Financial markets consist of many dimensions. The two that have main focus in my thesis are the dimensions of liquidity in the equities market and the term structure dimension in the commodities futures market. The goal of this thesis is to present frameworks that shed more light on the dimension of interest and to use the new findings and insights in ways that are relevant from both an academic and practical point of view.
My latest article in which we examine novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts.
My latest working paper in which we examines the comovement of factors driving individual commodity futures curves. We adopt the framework of the dynamic Nelson-Siegel model, which is a popular approach for decomposing the term structure of interest rates into level, slope and curvature factors.