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.
Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1682 |
Date | 03 May 2004 |
Creators | Thomas, Nordia D |
Contributors | Bogdan M. Vernescu, Department Head, , , Kathryn Wilkens, Bogdan Doytchinov |
Publisher | Digital WPI |
Source Sets | Worcester Polytechnic Institute |
Detected Language | English |
Type | text |
Format | application/pdf |
Source | Masters Theses (All Theses, All Years) |
Page generated in 0.0011 seconds