ALL THINGS BIG AND SMALL 2.0

A big thank you to EODHD.com for the data of XAUUSD and XAGUSD. Quality data at affordable price.   In times of uncertainty, investors turn to Gold. But spot Gold is now around USD4000 per troy ounce. On my trip down to www.indigopreciousmetals.com to buy bullion, I saw many people now buying Silver. Old folks, rich Indonesians and rich Indians. Why? Silver is not a Central Banks reserve currency like Gold, but it also has many industrial uses: See screenshot below. Besides the price of silver is only USD52 per troy ounce. XAU is Gold spot price XAG is Silver spot price. The 40 days ahead median forecast price for XAU is USD4208 and for XAG is 53.46. See charts below. [for methodology on Quantile Forecasts using Gradient-Boosted Decision Trees see previous recent posts on this blog ]. What is interesting is that proportionally speaking XAG has more potential than XAU. (The redline of XAG sits nearer the top of the green forecast band box.) And so if you look at the third chart be...

Introduction Uncertainty is an inherent property of financial markets due to its highly dynamic and ever-evolving nature. Therefore, forecast models of financial markets should not focus on pin-point accuracy, for it will be spurious accuracy.  Rather the output should be within a statistical confidence levels band. Bands can be based on quantiles of the Probability Distribution Function of the data.  Case study: Singapore’s 6-month T-Bill and SORA (Singapore Overnight Rate Average). The chart above shows the time series (daily yields) of Monetary Authority of Singapore (MAS) 6-month T-Bill (6MT), overlaid on the SORA.  SORA has a broad positive correlation with 6MT but has daily swings of significant volatility. This is natural because SORA’s daily volatility is a feature of an unsecured overnight funding benchmark: sensitive to immediate liquidity, calendar, and cross ‑ currency conditions of banks and other users while 6MT yield is a forward-looking, term ‑ averaged pr...