Seasonality analysis of EIA weekly data

Published: October 20th, 2018

The weekly status reports by the Energy Information Administration for petroleum (WPSR) and natural gas (WNGSR) in the U.S. provide timely and accurate fundamental data for energy markets and is therefore watched closely by energy traders around the world. Many of the series' included exhibit strong seasonal patterns that needs to be taken into account when using the data. The methodology used in EIA weekly reports studies is outlined below. This is by no means the definitive method for this case though. The studies are scheduled to update immediately after new data is released. The WPSR i...

TIC portfolio flows

Published: July 1st, 2018

The Treasury International Capital release, maintained by the U.S. Treasury, can easily lead to information overload. The fact that it is ignored by free data services such as FRED and Quandl does not make it easier. TIC data is a primary input in calculations for international trade and investment (ITA) by Bureau of Economic Analysis. In the associated study the focus is on domestic securities in the segment that contains transactions in long-term securities. It is released monthly with a lag of approximately one and a half month. It is therefore more timely than similar series in BEA's...

Continuous futures rollover calculations

Published: May 13th, 2018

Much of the content on this site will evolve around continuous futures, so it would be useful to know exactly how they are calculated. Currently, only front contracts are used, but the rollover dates could also easily be used to derive continuous series further out on the curve in instruments where the two nearest expiring contracts are not the only ones that are active. Although this would only be relevant for certain commodities that typically trades in steep contango or backwardation, like for example crude oil or natural gas. Individual contracts are downloaded from Quandl, which obtai...