Essays about: "commodity risk"
Showing result 1 - 5 of 64 essays containing the words commodity risk.
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1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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. READ MORE
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2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach
University essay from Uppsala universitet/DatalogiAbstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE
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3. Does hedging with derivatives create firm value?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper studies the impact derivative hedging has on firm value and whether the relationship is affected by differences in cash holdings. We use hand-collected data for 171 Swedish firms from various industries during the period 2016-2021 to examine the relationship. READ MORE
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4. Momentum Strategies in Commodity Futures Market: A Quantitative study
University essay from Umeå universitet/FöretagsekonomiAbstract : 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. READ MORE
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5. Quantifying the Impact of Energy Prices on Financial Stability
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Financial stability has always been at the forefront of research for both academics and practitioners alike. Given the current Russian invasion of Ukraine and the importance of energy commodities to the economic and strategic integrity of countries, understanding the importance of energy commodity price fluctuations on financial stability is of crucial importance. READ MORE