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LIQUIDITY AND INVESTMENT STYLES IN THE COMMODITY FUTURES MARKET

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dc.contributor.advisorMulvey, John
dc.contributor.authorHsu, Ling-Chen Eric
dc.date.accessioned2013-07-12T13:56:35Z
dc.date.accessioned2026-09-30T00:00:37Z
dc.date.available2013-07-12T13:56:35Z
dc.date.available2026-09-30T00:00:37Z
dc.date.created2013-06
dc.date.issued2013-07-12
dc.description.abstractThis 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.extent95 pagesen_US
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/dsp01nk322d427
dc.identifier.urihttps://theses-dissertations.princeton.edu/handle/88435/dsp01nk322d427
dc.language.isoen_USen_US
dc.rights.accessRightsWalk-in Access. This thesis can only be viewed on computer terminals at the <a href=http://mudd.princeton.edu>Mudd Manuscript Library</a>.
dc.titleLIQUIDITY AND INVESTMENT STYLES IN THE COMMODITY FUTURES MARKETen_US
dc.typePrinceton University Senior Theses
dspace.entity.typePublication
pu.date.classyear2013en_US
pu.departmentOperations Research and Financial Engineeringen_US
pu.mudd.walkinyes
pu.pdf.coverpageSeniorThesisCoverPage

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