---
title: Business Time Modeling for Commodity Markets
url: https://www.ml-quant.com/papers/ssrn/4794748/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4794748
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4794748
featured: 2024-04-17
citations: unknown
topic: Derivatives & Volatility
---


# Business Time Modeling for Commodity Markets

The piece presents a model that accurately represents commodity forward curves, useful for pricing exotic derivatives and managing commodity portfolios.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4794748
- Identifier: SSRN 4794748
- Released: 2023-07-28
- First featured: Quant Letter No. 45 (2024-04-17): https://www.ml-quant.com/issues/2024-04-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Predicting the volatility of major energy commodity prices: The dynamic persistence model](https://www.ml-quant.com/papers/arxiv/2402.01354/): The article proposes a new method for forecasting oil-based volatility that models varying persistence shocks together, improving predictions and surpassing standard models.
- [Gold Hedging](https://www.ml-quant.com/papers/ssrn/4815577/): Gold is a valuable asset for hedging, with its prices predicting stock returns positively, contradicting common academic views, once the bias from expected dividend growth rate is considered.
- [Ensemble Boosting Trees for Volatility Forecasting](https://www.ml-quant.com/papers/repec/eee-reveco-v-92-y-2024-i-c-p-1595-1615/): The study finds ensemble boosting tree models, particularly CatBoost and LightGBM, more effective than traditional models in predicting China's crude oil futures volatility, with macroeconomic and HAR-type variables impacting forecasts differently.
- [Crude Oil Futures Time-Frequency Correlation](https://www.ml-quant.com/papers/repec/eme-jrfpps-jrf-04-2023-0096/): Short-term trading increases price volatility in crude oil futures markets, with different futures markets susceptible to same fall but different rise scenarios, according to a study.
- [Commodity Financialization](https://www.ml-quant.com/papers/repec/wly-jfutmk-v-44-y-2024-i-4-p-631-652/): The study reveals that volatility in financial markets and global macroeconomic variables impact soybeans' convenience yield, supporting the notion of commodity financialization.
- [Airline Stocks and Oil Price Volatility](https://www.ml-quant.com/papers/ssrn/4833663/): The study finds a negative correlation between oil price volatility and international airline stock prices, recommending diversification and technology implementation to reduce fossil fuel reliance.