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Author:Mihail Turlakov
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# Carry - strategy ## https://alphaarchitect.com/2018/08/the-carry-factor-and-global-risks/ ## [Carry](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2632697) by Koijen-Moskowitz-Pedersen-Vrugt2019 [Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans](⏎ https://www.bbk.ac.uk/cfc/pdfs/conference%20papers/Wed/RichterSorensen.pdf) ⏎ https://www.atlantafed.org/cenfis/publications/notesfromthevault/03-carry-factors-characteristics-and-informational-content-2019-03-29 - https://www.sr-sv.com/commodity-carry/ ⏎ ## https://en.wikipedia.org/wiki/Seasonality https://towardsdatascience.com/trend-seasonality-moving-average-auto-regressive-model-my-journey-to-time-series-data-with-edc4c0c8284b ⏎ ⏎ [deterministic AND stochastic seasonality](https://www.ssc.wisc.edu/~bhansen/390/2010/390Lecture8.pdf) ⏎ ⏎ ## Seasonality Models ⏎ - 2018 Hevia-Petrolla-Sola https://www.sr-sv.com/seasonal-effects-in-commodity-futures-curves/[https://warwick.ac.uk/fac/soc/wbs/subjects/emf/research/papers/hps_jae_wp_final.pdf ⏎ - 2006 https://staff.fnwi.uva.nl/p.j.c.spreij/winterschool/7borovkovageman.pdf⏎ ⏎ deterministicAND stochastic seasonalityseasonal cost-of-carry ⏎ - 2002 Richter-Sorensen [Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans](https://www.ssc.wisc.edu/~bhansen/390/2010/390Lecture8bbk.ac.uk/cfc/pdfs/conference%20papers/Wed/RichterSorensen.pdf) - 2002 Sorensen https://www.researchgate.net/publication/285621098_Modeling_Seasonality_in_Agricultural_Commodity_Futures ⏎ deterministic seasonal price⏎ ⏎ # Parents * Quantitative investing
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