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

• Thomas, Nordia D

贡献者

• Doytchinov, Bogdan D.
• Wilkens, Kathryn

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-0503104-183909

关键词

• time frame
• alternative investment
• commodity trading advisor

Advisor

• Doytchinov, Bogdan D.
• Wilkens, Kathryn A.

Defense date

• 2004-04-30

Year

• 2004

Date created

• 2004-05-03

Resource type

• Thesis

Rights statement

• In Copyright

最新修改

• 2020-12-27