An Analysis of Own Account Trading by Dual Traders in Futures Markets: A Bayesian Approach
Using an audit trail transaction data set compiled by the Commodity Futures Trading Commission (CFTC), we seek to ascertain directly the motives behind dual traders’ own account trading and whether or not they are informed traders. We estimate our system of equations on each of the 101 most active dual traders in the data, using the Markov chain Monte Carlo (MCMC) method. We find that dual traders are informed traders who do not appear to piggyback off their customers’ trades; whose own account trading reflects inventory control; and who appear to be liquidity suppliers. We also show that dual traders are heterogeneous in terms of their trading skills and other trade-related characteristics.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Feb 2000|
|Date of revision:|
|Contact details of provider:|| Postal: Krannert Building, West Lafayette, IN 47907|
Web page: http://www.krannert.purdue.edu/programs/phd
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:pur:prukra:1127. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Krannert PHD)
If references are entirely missing, you can add them using this form.