Prof. Kathryn Wilkens
Prof. Bogdan Doytchinov
Prof. Bogdan Vernescu
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.
Worcester Polytechnic Institute
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Thomas, Nordia D., "Time Frame and its Impact on Commodity Trading Advisor Performance" (2004). Masters Theses (All Theses, All Years). 683.
alternative investment, time frame, commodity trading advisor, Commodity futures, Investment advisors