Sökning: "Commodity Futures"

Visar resultat 1 - 5 av 44 uppsatser innehållade orden Commodity Futures.

  1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Oskar Fransson; [2023]
    Nyckelord :Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

    Sammanfattning : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. LÄS MER

  3. 2. Exploring the Effects of Entrepreneurial Extracurricular Activities on Student Entrepreneurs

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Ivan Zankov; [2023]
    Nyckelord :Entrepreneurship; education; extracurricular activities; innovation; university; Lund; Carleton; Business and Economics;

    Sammanfattning : Academic entrepreneurship is becoming more accessible and comprehensive, and with it, so too are entrepreneurial extracurricular activities (EEAs). Because the expansion of entrepreneurship education accessibility is limited to the last two decades, little has been explored on the exact impacts EEAs have on students enrolled in entrepreneurship education. LÄS MER

  4. 3. Momentum Strategies in Commodity Futures Market: A Quantitative study

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Jino Badinson; Alfred Gunnarsson; [2023]
    Nyckelord :Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

    Sammanfattning : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. LÄS MER

  5. 4. Gambling with grains? A critical case study of the U.S. Commodity Futures Modernization Act and its implications for global food insecurity

    L2-uppsats, Lunds universitet/Statsvetenskapliga institutionen

    Författare :Gabriel Snygg Kvernes; Albin Lagerlöf; [2022]
    Nyckelord :Commodity Futures Modernization Act; Food Insecurity; Agricultural Commodities; International Political Economy; Historical Materialism; Law and Political Science;

    Sammanfattning : In 2000, the Clinton Administration in the U.S. adopted the Commodity Futures Modernization Act, which deregulated the U.S. LÄS MER

  7. 5. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Nikolas Tsigkas; [2022]
    Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER