Macro Trading

Ilia Bouchouev
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Ilia Bouchouev: Pentathlon Investments, LLC

Chapter 7 in Virtual Barrels, 2023, pp 137-158 from Springer

Abstract: Abstract We look at oil as a sub-component of a broader macro trading system. We illustrate oil linkages to currency, equity, and fixed income markets with three cross-asset relative value strategies. We conclude by constructing a simple and somewhat naïve fair value model for the price of oil. While this model is built on questionable theoretical grounds, it is a good example of when something that should not work in theory turns out to be helpful in practice.

Date: 2023
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DOI: 10.1007/978-3-031-36151-7_7

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