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Title: Examining the Effect of Speculation and Open Interest on the Crude Oil Futures Curve
Authors: Printzios, Alexandra
Advisors: Coulon, Michael
Department: Operations Research and Financial Engineering
Class Year: 2013
Abstract: This paper looks at the effect of open interest and the activity of certain types of traders on the shape of the oil futures curve as well as the volatility of crude oil futures prices. We will also look at the negative roll yield that affects long investors in the crude oil futures market, especially those that invest in index tracking funds. Furthermore, we will consider the monthly patterns of investors to determine if there is an optimal time to "roll over" in order to avoid the negative roll yield as much as possible.
Extent: 61 pages
Access Restrictions: Walk-in Access. This thesis can only be viewed on computer terminals at the Mudd Manuscript Library.
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2017

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