ONLINE WEBINAR, 13 & 15 OCTOBER 2020

POSITIONING AND SENTIMENT ANALYSIS IN COMMODITY MARKETS
using COT reports data to support trading and hedging activity

Positioning of the operators analysis that can be carried out starting from the COT (Commitment of Traders) reports published by the various exchanges has for many years been a valid support tool for trading and hedging decisions that completes without replacing the fundamental analysis and technical analysis.
Recently, with the publication by ESMA of this type of report, the range of commodities that can be analyzed has increased with a significant benefit for understanding the dynamics of the various markets.
In this course we want to analyze in detail the content of this information source, focusing on global energy markets, also trying to define methodologies for the systematic use of the same to complete the consolidated methodologies of technical and fundamental analysis.


FIRST SESSION 13th of October 2020 (10:00 – 13:00 CET/CEST)

10:00 - 10:30 (CET/CEST)
STRUCTURE OF COT REPORTS
  • - History and structure of COT reports
  • - Main sources of COT reports in global energy markets: CFTC, ICE, ESMA
10:30 - 12:30 (CET/CEST)
POSITIONING AND SENTIMENT INDICATORS
  • - Positioning indicators: Concentration, Clustering, Position Size
  • - Basic Dry Powder Analysis: Indicators, Trading Signals and Backtests
  • - Advanced Dry Powder Analysis: Indicators, Trading Signals and Backtests
  • - OBOS Analysis: Indicators, Trading Signals and Backtests
  • - Sentiment Analysis and Positioning Mismatch
12:30 - 13:00 (CET/CEST)
TRADING FLOW ANALYSIS AND PERFORMANCE ATTRIBUTION
  • - Trading Flow Analysis: who is trading with who?
  • - Performance attribution and Positioning

SECOND SESSION 15th of October 2020 (10:00 – 13:00 CET/CEST)

10:00 - 11:30
BACKTESTING DRY POWDER AND OBOS ANALYSIS
  • - Oil market application
  • - Henry Hub application
  • - Problems in applying standard DP and OBOS on ESMA COT data: EUA and TTF cases
  • - Positioning data and fundamental indicators
11:30 - 13:00
MACHINE LEARNING AND POSITIONING ANALYSIS
  • - Machine learning methods review: Decision Trees, Neural Networks
  • - Using ML methods for selecting and mixing positioning and sentiment indicators
  • - Backtesting ML methods: EUA case, TTF case, HH case

SPEAKERS

stefano fiorenzani

He is a recognized expert in Energy Trading and Risk Management, with a career spanning numerous top European energy companies and financial institutions. He has published several scientific and business articles and three books on advanced methods in the Energy Finance area.
He holds a degree in Economic Science, a Master of Science in Financial Economics and a PhD in Mathematical Finance.

samuele ravelli

Samuele Ravelli holds a MSc in Quantitative Finance from the Bocconi University of Milan, Italy, and a BSc in Economics from the Cattolica University of Milan, Italy.
Mr. Ravelli currently works as Head of Markets for Origin Energy, based in Sydney, looking after LNG Trading and Origination, Small Scale LNG, Oil Corporate Hedging program, analytics and the marketing of other products. He previously worked as Senior LNG Trader for Uniper (formerly E.ON Global Commodities) in Singapore, also in charge of the Short Term Trading in the Pacific region, and as an option and Structured Trader for the Swiss Group Axpo.
Mr. Ravelli published academic articles on complex energy product pricing methods, and a book on trading strategy and energy option pricing and hedging methods: “The Handbook of Energy Trading”, published in January 2012 by Wiley Finance.


PRICES

VAT (if applicable) is not included

Additional 10% discount to Phinergy’s current customers.

Subscription cost include on line participation at Zoom meeting and PDF presentation.

Participation in the webinar will be limited to a maximum of 20 participants. If the number of registrations exceeds this threshold first come first serve methodology will be used to select participants to the first edition. Nevertheless, a second edition will be organized on a different date to be agreed between the organizer and interested participants.


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LOCATION

Zoom Conference. The link will be available to participants one day before the event

WHERE WE ARE

It is possible to easily reach our headquarters by car: exit recommended A4 motorway toll gate Padova Zona Industriale, ample parking possibilities in the area; from the train station directly by bus number 14.



Address : Viale del Lavoro, 14 - 35020 - Ponte San Nicolò (PD)
Phone : +39 049 775219
email: info@phinergy.biz

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