LIQUIDITY AND INVESTMENT STYLES IN THE COMMODITY FUTURES MARKET

Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01nk322d427

Full metadata record

DC Field	Value	Language
dc.contributor.advisor	Mulvey, John	-
dc.contributor.author	Hsu, Ling-Chen Eric	-
dc.date.accessioned	2013-07-12T13:56:35Z	-
dc.date.available	2013-07-12T13:56:35Z	-
dc.date.created	2013-06	-
dc.date.issued	2013-07-12	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/dsp01nk322d427	-
dc.description.abstract	This paper examines different investment styles in the commodity futures market and introduces liquidity as an alternate investment style. First, we investigate the performance of previously established strategies such as momentum and futures term-structure with data from April 1990 to February 2013. Next, we consider several candidates for commodity liquidity measures and utilize them to create liquidity style strategies that display attractive return characteristics. Using these liquidity measures, we show that liquidity is a viable alternative investment style within the commodity futures market.	en_US
dc.format.extent	95 pages	en_US
dc.language.iso	en_US	en_US
dc.title	LIQUIDITY AND INVESTMENT STYLES IN THE COMMODITY FUTURES MARKET	en_US
dc.type	Princeton University Senior Theses	-
pu.date.classyear	2013	en_US
pu.department	Operations Research and Financial Engineering	en_US
pu.pdf.coverpage	SeniorThesisCoverPage	-
dc.rights.accessRights	Walk-in Access. This thesis can only be viewed on computer terminals at the <a href=http://mudd.princeton.edu>Mudd Manuscript Library</a>.	-
pu.mudd.walkin	yes	-
Appears in Collections:	Operations Research and Financial Engineering, 2000-2020

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