Identifying informed traders in futures markets

被引：27

作者：

Fishe, Raymond P. H. ^{[1
,2
]}

Smith, Aaron D. ^{[3
,4
]}

机构：

[1] Univ Richmond, CFTC, Richmond, VA 23173 USA

[2] Univ Richmond, Dept Finance, Robins Sch Business, Richmond, VA 23173 USA

[3] Univ Calif Davis, CFTC, Davis, CA 95616 USA

[4] Univ Calif Davis, Dept Agr & Resource Econ, Davis, CA 95616 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2012年 / 15卷 / 03期

关键词：

Commodities; False discovery rate; Forecasting ability; Informed traders; MUTUAL FUND PERFORMANCE; INVESTMENT PERFORMANCE; ORDER FLOW; INFORMATION; DISCOVERY; LIQUIDITY; INVESTORS; RETURNS; IMPACT; NEWS;

D O I：

10.1016/j.finmar.2011.08.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：329 / 359

页数：31

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