Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-0503104-183909


Document Typethesis
Author NameThomas, Nordia D
URNetd-0503104-183909
TitleTime Frame and its Impact on Commodity Trading Advisor Performance
DegreeMS
DepartmentMathematical 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/Defense2004-04-30
    Availability unrestricted

    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.

    Files
  • thomas.pdf

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