Matches in SemOpenAlex for { <https://semopenalex.org/work/W2296937345> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W2296937345 abstract "This paper studies the trading behavior of different types of traders in commodity futures and their impact on liquidity consumption/provision as well as price discovery in the market. CME classifies each trade by its Customer Type Indicator (CTI) into four groups: a local trader who trades for his own account (CTI1), a commercial clearing member for his proprietary accounts (CTI2), an exchange member for his own account though a local trader (CTI3), and the general public (non-members) (CTI4). We find that non-members (CTI4) consume most of the short-term (intraday) liquidity while local traders as market makers are its main provider. Such a liquidity provision yields a substantial Sharpe ratio for the latter and constitutes most of the intraday volume. Most of the interday trading and position taking come from groups CTI2 and CTI3, reflecting their longer term needs for hedging and speculation. We also find that the imbalance in demand and supply in the market can explain a significant part of the daily price movements. In addition, changes in the overnight positions of the general public and clearing members contribute mostly to daily price changes. Moreover, we find that daily changes in the positions of CTI3 group can forecast future price movements, reflecting possible information advantage they may possess." @default.
- W2296937345 created "2016-06-24" @default.
- W2296937345 creator A5003115835 @default.
- W2296937345 creator A5021452379 @default.
- W2296937345 date "2015-01-01" @default.
- W2296937345 modified "2023-09-28" @default.
- W2296937345 title "Trading and Information in Futures Markets" @default.
- W2296937345 cites W1494894641 @default.
- W2296937345 cites W2032436899 @default.
- W2296937345 cites W2059804659 @default.
- W2296937345 cites W2110857622 @default.
- W2296937345 cites W2333836031 @default.
- W2296937345 cites W3123363588 @default.
- W2296937345 cites W3125889078 @default.
- W2296937345 cites W2141617304 @default.
- W2296937345 doi "https://doi.org/10.2139/ssrn.2605347" @default.
- W2296937345 hasPublicationYear "2015" @default.
- W2296937345 type Work @default.
- W2296937345 sameAs 2296937345 @default.
- W2296937345 citedByCount "0" @default.
- W2296937345 crossrefType "journal-article" @default.
- W2296937345 hasAuthorship W2296937345A5003115835 @default.
- W2296937345 hasAuthorship W2296937345A5021452379 @default.
- W2296937345 hasBestOaLocation W22969373452 @default.
- W2296937345 hasConcept C10138342 @default.
- W2296937345 hasConcept C106159729 @default.
- W2296937345 hasConcept C106306483 @default.
- W2296937345 hasConcept C134697681 @default.
- W2296937345 hasConcept C139938925 @default.
- W2296937345 hasConcept C144024400 @default.
- W2296937345 hasConcept C144133560 @default.
- W2296937345 hasConcept C162324750 @default.
- W2296937345 hasConcept C183582576 @default.
- W2296937345 hasConcept C198082294 @default.
- W2296937345 hasConcept C2779439359 @default.
- W2296937345 hasConcept C2780821815 @default.
- W2296937345 hasConcept C30772137 @default.
- W2296937345 hasConcept C36289849 @default.
- W2296937345 hasConcept C39658296 @default.
- W2296937345 hasConcept C47941915 @default.
- W2296937345 hasConcept C556758197 @default.
- W2296937345 hasConceptScore W2296937345C10138342 @default.
- W2296937345 hasConceptScore W2296937345C106159729 @default.
- W2296937345 hasConceptScore W2296937345C106306483 @default.
- W2296937345 hasConceptScore W2296937345C134697681 @default.
- W2296937345 hasConceptScore W2296937345C139938925 @default.
- W2296937345 hasConceptScore W2296937345C144024400 @default.
- W2296937345 hasConceptScore W2296937345C144133560 @default.
- W2296937345 hasConceptScore W2296937345C162324750 @default.
- W2296937345 hasConceptScore W2296937345C183582576 @default.
- W2296937345 hasConceptScore W2296937345C198082294 @default.
- W2296937345 hasConceptScore W2296937345C2779439359 @default.
- W2296937345 hasConceptScore W2296937345C2780821815 @default.
- W2296937345 hasConceptScore W2296937345C30772137 @default.
- W2296937345 hasConceptScore W2296937345C36289849 @default.
- W2296937345 hasConceptScore W2296937345C39658296 @default.
- W2296937345 hasConceptScore W2296937345C47941915 @default.
- W2296937345 hasConceptScore W2296937345C556758197 @default.
- W2296937345 hasLocation W22969373451 @default.
- W2296937345 hasLocation W22969373452 @default.
- W2296937345 hasOpenAccess W2296937345 @default.
- W2296937345 hasPrimaryLocation W22969373451 @default.
- W2296937345 hasRelatedWork W1481600512 @default.
- W2296937345 hasRelatedWork W1538085035 @default.
- W2296937345 hasRelatedWork W1564757519 @default.
- W2296937345 hasRelatedWork W1580837319 @default.
- W2296937345 hasRelatedWork W1957116505 @default.
- W2296937345 hasRelatedWork W1967271324 @default.
- W2296937345 hasRelatedWork W1980506916 @default.
- W2296937345 hasRelatedWork W2074616142 @default.
- W2296937345 hasRelatedWork W2129334443 @default.
- W2296937345 hasRelatedWork W2265795305 @default.
- W2296937345 hasRelatedWork W2287312076 @default.
- W2296937345 hasRelatedWork W2289844559 @default.
- W2296937345 hasRelatedWork W2375793891 @default.
- W2296937345 hasRelatedWork W2540295043 @default.
- W2296937345 hasRelatedWork W3121800934 @default.
- W2296937345 hasRelatedWork W3123023373 @default.
- W2296937345 hasRelatedWork W3125854841 @default.
- W2296937345 hasRelatedWork W3127664911 @default.
- W2296937345 hasRelatedWork W2148885144 @default.
- W2296937345 hasRelatedWork W2222254744 @default.
- W2296937345 isParatext "false" @default.
- W2296937345 isRetracted "false" @default.
- W2296937345 magId "2296937345" @default.
- W2296937345 workType "article" @default.