Trading and information in futures markets

被引：5

作者：

Llorente, Guillermo ^{[1
]}

Wang, Jiang ^{[2
,3
,4
]}

机构：

[1] Univ Autonoma Madrid, Fac C Econom, E-28049 Madrid, Spain

[2] MIT, Sloan Sch Management, 77 Massachusetts Ave, Cambridge, MA 02139 USA

[3] MIT, CAFR, 77 Massachusetts Ave, Cambridge, MA 02139 USA

[4] MIT, NBER, 77 Massachusetts Ave, Cambridge, MA 02139 USA

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 08期

关键词：

CTI; futures; liquidity; price discovery; COMMODITY FUTURES; ORDER FLOW; FORECASTING ABILITY; HEDGING PRESSURE; LARGE TRADERS; RISK PREMIA; PRICE; RETURNS; SPECULATORS; DETERMINANTS;

D O I：

10.1002/fut.22079

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the trading behavior of different types of traders (customer type indicators [CTI's]) in corn futures. Nonmembers (CTI4) consume most of the intraday liquidity while local traders (CTI1) as market makers are its main provider. Both groups combine most of the intraday trading volume. Interday trading comes mainly from proprietary accounts (CTI2) and other local traders' trades (CTI3), reflecting their longer-term needs for hedging and speculation. Changes in the overnight positions of the general public (CTI4) and clearing members (CTI2) contribute mostly to daily price discovery, while the positions of CTI3 group reflect possible information advantage about future price movements.

引用

页码：1231 / 1263

页数：33

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