On commodity trading strategies : momentum, term structure, maturity, indexation
The thesis investigates the presence of idiosyncratic characteristics in commodity futures markets that lead to profitable trading strategies, effectively testing the efficiency of commodity markets. First, short-term continuation and long-term reversal in commodity futures prices are examined. Whil...
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City, University of London
2010
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.530402 |