Quantitative Models - Dashboard Models/Reports Summary
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Please refer to below to learn more about the quantitative models available in MAF Cloud.
Table of Contents:
Quantitative Models
Models/Reports | Description | User Guide |
|---|---|---|
Cross Correlation Model
| Allows the user to plot 2 time-varying series alongside each other on the same graph, with the position and scaling of each series adjusted to provide the best possible mutual fit. It is used to visualise the degree of similarity between the two series, hence highlighting any potential relationships. | |
Customised Index Model
| Allows the user to create their own indices and visualise the trend of those indices. The user will first select the products of interest with each product being assigned a variable (a,b,c etc). The user can then key in a mathematical expression using these variables to create a customised index, in which its time-series is then displayed by the model.
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Forward Curve
| Represents how the prices of a product's forward contracts vary with their time to maturity. There are two parts to the output graph: the historical spot prices of the product, as well as prices of forward contracts for the various maturities (ie. the forward curves) for the most recent trading days. Each forward curve starts from the spot price for that day and ends at settlement price of the contract furthest from that date.
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Forward Curve Table
| Displays the prices of forward contracts of a product in tabular format. Viewing the forward curves in a tabular format will allow the user to see the contracts' prices more precisely, while easily comparing across trading days and maturity times. | |
Regression
| Plots the price of one product against another, with the points plotted to be the respective prices of each product at each point in time in the duration selected. It is used to study whether the movements of two products are correlated (ie. if they tend to move together or in opposite directions), and measure how responsive the change in the price of one product is relative to the other. | |
Spread Analysis
| Combines a number of tools for the user to perform spread analysis. After selecting the products to be analysed (minimum of 2), the upper-left panel will display their individual trends in a time-series plot. | |
Time Series
| Displays the time-series movement of one or more product(s) for a selected time period. | |
U.S. Recession Prediction
| Displays historical data of U.S. yield curve spreads and their corresponding predicted likelihood of recession, each as a time-series. Drawing on data of past probabilities that are based on the U.S. yield curve spread, each yield curve spread has fitted a probability of predicting a recession in the next 12 months.
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