmarkets.bnpparibas.comCOMMODITYQUANTSTRATEGYCONTACTSRobertMcAdieGlobalMarketsHe

7、adofStrategyLondon442075958885robert.mcadie@uk.bnpparibas.comCommodityQuantStrategy&HeadofGabrielGerszteinFX/IRLatamStrategySaoPaulo551138413421gabriel.gersztein@br.bnpparibas.comCommodityQuantStrategy&FX/IRSamuelCastroSaoPaulo551138413492samuel.castro@br.bnpparib

8、as.comLatamStrategyCommodityQuantStrategy&FX/IRGustavoMendoncaSaoPaulo551138413445gustavo.mendonca@br.bnpparibas.comLatamStrategyGlobalHeadofFXStrategy&