Spot and futures prices for corn, soybeans, WTI crude oil and Henry Hub natural gas, Chicago Mercantile Exchange Group

Research Data contains the following files:

Sheet 'Energy':
oilFutures: Weekly futures price of NYMEX crude oil
oilSpot: Weekly spot price of NYMEX crude oil
oil_long: Weekly long positions held by money managers in crude oil futures market
gasFutures: Weekly futures price of Henry Hub natural gas
gasSpot: Weekly spot price of Henry Hub natural gas
gas_long: Weekly long positions held by money managers in Henry Hub natural gas futures market
oil_short: Weekly short positions held by money managers in crude oil futures market
gas_short: Weekly short positions held by money in managers Henry Hub natural gas futures market
netoil: net log of weekly positions held by money managers in crude oil futures market
netgas: net log of weekly positions held by money managers in Henry Hub natural gas futures market

Sheet 'Agric'

cornFutures: Weekly futures price of CBOT corn
cornSpot: Weekly spot price of CBOT corn
corn_long: Weekly long positions held by commodity index traders in corn futures market
soyFutures: Weekly futures price of CBOT soybeans
soySpot: Weekly spot price of CBOT soybeans
soy_long: Weekly long positions held by commodity index traders in corn futures market
corn_short: Weekly short positions held by commodity index traders in corn futures market
soy_short: Weekly short positions held by commodity index traders in soybeans futures market
netcorn: net log of weekly positions held by commodity index traders in corn futures market
netsoy: net log of weekly positions held by commodity index traders in soybeans futures market

The folders
CointegrationTests, Graphics, UnitRootTests contain MATLAB files

本研究数据集包含以下文件：

工作表"Energy"（'Energy'）：
oilFutures（oilFutures）：纽约商品交易所（NYMEX）原油周度期货价格
oilSpot（oilSpot）：纽约商品交易所（NYMEX）原油周度现货价格
oil_long（oil_long）：资金管理人在原油期货市场持有的周度多头头寸
gasFutures（gasFutures）：亨利枢纽（Henry Hub）天然气周度期货价格
gasSpot（gasSpot）：亨利枢纽（Henry Hub）天然气周度现货价格
gas_long（gas_long）：资金管理人在亨利枢纽天然气期货市场持有的周度多头头寸
oil_short（oil_short）：资金管理人在原油期货市场持有的周度空头头寸
gas_short（gas_short）：资金管理人在亨利枢纽天然气期货市场持有的周度空头头寸
netoil（netoil）：资金管理人在原油期货市场持有的周度净头寸记录
netgas（netgas）：资金管理人在亨利枢纽天然气期货市场持有的周度净头寸记录

工作表"Agric"（'Agric'）：
cornFutures（cornFutures）：芝加哥期货交易所（CBOT）玉米周度期货价格
cornSpot（cornSpot）：芝加哥期货交易所（CBOT）玉米周度现货价格
corn_long（corn_long）：商品指数交易者在玉米期货市场持有的周度多头头寸
soyFutures（soyFutures）：芝加哥期货交易所（CBOT）大豆周度期货价格
soySpot（soySpot）：芝加哥期货交易所（CBOT）大豆周度现货价格
soy_long（soy_long）：商品指数交易者在玉米期货市场持有的周度多头头寸
corn_short（corn_short）：商品指数交易者在玉米期货市场持有的周度空头头寸
soy_short（soy_short）：商品指数交易者在大豆期货市场持有的周度空头头寸
netcorn（netcorn）：商品指数交易者在玉米期货市场持有的周度净头寸记录
netsoy（netsoy）：商品指数交易者在大豆期货市场持有的周度净头寸记录

文件夹CointegrationTests、Graphics、UnitRootTests均包含MATLAB文件。