Corneliu Crisan

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

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A Quantitative Analysis of CTA Funds

Number of pages: 115 Posted: 26 Nov 2004
Simon Vuille and Corneliu Crisan
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Abstract:

Commodity Trading Advisors, Trend-Followers, Performance Persistence, Market Model, Trading Strategy