Empirical analysis of the dynamics of higher moments of commodity price distribution

本研究旨在通过分析两组数据来检验商品期货价格高阶矩的随机性和确定性变化：（一）几种具有鲜明特色的商品的期货日收益数据（如玉米、原油、天然气和黄金），以及（2）上述商品期货合约的期权隐含波动率表面的每日数据。该项目计划在2008年至2009年期间进行，从2021年到2022年。 特别是，我打算在第一年集中精力营造研究环境（如购买和设置高速计算机，相关软件和数据集），而主要分析（数据分析，学术论文起草和会议报告）将在第二年进行。在过去的几个月里，我分析了第一个数据集（每日期货收益率），并确定了天然气和玉米期货二阶矩（方差）动态的强烈季节性模式，以及对所有四种商品的强烈到期时间效应。 我目前正在进入第二步，将每日期货收益率序列转换为标准序列（通过控制第二时刻的系统模式），以识别更高时刻的系统模式。

This research intends to examine the stochastic and deterministic variations in the higher moments of commodity futures prices through analyzing the two sets of data: (1) daily futures return data of several commodities with distinctive features (such as corn, crude oil, natural gas, and gold), and (2) the daily data on the volatility surface implied by options on aforementioned commodity futures contracts.The project was planned to be carried out over 2 years from 2021 til 2022. In particular, I intended to focus on building the research environment in the first year (such as purchasing and setting up of a high speed computer, relevant software, and datasets), while the main analysis (data analysis, drafting of academic papers, and conference presentations) were to be carried out in the second year.Over the last months, I analyzed the first dataset (daily futures returns) and identified strong seasonal patterns in the dynamics of the second moment (variance) of natural gas and corn futures and strong time-to-maturity effect on all four commodities. I am currently moving into the second step, where the daily futures return series are converted into the standard series (through controlling for the identified systemic patterns in the 2nd moment) to identify the systemic patterns in the higher moments.