| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 960881 | Journal of Financial Markets | 2012 | 31 Pages |
Abstract
⺠We identify overnight and intraday informed futures traders using false discovery rate methods. ⺠These types support the view that both signals and information processing lead to informed trades. ⺠Informed are better characterized by whether they trade both sides rather than by business line. ⺠The informed traders identified are found to hold very profitable positions. ⺠We also find that the role of commercial hedgers has changed from demander to supplier of liquidity.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Raymond P.H. Fishe, Aaron D. Smith,