How can I Import many Excel Files into one Access Database

Assignment Task

There is a data folder inside the HW folder on Canvas. Once you opened the folder, you will have several excel files containing the historical prices of WTI crude oil futures. You will need to merge all the excel files and create a single MATLAB dataset. Based on the dataset you formed, try to answer the following questions as thoroughly as you can:

Find the WTI crude oil futures contracts zip file, do the steps mentioned above and answer the following questions (you should provide your codes for each question as well):

1. Plot the time-series of the first, second, third and fourth contract in WTI crude oil market. (Hint: for calculating time to maturity of each contract, you need to use the pattern of maturity explained in crude oil contract specifications that we discussed in class. You can access full contract specifications through the CME website)

2. Compare these time-series to the one given at EIA website. (The one discussed and presented in the class and is available inside class slides. You can easily download the EIA data by clicking on the time series name on their website.)

3. Can you come up with the daily-historical term structure of the futures prices in crude oil market? Show the term structure at 3 different days of your choice. Are they similar? What are the differences (in terms of slope and curvature) if there is any?

4. As mentioned in class, if you attach multiple term structures of different dates, you will get a term structure surface (a three-dimensional mathematical concept). Can you build it here? If yes, please do and plot the surface.

5. Are you able to produce an animation which shows the movements in the term structure of futures prices, like the one by Timera Energy that we discussed/watched in the class? If you can, please produce the animation and put it in your answers. (Hint: one of the solutions come to mind is to produce term structure at each single day, save each day as a *.png file and then combine them using MATLAB. You will find more interesting solutions if you search!)

6. How do you calculate the slope of term structure of futures prices?

7. Based on your answer to 1.6, what is the usual shape of the crude oil term structure of futures prices? Is it mostly in contango or backwardation?

8. As discussed in class, it might be the case that the curve is in contango in some part and in backwardation at some other part, at each day. How do you check for that? How can you separate the slope around near contracts (left tail of the curve) and the slope near far contracts (right tail of the curve)? If you have separate measures, plot, and compare them.

9. Are you able to come up with an overall measure for liquidity in the market from the data you have? (Hint: The main measures of liquidity are Open Interest and Volume in literature.) If yes, show how does your measure changes over time by plotting the time-series of your measure. What do you think are the factors which drive the variation in the liquidity measure?

10. How does the shape of crude oil term structure changes through the period March 17- March 20, 2011? What was the single incident during this period that impacted oil market? Which tail (right or left) of the term structure of futures prices is impacted the most by this incident? Does the incident have a persistent effect on term structure, or its effect vanishes through time? How do you justify the changes through the Supply-Demand/Fear framework?

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