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Theses Doctoral

Price Dynamics & Trading Strategies in the Commodities Market

Guo, Kevin

This thesis makes new observations of market phenomena for various commodities and trading strategies centered around these observations. In particular, our results imply that many aspects of the commodities markets, from delivery markets to producers and consumer derivative based ETFs can be modeled eectively using nancial engineering techniques.
Chapter 2 examines what drives the returns of gold miner stocks and ETFs. Inspired by our real options model, we construct a method to dynamically replicate gold miner stocks using two factors: a spot gold ETF and a market equity portfolio. We find that our real options approach can explain a significant portion of the drivers of firm implied gold leverage.
Chapter 3 studies commodity exchange-traded funds (ETFs). From empirical data, we find that many commodity leveraged ETFs underperform significantly against our constructed dynamic benchmark, and we quantify such a discrepancy via the novel idea of
realized effective fee. Finally, we consider a number of trading strategies and examine their performance by backtesting with historical price data.
Chapter 4 studies the phenomenon of non-convergence between futures and spot prices in the grains market. In our proposed approach, we incorporate stochastic spot price and storage cost, and solve an optimal double stopping problem to understand shipping certificate prices. Our new models for stochastic storage rates explain the spot-futures premium.

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More About This Work

Academic Units
Industrial Engineering and Operations Research
Thesis Advisors
Leung, Siu Tang
Degree
Ph.D., Columbia University
Published Here
October 5, 2018
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