Document Type thesis Author Name Thomas, Nordia D URN etd-0503104-183909 Title Time Frame and its Impact on Commodity Trading Advisor Performance Degree MS Department Mathematical Sciences Advisors Prof. Kathryn Wilkens, Co-Advisor Prof. Bogdan Doytchinov, Co-Advisor Prof. Bogdan Vernescu, Department Head Keywords alternative investment time frame commodity trading advisor Date of Presentation/Defense 2004-04-30 Availability unrestricted
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.
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