Hedging strategy for commodity futures based on SVM-KNN

2021 ◽  
Vol 13 (3) ◽  
pp. 139
Author(s):  
Mei Sun ◽  
Yan Zhang ◽  
Rongpu Chen ◽  
Yulian Wen ◽  
Peiyao Nie
Keyword(s):  
Commodity Futures ◽  
Hedging Strategy

Hedging strategy for commodity futures based on SVM-KNN

2021 ◽  
Vol 13 (3) ◽  
pp. 139
Author(s):  
Yulian Wen ◽  
Mei Sun ◽  
Peiyao Nie ◽  
Rongpu Chen ◽  
Yan Zhang
Keyword(s):  
Commodity Futures ◽  
Hedging Strategy

Strategi Pengelolaan Risiko dan Peningkatan Kualitas Pengelolaan Kas Negara

2017 ◽  
Vol 2 (2) ◽  
pp. 43-54
Author(s):  
Agung Mulyono
Keyword(s):  
Interest Rates ◽  
Financial Risk ◽  
Vector Autoregression ◽  
Secondary Market ◽  
Key Factors ◽  
Bond Price ◽  
Hedging Strategy ◽  
Foreign Loan ◽  
Term Operation ◽  
Loan Interest Rates

Cash management is  one of treasury’s main functions in which has a potential financial risk. A potential financial risk emerges when State Treasurer manages cash surplus and or/ shortages in order to maintain optimum liquidity. By applying Vector Autoregression (VAR) system on empirical data provided by Bank Indonesia and the Ministry of Finance of Indonesia, we found that currency value  flunctuation is a significant factor for repayment value of foreign loan. Interest rates and amount of government’s bond held by foreign investors are also variables impacted on government’s bond price movement in secondary market. Currency value  flunctuation and price of government’s bond in secondary market are the key factors that have to be considered by State Treasurer (BUN) in managing state’s money. Hedging strategy by using derivatif product is possible to be utilized by State Treasurer (BUN) due to it’s flexibility for short-term operation.   Abstrak Pengelolaan kas negara merupakan salah satu fungsi pokok perbendaharaan yang dalam proses pelaksanaannya menyimpan potensi berbagai risiko keuangan. Risiko keuangan, khususnya dalam investasi berpotensi muncul ketika Bendahara Umum Negara (BUN) melakukan kegiatan pengelolaan kelebihan dan/ kekurangan kas dalam rangka menjamin ketersediaan dan optimalisasi kas. Dengan menggunakan analisis Vector Autoregression (VAR) atas data empiris yang diperoleh dari Bank Indonesia dan Kementerian Keuangan Indonesia, penulis menemukan bahwa fluktuasi nilai tukar mata uang merupakan faktor yang signifikan terhadap besaran pembayaran utang luar negeri pemerintah. Tingkat suku bunga acuan dan pergerakan besaran kepemilikan SUN oleh investor asing juga merupakan variabel yang berpengaruh terhadap pergerakan harga SUN di pasar sekunder. Fluktuasi nilai tukar mata uang dan pergerakan harga SUN di pasar sekunder menjadi faktor penting dalam pelaksanaan investasi yang dilakukan BUN dalam rangka pengelolaan kelebihan dan/ kekurangan kas. Berdasarkan hasil tersebut, strategi pengelolaan risiko atau hedging dengan menggunakan produk-produk derivatif dalam pengelolaan kelebihan dan/ kekurangan kas jangka pendek – menengah sangat dimungkinkan karena sifat instrumen derivatif yang fleksibel.

Efficient Use of Commodity Futures in Diversified Portfolios

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 63-64
Author(s):  
Charles F. Peake
Keyword(s):  
Commodity Futures

Trend-Following Trading Strategies in Commodity Futures: A Re-Examination

CFA Digest ◽  
2010 ◽  
Vol 40 (2) ◽  
pp. 5-7
Author(s):  
Yazann S. Romahi
Keyword(s):  
Trading Strategies ◽  
Commodity Futures

Long and Short Term Jumps in Commodity Futures Prices

2010 ◽  
Author(s):  
M. A. H. Dempster ◽  
Elena Medova ◽  
Ke Tang
Keyword(s):  
Commodity Futures ◽  
Futures Prices ◽  
Short Term
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