Persistent Link:
http://hdl.handle.net/10150/185667
Title:
A state space forecasting approach to commodity futures trading.
Author:
Marshall, Richard Carel.
Issue Date:
1991
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
State space forecasting originated in the mid-1970's from engineering models based upon the Kalman filter. To date, the application of state space forecasting to commodity and financial markets has been limited. This study examines a system for trading futures contracts using state space forecasts of commodity futures prices. The system is evaluated for a speculative asset (gold) and a nonspeculative commodity (copper). Price forecasts are developed from multivariate state space models, and the variables considered in the models are those which, according to economic theory, may influence price movements. It is demonstrated that the relative importance of the different economic variables changes over time. Through simulated trading of copper and gold futures contracts, it is also shown that significant profits can be generated from the state space forecasting approach, especially when prices are trending upward or downward fairly continuously. Relaxing the position limit of one contract substantially increases profits. The results suggest that the copper and gold futures markets may be inefficient in the semistrong sense.
Type:
text; Dissertation-Reproduction (electronic)
Keywords:
Dissertations, Academic; Finance.
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Mining and Geological Engineering; Graduate College
Degree Grantor:
University of Arizona
Advisor:
Harris, DeVerle P.

Full metadata record

DC FieldValue Language
dc.language.isoenen_US
dc.titleA state space forecasting approach to commodity futures trading.en_US
dc.creatorMarshall, Richard Carel.en_US
dc.contributor.authorMarshall, Richard Carel.en_US
dc.date.issued1991en_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractState space forecasting originated in the mid-1970's from engineering models based upon the Kalman filter. To date, the application of state space forecasting to commodity and financial markets has been limited. This study examines a system for trading futures contracts using state space forecasts of commodity futures prices. The system is evaluated for a speculative asset (gold) and a nonspeculative commodity (copper). Price forecasts are developed from multivariate state space models, and the variables considered in the models are those which, according to economic theory, may influence price movements. It is demonstrated that the relative importance of the different economic variables changes over time. Through simulated trading of copper and gold futures contracts, it is also shown that significant profits can be generated from the state space forecasting approach, especially when prices are trending upward or downward fairly continuously. Relaxing the position limit of one contract substantially increases profits. The results suggest that the copper and gold futures markets may be inefficient in the semistrong sense.en_US
dc.typetexten_US
dc.typeDissertation-Reproduction (electronic)en_US
dc.subjectDissertations, Academicen_US
dc.subjectFinance.en_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineMining and Geological Engineeringen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorHarris, DeVerle P.en_US
dc.contributor.committeememberRieber, Michaelen_US
dc.contributor.committeememberNewcomb, Richard T.en_US
dc.contributor.committeememberWilson, Paulen_US
dc.identifier.proquest9210276en_US
dc.identifier.oclc711793718en_US
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