Faculty Advisor or Committee Member

Prof. Kathryn Wilkens

Faculty Advisor or Committee Member

Prof. Bogdan Doytchinov

Faculty Advisor or Committee Member

Prof. Bogdan Vernescu

Co-advisor

Prof. Kathryn Wilkens, Prof. Bogdan Doytchinov

Identifier

etd-0503104-183909

Abstract

This thesis explores the idea that time frame is an important determinant of commodity trading advisor (CTA) performance. Results allow us to reject the hypothesis that short-term price movements may be due only to noise, thus CTAs will have the same performance regardless of time frame. Using several performance measures and multi-factor models we find instead that CTAs who focus on short-term price changes are better positioned to benefit from advances in financial information processing and trade execution technology.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2004-05-03

Accessibility

Unrestricted

Subjects

alternative investment, time frame, commodity trading advisor, Commodity futures, Investment advisors

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