LNG Trading Model

Overview

Developed an LNG (Liquefied Natural Gas) trading optimization model for the Baringa Trading Competition hosted by NTU x CEIT. The model combines statistical forecasting with risk management to generate actionable trading strategies for commodity markets.

Technical Highlights

• Price Forecasting: Implemented ARIMA-GARCH models to capture both price trends (ARIMA) and volatility clustering (GARCH) in LNG spot and forward markets.

• Risk Quantification: Built Monte Carlo simulation framework to generate probability distributions for future price scenarios, enabling VaR and CVaR risk metrics calculation.

• Hedging Strategy Design: Developed NYMEX natural gas futures-based hedging strategies to manage exposure, optimizing hedge ratios based on correlation analysis and basis risk.

Achievement

Baringa Trading Competition - 1st Place

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