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‘能源（Energy）’：
oilFutures：纽约商品交易所（NYMEX）原油周度期货价格
oilSpot：纽约商品交易所（NYMEX）原油周度现货价格
oil_long：原油期货市场中资金管理者所持有的周度多头头寸
gasFutures：亨利枢纽（Henry Hub）天然气周度期货价格
gasSpot：亨利枢纽（Henry Hub）天然气周度现货价格
gas_long：亨利枢纽（Henry Hub）天然气期货市场中资金管理者所持有的周度多头头寸
oil_short：原油期货市场中资金管理者所持有的周度空头头寸
gas_short：亨利枢纽（Henry Hub）天然气期货市场中资金管理者所持有的周度空头头寸
netoil：原油期货市场中资金管理者所持有的周度头寸净额日志
netgas：亨利枢纽（Henry Hub）天然气期货市场中资金管理者所持有的周度头寸净额日志

工作表‘农业（Agric）’：
cornFutures：芝加哥期货交易所（CBOT）玉米周度期货价格
cornSpot：芝加哥期货交易所（CBOT）玉米周度现货价格
corn_long：玉米期货市场中商品指数交易者所持有的周度多头头寸
soyFutures：芝加哥期货交易所（CBOT）大豆周度期货价格
soySpot：芝加哥期货交易所（CBOT）大豆周度现货价格
soy_long：玉米期货市场中商品指数交易者所持有的周度多头头寸
corn_short：玉米期货市场中商品指数交易者所持有的周度空头头寸
soy_short：大豆期货市场中商品指数交易者所持有的周度空头头寸
netcorn：玉米期货市场中商品指数交易者所持有的周度头寸净额日志
netsoy：大豆期货市场中商品指数交易者所持有的周度头寸净额日志

文件夹‘协整检验（CointegrationTests）’、‘图形（Graphics）’、‘单位根检验（UnitRootTests）’均包含MATLAB文件