AGBM 320 Exam #1 || All Answers Are Accurate.
Commodity price changes aka correct answers returns
ln return= correct answers ln(this period)-ln(price in previous period)
what is returns helpful for measuring correct answers volatility
statistics is a study of correct answers random variables
what is the expected outcome from central tendency
(summarizing random variables) correct answers average, median, mode
Dispersion, how spread out are the outcomes?
(summarizing random variables) correct answers variance, standard deviation
are two different random variables related to one another?
(relationships b/w random variables) correct answers covariance, correlation
can we exploit the relationships b/w random variables to more accurately summarize central
tendency and dispersion?
(relationships b/w random variables) correct answers conditional averages, conditional
variance (or conditional standard deviation)
times series data can be correct answers noisy, especially when its daily or intra day data
Many forecasting techniques used to _______________ out the rough edges and make it
easier to spot trends correct answers smooth
what kinds of trends are there correct answers uptrends, downtrends, sideways trends
Making predictions correct answers more demanding than smoothing and trend
identifications
moving averages correct answers pick a time interval and average price (or quantity) over
that time period
what is moving average used for correct answers smoothing, trend identification, and making
predictions
how to do moving average correct answers Continue the averaging process, for each new
observation include the most recent observation in the average and discard the earliest
observation
how long should a moving average be correct answers no good answer, an arbitrary choice
the longer the moving average period the ___________ the result and the _________
information is lost correct answers -smoother
-more
, a shorter moving average is more ______________ to changes in trend but also not very
smooth correct answers -sensitive
common moving average periods include correct answers 4 day, 5 day, 10 day, 15 day, 19
day, 60 day, etc.
Exponential Smoothing correct answers A weighted-moving-average forecasting technique in
which data points are weighted by an exponential function.
exponential smoothing formula explanation correct answers -t is the subscript to denote this
period and t+1 is the subscript for the next period
-p is the commodity price and f is the forecast of a commodity price
What is α? correct answers a smoothing factor, has to be between 0 and 1
low α (close to 0.1) makes correct answers smoother forecasts
High α (up to 0.4) correct answers allows forecasts to react to changes in trends
Linear trendline correct answers -popular method
-used to spot trends and make predictions
-for annual data trend variable is usually just a year
-for daily data it gets complicated with weekends when no price is reported
linear trendline postulates correct answers pt = B0 + B1* Trend
linear trendline formula explained correct answers Trend is a time trend variable indexed to
your data, e.g. first observation is t=1, second observation t = 2, etc...
linear regression correct answers a flexible statistical tool that has two primary related uses
linear regressions two uses correct answers -statistical inference, examine how different
random (and non random) variables are related
-predictions
in a regression model we use so called ____________ variable(s) ( _______ variables) to
explain a variable of interest ( ______ variable) correct answers -Independent
-x
-y
conditional averages correct answers Applying the regression method results in a linear
formula that can be used to calculate.....
Regression assumption 1 correct answers y is a random variable
regression assumption 2 correct answers x is a non random variable
regression assumption 3 correct answers y and x have a linear relationship
Error Term Assumptions correct answers -the expected value of E=0
Commodity price changes aka correct answers returns
ln return= correct answers ln(this period)-ln(price in previous period)
what is returns helpful for measuring correct answers volatility
statistics is a study of correct answers random variables
what is the expected outcome from central tendency
(summarizing random variables) correct answers average, median, mode
Dispersion, how spread out are the outcomes?
(summarizing random variables) correct answers variance, standard deviation
are two different random variables related to one another?
(relationships b/w random variables) correct answers covariance, correlation
can we exploit the relationships b/w random variables to more accurately summarize central
tendency and dispersion?
(relationships b/w random variables) correct answers conditional averages, conditional
variance (or conditional standard deviation)
times series data can be correct answers noisy, especially when its daily or intra day data
Many forecasting techniques used to _______________ out the rough edges and make it
easier to spot trends correct answers smooth
what kinds of trends are there correct answers uptrends, downtrends, sideways trends
Making predictions correct answers more demanding than smoothing and trend
identifications
moving averages correct answers pick a time interval and average price (or quantity) over
that time period
what is moving average used for correct answers smoothing, trend identification, and making
predictions
how to do moving average correct answers Continue the averaging process, for each new
observation include the most recent observation in the average and discard the earliest
observation
how long should a moving average be correct answers no good answer, an arbitrary choice
the longer the moving average period the ___________ the result and the _________
information is lost correct answers -smoother
-more
, a shorter moving average is more ______________ to changes in trend but also not very
smooth correct answers -sensitive
common moving average periods include correct answers 4 day, 5 day, 10 day, 15 day, 19
day, 60 day, etc.
Exponential Smoothing correct answers A weighted-moving-average forecasting technique in
which data points are weighted by an exponential function.
exponential smoothing formula explanation correct answers -t is the subscript to denote this
period and t+1 is the subscript for the next period
-p is the commodity price and f is the forecast of a commodity price
What is α? correct answers a smoothing factor, has to be between 0 and 1
low α (close to 0.1) makes correct answers smoother forecasts
High α (up to 0.4) correct answers allows forecasts to react to changes in trends
Linear trendline correct answers -popular method
-used to spot trends and make predictions
-for annual data trend variable is usually just a year
-for daily data it gets complicated with weekends when no price is reported
linear trendline postulates correct answers pt = B0 + B1* Trend
linear trendline formula explained correct answers Trend is a time trend variable indexed to
your data, e.g. first observation is t=1, second observation t = 2, etc...
linear regression correct answers a flexible statistical tool that has two primary related uses
linear regressions two uses correct answers -statistical inference, examine how different
random (and non random) variables are related
-predictions
in a regression model we use so called ____________ variable(s) ( _______ variables) to
explain a variable of interest ( ______ variable) correct answers -Independent
-x
-y
conditional averages correct answers Applying the regression method results in a linear
formula that can be used to calculate.....
Regression assumption 1 correct answers y is a random variable
regression assumption 2 correct answers x is a non random variable
regression assumption 3 correct answers y and x have a linear relationship
Error Term Assumptions correct answers -the expected value of E=0
