Masters Theses

Abstract

"Trading of· commodity futures contracts is one of the purest forms of speculation available today. Inherent is the risk of substantial losses. In an effort to reduce these risks, this research was undertaken.

As a result, a computer program was developed to forecast the prices of commodity future contracts on a daily basis. The program employs the Monte Carlo Technique of simulation and provides expected values for the next trading day.

During the development and testing of the prediction model. various trading techniques were also tested. A trading technique utilizing the difference between the forecasted price and the actual price as a trading signal proved to be the most successful.

Th5 s research has shown that this computer program used in conjunction with an intelligent trading scheme can reduce the risks inherent in trading on the Commodity Futures Market.

That is. this paper and the work on the predictive model introduced herein is an effort to minimize the risk involved in commodity futures speculation and to disprove the often-quoted phrase, "A speculator cannot die rich. If he does, he dies before his time.""-- Abstract, p. ii

Advisor(s)

Brooks, William

Committee Member(s)

Bennett, Sidney
Ho, C. Y. (Chung You), 1933-1988

Department(s)

Engineering Management and Systems Engineering

Degree Name

M.S. in Engineering Management

Publisher

University of Missouri--Rolla

Publication Date

1975

Pagination

viii, 116 pages

Note about bibliography

Includes bibliographical references (pages 84-85)

Rights

© 1975 C. E. Roy Francis, All rights reserved.

Document Type

Thesis - Open Access

File Type

text

Language

English

Thesis Number

T 4041

Print OCLC #

5983214

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