  The influence of Commodity Trading Advisors (CTA) on the price process is
explored with the help of a simple model. CTA managers are taken to be Kelly
optimisers, which invest a fixed proportion of their assets in the risky asset
and the remainder in a riskless asset. This requires regular adjustment of the
portfolio weights as prices evolve. The CTA trading activity impacts the price
change in the form of a power law. These two rules governing investment ratios
and price impact are combined and lead through updating at fixed time intervals
to a deterministic price dynamic. For different choices of the model parameters
one gets qualitatively different dynamics. The result can be expressed as a
phase diagram. Meta-CTA strategies can be devised to exploit the predictability
inherent in the model dynamics by avoiding critical areas of the phase diagram
or by taking a contrarian position at an opportune time.
