what factors/data shall I use to predict the movement of Crude Oil? I am playing around with various methods of forecasting, what data are relevant and therefore I should throw into my forecast model? I am thinking of SP500, what else? Any suggestions? Thanks!
Looks like you know all of these. Can you pls. elaborate on each one? I originally planned to do some regression or Neural Network stuff once I figured the relevant factors for crude movement...
Here's an image from dailyfx.com via Yahoo image search showing forex correlations. It looks like the CRB index has the highest correlation? Note this isn't exactly what you want. If you want to predict, you'd have to shift the charts time-wise plus or minus a few time periods (add lag) and see if the correlations exist or get stronger or weaker after the time series shift.
Looks like they did that with a program called jnulti. Its free and a good place to start learning about factor analysis
Okay, this plot is on price series or on return series? I've learned from other people: 1. correlation on price series is spurious; 2. correlation on return series makes sense;