William Wilson - Thesis Committee

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Browsing William Wilson - Thesis Committee by Author "Skadberg, Kristopher Douglas"

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    Intermarket Trading Strategies and Risk
    (North Dakota State University, 2013) Skadberg, Kristopher Douglas
    The purpose of this thesis is to research methods that will be used to discover the profitability and risk of spatially arbitraging soybeans. A portfolio is used to analyze trading strategies, and the dependence measures is critical when simulating all of the variables. The dependence measures will aid in selecting the appropriate assets for the portfolio. The profits and risks for each asset will be analyzed and an optimization procedure will weigh the assets appropriately in bushels. Strategizing has become very important for merchandisers, because of the added risk associated with trading commodities. The results indicate that spatial arbitrage profits exist, but each origin does not always have spatial arbitrage opportunities. These trades carry a great deal of risk as a firm becomes more vertically integrated.