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Time Frame and its Impact on Commodity Trading Advisor Performance

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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.

Creator
Contributors
Degree
Unit
Publisher
Language
  • English
Identifier
  • etd-0503104-183909
Keyword
Advisor
Defense date
Year
  • 2004
Date created
  • 2004-05-03
Resource type
Rights statement
Last modified
  • 2020-12-27

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Permanent link to this page: https://digital.wpi.edu/show/sn009x848