Publication: LIQUIDITY AND INVESTMENT STYLES IN THE COMMODITY FUTURES MARKET
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Hsu Eric final thesis.pdf (2.55 MB)
Date
2013-07-12
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Walk-in Access. This thesis can only be viewed on computer terminals at the <a href=http://mudd.princeton.edu>Mudd Manuscript Library</a>.
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.
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Princeton University Senior Theses