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picture1_Business Cycle Pdf 50937 | 77009345


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 97x       Filetype PDF       File size 2.45 MB       Source: core.ac.uk


File: Business Cycle Pdf 50937 | 77009345
Imperial College London Business School Trading Strategies in Futures Markets James Grant Submitted in partial fulllment of the requirements for the degree of Doctor of Philosophy of Imperial College London ...

icon picture PDF Filetype PDF | Posted on 20 Aug 2022 | 2 years ago

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...Imperial college london business school trading strategies in futures markets james grant submitted partial fulllment of the requirements for degree doctor philosophy abstract purpose this thesis is to investigate based on contracts rst chapter demonstrates and analyzes exceptional performance both carry momentum future across asset classes commodities bonds equities currencies dividual returns have low correlation generating a signicant diversication benet combined portfolio sharpe ratio individually not explained by capm or risk factor models however disappear after adjusting lagged macroeconomic variables suggesting related cycle expected are only weakly but co vary signicantly with hedge fund capital ow indicating limits arbitrage constraints funds second establishes economic signicance sig nals we use model incorporating time varying investment opportunity set into parametric framework derive optimal parameters without any ex ante imposed rela tion sample found be consistent resul...
								

							

						
	
												
				
					
					
					
			
					
				
				
		
	

	
		





	

	
				

						

						
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										Category:  Uncategorized / Uncategorized 
										
Posted on: 20 Aug 2022 | 2 years ago
										
										
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Filetype: PDF
										
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