{"id":{"repo_id":"london-metro","oai_identifier":"oai:repository.londonmet.ac.uk:7667"},"canonical_url":"https://search.dev.ndltd.org/etd/london-metro/oai:repository.londonmet.ac.uk:7667","repository":{"repo_id":"london-metro","name":"London Metropolitan University","base_url":"https://repository.londonmet.ac.uk/cgi/oai2"},"display":{"title":"A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems","abstract":"The univariate and multivariate distribution of daily returns on contracts in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The four dimensional vector of returns with one component from each futures market can be viewed as being generated from a serially independent multivariate normal process with non - constant variance/covariance structure and occasional contaminating extreme realisations. Examining the multivariate distribution in which all the components are returns on contracts in the same futures market, however, produced different and very unexpected results. Highly significant multivariate serial correlation coefficients of lag one day and significant departures from multivariate normality were discovered. The multivariate temporal dependence was shown to be due to correlation between certain linear combinations of returns on contracts of differing maturities. Studying the distribution of the linear combination estimates led to the discovery that much of the observed phenomenon can be explained by negatively correlated multivariate spread portfolios. Multivariate trading rules were devised to exploit the observed temporal behaviour and when applied to all four series produced large, positive and highly statistically significant returns. The introduction of non zero transaction costs reduced returns but still produced positive profits in the cocoa and coffee series. Models of processes that could explain the observed multivariate temporal behaviour and the multivariate non - normality are presented.","abstract_html":"The univariate and multivariate distribution of daily returns on contracts in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The four dimensional vector of returns with one component from each futures market can be viewed as being generated from a serially independent multivariate normal process with non - constant variance/covariance structure and occasional contaminating extreme realisations. Examining the multivariate distribution in which all the components are returns on contracts in the same futures market, however, produced different and very unexpected results. Highly significant multivariate serial correlation coefficients of lag one day and significant departures from multivariate normality were discovered. The multivariate temporal dependence was shown to be due to correlation between certain linear combinations of returns on contracts of differing maturities. Studying the distribution of the linear combination estimates led to the discovery that much of the observed phenomenon can be explained by negatively correlated multivariate spread portfolios. Multivariate trading rules were devised to exploit the observed temporal behaviour and when applied to all four series produced large, positive and highly statistically significant returns. The introduction of non zero transaction costs reduced returns but still produced positive profits in the cocoa and coffee series. Models of processes that could explain the observed multivariate temporal behaviour and the multivariate non - normality are presented.","abstract_has_math":false,"creators":["Connolly, Kevin Brendan"],"institution":"City of London Polytechnic","degree_name":"phd","degree_level":"doctoral","degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":1985,"date_issued":"1985-09","date_published":"1985-09","updated_at":"2026-07-24T02:54:44Z","subjects":["330 Economics"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier.grantnumber","label":"Dc Identifier Grantnumber","values":["N/A"],"render_values":[{"text":"N/A","href":null,"code":true}]}]},"links":{"outbound_url":null,"outbound_label":null,"outbound_source":null},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.sponsor","label":"Sponsor","values":["London Metropolitan University"]},{"key":"dc:creator","label":"Author","values":["Connolly, Kevin Brendan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["1985-09"]},{"key":"dc:date.issued","label":"Date","values":["1985-09"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Library Services and Special Collections","Department of Computing Mathematics Statistics and Management Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["City of London Polytechnic"]},{"key":"dc:relation.isreferencedby","label":"Dc Relation Isreferencedby","values":["https://repository.londonmet.ac.uk/7667/"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["doctoral"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["phd"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["330 Economics"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.grantnumber","label":"Dc Identifier Grantnumber","values":["N/A"]},{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://repository.londonmet.ac.uk/7667/1/356467.pdf"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["The univariate and multivariate distribution of daily returns on contracts in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The four dimensional vector of returns with one component from each futures market can be viewed as being generated from a serially independent multivariate normal process with non - constant variance/covariance structure and occasional contaminating extreme realisations. Examining the multivariate distribution in which all the components are returns on contracts in the same futures market, however, produced different and very unexpected results. Highly significant multivariate serial correlation coefficients of lag one day and significant departures from multivariate normality were discovered. The multivariate temporal dependence was shown to be due to correlation between certain linear combinations of returns on contracts of differing maturities. Studying the distribution of the linear combination estimates led to the discovery that much of the observed phenomenon can be explained by negatively correlated multivariate spread portfolios. Multivariate trading rules were devised to exploit the observed temporal behaviour and when applied to all four series produced large, positive and highly statistically significant returns. The introduction of non zero transaction costs reduced returns but still produced positive profits in the cocoa and coffee series. Models of processes that could explain the observed multivariate temporal behaviour and the multivariate non - normality are presented."]},{"key":"dc:format","label":"Dc Format","values":["text"]},{"key":"dc:title","label":"Title","values":["A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems"]}]}],"canonical_facts":{"dc:contributor.sponsor":["London Metropolitan University"],"dc:creator":["Connolly, Kevin Brendan"],"dc:date":["1985-09"],"dc:date.issued":["1985-09"],"dc:description.abstract":["The univariate and multivariate distribution of daily returns on contracts in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The four dimensional vector of returns with one component from each futures market can be viewed as being generated from a serially independent multivariate normal process with non - constant variance/covariance structure and occasional contaminating extreme realisations. Examining the multivariate distribution in which all the components are returns on contracts in the same futures market, however, produced different and very unexpected results. Highly significant multivariate serial correlation coefficients of lag one day and significant departures from multivariate normality were discovered. The multivariate temporal dependence was shown to be due to correlation between certain linear combinations of returns on contracts of differing maturities. Studying the distribution of the linear combination estimates led to the discovery that much of the observed phenomenon can be explained by negatively correlated multivariate spread portfolios. Multivariate trading rules were devised to exploit the observed temporal behaviour and when applied to all four series produced large, positive and highly statistically significant returns. The introduction of non zero transaction costs reduced returns but still produced positive profits in the cocoa and coffee series. Models of processes that could explain the observed multivariate temporal behaviour and the multivariate non - normality are presented."],"dc:format":["text"],"dc:identifier.grantnumber":["N/A"],"dc:identifier.uri":["https://repository.londonmet.ac.uk/7667/1/356467.pdf"],"dc:publisher.department":["Library Services and Special Collections","Department of Computing Mathematics Statistics and Management Science"],"dc:publisher.institution":["City of London Polytechnic"],"dc:relation.isreferencedby":["https://repository.londonmet.ac.uk/7667/"],"dc:subject":["330 Economics"],"dc:title":["A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems"],"dc:type":["Thesis"],"dc:type.qualificationlevel":["doctoral"],"dc:type.qualificationname":["phd"]},"updated_at":"2026-07-24T02:54:44Z"}