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Luck versus Forecast Ability: Determinants of Trader Performance in Futures Markets

Citations

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Cited by:

  1. Nicolosi, Gina & Peng, Liang & Zhu, Ning, 2009. "Do individual investors learn from their trading experience?," Journal of Financial Markets, Elsevier, vol. 12(2), pages 317-336, May.
  2. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
  3. Ottaviani, Marco & Sorensen, Peter Norman, 2006. "The strategy of professional forecasting," Journal of Financial Economics, Elsevier, vol. 81(2), pages 441-466, August.
  4. Raushan Kumar, 2021. "Predicting Wheat Futures Prices in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 121-140, March.
  5. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
  6. Oliver Blaskowitz & Helmut Herwartz, 2009. "Adaptive forecasting of the EURIBOR swap term structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 575-594.
  7. Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
  8. Kocagil, Ahmet E. & Topyan, Kudret, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, Elsevier, vol. 6(1), pages 77-93.
  9. Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
  10. Hanaki, Nobuyuki & Kirman, Alan & Marsili, Matteo, 2011. "Born under a lucky star?," Journal of Economic Behavior & Organization, Elsevier, vol. 77(3), pages 382-392, March.
  11. Adjemian, Michael K. & Bruno, Valentina G. & Robe, Michel A., 2016. "Forward‐Looking USDA Price Forecasts," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235931, Agricultural and Applied Economics Association.
  12. W. Bruce Canoles & Sarahelen Thompson & Scott Irwin & Virginia Grace France, 1998. "An analysis of the profiles and motivations of habitual commodity speculators," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(7), pages 765-801, October.
  13. M. Numan Ünlü, 2008. "Expectations of Professionals in The Turkish Stock Market: a Study of a Monthly Reuters Survey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 22(1+2), pages 1-16.
  14. Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
  15. Michael K. Adjemian & Valentina G. Bruno & Michel A. Robe, 2020. "Incorporating Uncertainty into USDA Commodity Price Forecasts," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 696-712, March.
  16. Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  17. Changyun Wang, 2003. "The behavior and performance of major types of futures traders," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(1), pages 1-31, January.
  18. Greer, Mark, 2003. "Directional accuracy tests of long-term interest rate forecasts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 291-298.
  19. Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
  20. Petar Peshev, 2021. "Analyzing CFD Retail Investors' Performance in a Post MiFID II Environment," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 53-73.
  21. Kromidha, Endrit & Li, Matthew C., 2019. "Determinants of leadership in online social trading: A signaling theory perspective," Journal of Business Research, Elsevier, vol. 97(C), pages 184-197.
  22. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  23. Li, Ziran, 2017. "Three essays on commodity markets," ISU General Staff Papers 201701010800006361, Iowa State University, Department of Economics.
  24. Lipe, M. G., 1998. "Individual investors' risk judgments and investment decisions: The impact of accounting and market data," Accounting, Organizations and Society, Elsevier, vol. 23(7), pages 625-640, October.
  25. Weiner, Robert J., 2000. "Sheep in Wolves' Clothing?," Cahiers de recherche 0001, GREEN.
  26. Nicole M. Moran & Scott H. Irwin & Philip Garcia, 2020. "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 611-652, December.
  27. Gina Nicolosi & Liang Peng & Ning Zhu, 2003. "Do Individual Investors Learn from Their Trading Experience?," Yale School of Management Working Papers ysm439, Yale School of Management, revised 01 Sep 2009.
  28. Ahmet E. Kocagil & Kudret Topyan, 1997. "An empirical note on demand for speculation and futures risk premium: A Kalman Filter application," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 77-93.
  29. Ziran Li & Dermot J. Hayes & Keri L. Jacobs, 2018. "The weather premium in the U.S. corn market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 359-372, March.
  30. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
  31. Anton Andriyashin, 2008. "Stock Picking via Nonsymmetrically Pruned Binary Decision Trees," SFB 649 Discussion Papers SFB649DP2008-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  32. Sang Hyuk Kim & Hee Soo Lee & Han Jun Ko & Seung Hwan Jeong & Hyun Woo Byun & Kyong Joo Oh, 2018. "Pattern Matching Trading System Based on the Dynamic Time Warping Algorithm," Sustainability, MDPI, vol. 10(12), pages 1-18, December.
  33. Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
  34. Buchanan, W. K. & Hodges, P. & Theis, J., 2001. "Which way the natural gas price: an attempt to predict the direction of natural gas spot price movements using trader positions," Energy Economics, Elsevier, vol. 23(3), pages 279-293, May.
  35. Mutafoglu, Takvor H. & Tokat, Ekin & Tokat, Hakki A., 2012. "Forecasting precious metal price movements using trader positions," Resources Policy, Elsevier, vol. 37(3), pages 273-280.
  36. Robe, Michel A. & Roberts, John S., 2021. "20 Years of CFTC Data: Who Holds Positions in Agricultural Futures Markets?," 2021 Annual Meeting, August 1-3, Austin, Texas 313995, Agricultural and Applied Economics Association.
  37. Andersson, Patric, 2004. "How well do financial experts perform? A review of empirical research on performance of analysts, day-traders, forecasters, fund managers, investors, and stockbrokers," SSE/EFI Working Paper Series in Business Administration 2004:9, Stockholm School of Economics.
  38. Sanders, Dwight R. & Boris, Keith & Manfredo, Mark, 2004. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports," Energy Economics, Elsevier, vol. 26(3), pages 425-445, May.
  39. Sanders, Dwight R. & Boris, Keith, 2000. "Does The Cftc Commitments Of Traders Report Contain Useful Information?," 2000 Conference, April 17-18 2000, Chicago, Illinois 18929, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  40. Young‐Rae Song & Yong‐Jun Yang & Hyung‐Sik Oh, 2009. "Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets," Asian Economic Journal, East Asian Economic Association, vol. 23(2), pages 249-267, June.
  41. Adjemian, Michael K. & Garcia, Philip & Irwin, Scott & Smith, Aaron, 2013. "Non-Convergence in Domestic Commodity Futures Markets: Causes, Consequences, and Remedies," Economic Information Bulletin 155381, United States Department of Agriculture, Economic Research Service.
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