Cannot be evaluated on obtainable data. Requires IRI/BOM ENSO forecast plume archive.
Not tested. The data required does not exist in obtainable form, so no result is claimed in either direction.
ENSO forecast error is the only tradeable ENSO quantity
If markets price the predictable component of ENSO — which this project's null results suggest they do — then only the forecast error can move prices. Testing it requires knowing what was forecast at each historical date, not merely what happened. The AR(3) innovation used throughout this project is a weak substitute: it removes what a linear model could have predicted, not what the market already knew.
Publishing this as a verdict rather than dropping it keeps the denominator honest: a hypothesis that was never tested must not be mistaken for one that failed.
| Field | Detail |
|---|---|
| Requires | IRI/BOM ENSO forecast plume archive |
| Reason | If markets price the predictable component of ENSO — which this project's null results suggest they do — then only the forecast error can move prices. Testing it requires knowing what was forecast at each historical date, not merely what happened. The AR(3) innovation used throughout this project is a weak substitute: it removes what a linear model could have predicted, not what the market already knew. |
| Where it exists | The IRI/CPC ENSO prediction plume archive is published by the International Research Institute for Climate and Society. Availability and terms not assessed here. |
| Rev | Stage | Status | Change |
|---|---|---|---|
| 01 | Draft | — | Direction and criteria fixed before the experiment ran |
| 02 | Assessed | Disqualified | Required data is not obtainable; recorded rather than dropped |