On Thursday 26 March 2015 Dennis Karstanje will defend his PhD thesis entitled 'Unraveling Dimensions: Commodity futures curves and equity liquidity'. Supervisor is Professor Dick van Dijk (Erasmus School of Economics) and co-supervisors are Dr. Wing Wah Tham and Dr. Michel van der Wel (both Erasmus School of Economics), Other members of the Doctoral Committee are Dr. Ronald Huisman (Erasmus School of Economics), Professor Asger Lunde (Aarhus University) and Professor Mathijs van Dijk (Radboud University of Nijmegen).
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam (Campus Woudestein) and will start at 13.30 hrs.
About Dennis Karstanje
Dennis Karstand obtained both his Bachelor's and Master's degree in Econometrics (cum laude) from Erasmus University Rotterdam. In January 2011 he started his PhD at the Tinbergen Institute and Econometric Institute. His research interests include financial econometrics, market microstructure and commodities markets. During his four years as a PhD student, Dennis presented his research at various international conferences and visited the Center for Research in Econometric Analysis of Time Series (CREATES) at Aarhus University, Denmark. Two chaptes of his thesis are publised in the Journal of Banking and Finance. He currently works as a researcher at Robeco.
About thesis 'Unraveling Dimensions: Commodity futures curves and equity liquidity'
Financial markets consist of many dimensions. The two that have main focus in this 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. In Chapter 2 we investigate different liquidity proxies in terms of their ability to time the market. We find that liquidity timing is profitable but that it matters which liquidity proxy is used. Chapter 3 examines novel momentum strategies in commodity futures markets that incorporate futures curve information. Chapter 4 looks into the comovement of factors driving commodity futures curves. Besides commonality in price leves, we document that the futures curves' shapes also contain common factors.