On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
- repec:eee:ecofin:v:42:y:2017:i:c:p:250-265 is not listed on IDEAS
More about this item
KeywordsInstitutional traders; S&P500 futures; Open interest; COT report; Market efficiency;
- G1 - Financial Economics - - General Financial Markets
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